ActiveTrader 2010-10 | Market-neutral VIX-based pair strategy by Eugene

This strategy was featured in the October 2010 issue of Active Trader magazine.

Entry rules:

  1. Go long the S&P 500 and go short the Russell 2000 at the close when the VIX closes at least 5 percent above its 63-day SMA (which reflects approximately one quarter of market activity).
  2. Go long the Russell 2000 and go short the S&P 500 at the close when the VIX closes at least 5 percent below its 63-day SMA.

Exit rules:

  1. Exit all positions when the VIX closes within the -5 percent/+5 percent band.

Author: Eugene
Category: Intermarket
Creation Date: 9/11/2010
Licence: Freeware
Availability: Globally
Instructions for Script Download
  1. In Wealth-Lab client software, open the Strategy Explorer (Ctrl+O)
  2. Click the "Download..." button
  3. Click "Begin Download"