The VXX Trend Following Strategy has been published by Connors Research as part of their trading strategy guide series.
The EdgeXcel™ template ‘VXX Trend Following – Signals’ shows daily signals for the strategy:
The strategy has 6 main variations using Moving Average periods as follows:
| FAST MA | SLOW MA |
| 5 | 15 |
| 5 | 20 |
| 10 | 20 |
| 10 | 30 |
| 10 | 50 |
| 20 | 50 |
These variations are shown in the template columns D through H
Template Selection
The template can be found in the ‘VXX Trend Following strategy’ category and is called ‘Signals’:
Click on the category first to show the list of templates in that category and then click on the ‘Signals’ Template.
Symbol List Selection
Before running the template, make sure to select a symbol list that has only one symbol – VXX. You can easily create a list to contain that symbol or just download the list from here and unzip it and place it into your {Documents}\EdgeRater\Symbol Lists folder.
Updating the Data
Make sure that the data has been updated to the latest End-Of-Day data. The default data provider is set to the free ‘Yahoo!’ data provider (unless you have already changed it to something else). Press the EOD update button to make that happen. This update process should be very quick even when using the Yahoo! data provider because only one symbol is being fetched in the request for data.
EOD data is good enough for trading open-open where you would trade at the next open whenever you see a signal in the template. You can use the open-open trading method if you do not want to watch the markets during the day and instead get the signals after the market has closed.
If you are trading using the close-close variation then you need to get a signal before the market closes for the day. In that case, use the ‘Intraday’ update which will fetch the latest 15 min delayed data from Yahoo!
Make sure to apply the intraday update on top of the latest EOD update. So, the sequence would be to update the EOD data once per day, then apply intraday updates as many times as desired throughout the day, most importantly to do the intraday update just before the market close to see if there is likely to be a signal at the close.
Running the Template
After selecting the template and symbol list and updating the data, press ‘Run’ in the EdgeXcel template menu bar:
Viewing the Signals
The signals will be shown in the template area and also stored in an Excel™ spreadsheet on the file system in the following location: {Documents}\EdgeRater\Reports so that you have a permanent record of the signals.
Whenever the strategy variation indicates a long entry, the cell will show ‘Enter Long’. Other signals are shown as follows:
- Enter Long
- Hold Long
- Exit Long
- Enter Short
- Hold Short
- Exit Short
A blank entry in the cell means that there is not currently a trade in the strategy variation.
Viewing the Chart
Double-click any signal to see a chart of VXX. You can select a chart layout that has been specifically designed for the strategy variation you are interested in. The chart layout will show the fast and slow moving averages, an overlay of the historical signals and a sub-area containing an alternative view of the historical signals.
Backtesting the strategy variations
Use the Trade Simulation Template