• Author
  • Philip
    Post count: 6

    Was reading Frank’s excellent “Strategies For Trading Inverse Volatility” write-up and have a question – if one were to use 5/15 day SMA’s as technical indicators (in addition to other indicators), does Frank’s article imply the following:

    1. If VXX crosses above 15-day SMA, exit (cover) next day at open.
    2. If VXX crosses below the 5 day SMA, go short next day at open.
    3. If VXX stays between two SMAs, keep the short as-is.

    Is that the correct interpretation of what’s described in the article?

  • Frank Grossmann
    Post count: 174

    It refers to my old article http://logicalinvest.wordpress.com/2013/12/07/strategies-for-trading-inverse-volatility/
    You have the two 5 and 15 day SMA lines of VXX. If the 5 day line crosses the 15 from above to below, then you can short VXX. This is normally after a VIX spike.
    If the 5 day line crosses the 15 day line from below to above, then you should close the position the next day at open.
    So, only have an open position if the 5 day line is below the 15 day line.
    It is important that you check on the VXX charts if this is still a good strategy. These parameters can change over time.

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