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VIX Volatility S&P 500 Entry
£14.81
This Long-Short backtest model tests a long strategy using the S&P 500 and VIX index. It comes with historical data from 2009. The model includes the following technical indicators: Bollinger Bands, Average True Range, Linear Regression Slope and a consecutive day strength exit.
This spreadsheet tests the market theory: “When the VIX is high, it’s safe to buy. When the VIX is low, go slow”.
The VIX or Fear Index is calculated based on the options on the S&P 500 index. When the VIX rises this indicates that traders are fearful about market conditions. This spreadsheet tests the idea of buying the S&P 500 when the VIX is above its upper Bollinger Band. This contrarian entry allows traders to go long when other market participants are scared.
You can see the spreadsheet being demonstrated in the video below. Also check out this article about the strategy: How to Time S&P 500 Entries Using the VIX.
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