// VIX SHORT STRATEGY
// Definition of code parameters.
DEFPARAM CumulateOrders = True // Cumulating positions activated.
// Conditions to enter long positions.
// Price Crossover EMA and Price Crossover Bollinger Lower Band.
indicator1 = ExponentialAverage[10](Range) // Range = difference between High and Low hence provides the highest return, where TypicalPrice = average between High, Low and Close.
c1 = (Range CROSSES UNDER indicator1)
indicator2 = BollingerUp[20](Range)
c2 = (Range CROSSES UNDER indicator2)
// WPR Crossover EMA.
indicator3 = Williams[14](Range)
c3 = (indicator3 < -20)
indicator4 = ExponentialAverage[5](Williams[14](Range))
c4 = (indicator3 CROSSES UNDER indicator4)
// VIX Upper Price Range - Sellshort Zone. Closing price is used instead of the price Range to ensure the price that is below $25 will not be executed.
c5 = (close > 23)
IF (c1 OR c2 OR c3 OR c4) AND c5 THEN
SELLSHORT 100 CONTRACT AT MARKET
SET STOP pTRAILING 10
//SET STOP %LOSS 10
ENDIF
// Conditions to exit short positions.
indicator5 = BollingerDown[20](Close)
c6 = (Close CROSSES UNDER indicator5)
indicator6 = Average[50](Close)
c7 = (Close < indicator6)
indicator7 = Average[20](Close)
c8 = (Close < indicator7)
sma50GTsma20 = c7 > c8 // Compare the 2 SMA and choose the one that has the lower price to exit short ie increase return.
IF c6 THEN
EXITSHORT AT MARKET // Exit short when price is below bollinger lower band.
ELSIF sma50GTsma20 THEN
IF c7 THEN
EXITSHORT AT MARKET // Exit short when price is below sma50.
ELSIF c8 THEN
EXITSHORT AT MARKET // Exit short when price is below sma20.
ENDIF
ENDIF
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