VXO Volatility Trading Strategy (Amibroker Code)

The article can be found here.

The strategy in plain English:

1. On Friday’s close, the VXO must be higher than the close of last Friday.
2. The 2-day RSI must be below 95.
3. Sell at the close if Friday’s close is below the close of the Friday before.

Amibroker code:

Fremmed=Foreign(“^vxo”,”close”,fixup=1);

buy= ((fremmed – Ref(fremmed,-1) ) / Ref(fremmed,-1) ) >.00 AND RSI(2)<95 ;
buyPrice= Close;
Sell= fremmed<Ref(fremmed,-1) ;
sellPrice= Close ;