TradeIdea : VXX Aroon Oscillator turned oversold

VXX Aroon Oscillator turned oversold

VXX Aroon Oscillator turned oversold Stock Chart

iPath S&P 500 VIX Short-Term Futures ETN ( VXX ) , Aroon Oscillator turned oversold trading strategy rules

  • VXX Stock Aroon Oscillator value is less then -70.
  • While VXX Stock’s while yesterday’s Aroon Oscillator reading is above -70
  • GO short at close during the current trading session
  • Buy to cover at the close of next trading session

The period used to calculate Aroon Oscillator is 14.  Aroon Oscillator is arrived at subtracting Aroon down from Aroon up

Below the backtest performance summary for going short when “VXX Aroon Oscillator turned oversold ” trading strategy during the last four years.

Go Short when VXX Aroon Oscillator turned oversold  trading strategy backtest perfromance report
Total number of trades 57 Percent profitable 74%
Number of winning trades 42 Number of losing trades 15
Average profit per trade % 1.2 Median trade -1.52
Average winning trade % 2.66% Average losing trade % 2.88%
Largest winning trade % 6.71% Largest losing trade % 8.61%
Max consecutive winners 11 Max consecutive losers 2
Ratio avg win/avg loss % 0.92 T-Test -2.84
Profit Factor 3.85 Outlier Adjusted Profit Factor 2.96

Below the details of next day change , change % of VXX ETF Price, when VXX Stock’s Aroon Oscillator turned oversold, during last 4 years.

Next day change , change % of VXX ETF Price , when VXX Stock’s Aroon Oscillator turned oversold, during last 4 years.
Date Next day change Next day change %
06-May-13
03-Apr-13 -0.36 -1.77
12-Mar-13 -0.12 -0.57
19-Feb-13 1.81 8.61
15-Jan-13 -0.55 -2.11
12-Dec-12 0.56 1.89
26-Nov-12 0.62 2.08
17-Oct-12 -0.1 -0.3
24-Sep-12 2.72 7.93
14-Sep-12 -0.44 -1.2
17-Aug-12 0 0
09-Aug-12 -0.84 -1.81
29-Jun-12 -3.96 -6.51
18-Jun-12 -1.36 -2
25-Apr-12 -2.36 -3.51
20-Mar-12 -3.84 -4.97
09-Mar-12 -4.28 -4.58
01-Feb-12 -3.2 -3.06
17-Jan-12 -4.28 -3.43
05-Jan-12 -1.96 -1.52
22-Dec-11 3.44 2.54
15-Dec-11 -0.56 -0.36
27-Oct-11 -0.76 -0.52
30-Jun-11 -3.4 -4.02
19-May-11 0.88 0.98
27-Apr-11 -1.12 -1.2
15-Apr-11 2.32 2.11
30-Mar-11 -0.32 -0.27
11-Feb-11 -1.16 -1.03
07-Feb-11 -1.4 -1.22
26-Jan-11 -2.52 -2.08
11-Jan-11 -6.04 -4.32
03-Jan-11 -0.64 -0.44
20-Dec-10 -2.6 -1.73
03-Dec-10 -3 -1.82
22-Nov-10 7.8 4.54
03-Nov-10 -12.96 -6.71
18-Oct-10 7.2 3.21
07-Oct-10 -11.84 -4.58
05-Oct-10 -3.2 -1.22
09-Sep-10 -6.4 -2.11
31-Aug-10 -21.28 -6.06
02-Aug-10 4.8 1.41
22-Jul-10 -6.72 -1.74
14-Jun-10 -27.68 -6.09
16-Mar-10 -12.48 -3.37
22-Feb-10 7.36 1.72
19-Jan-10 -0.16 -0.04
14-Dec-09 -9.28 -1.55
20-Nov-09 -39.04 -5.92
19-Oct-09 -3.36 -0.48
17-Sep-09 15.04 1.89
13-Aug-09 25.76 2.81
06-Aug-09 -39.52 -4.07
22-Jul-09 -28.16 -2.87
11-Jun-09 -22.56 -1.92
15-May-09 -88.8 -6.65
06-May-09 19.68 1.44

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