Short VXX - OptionsRockstar — Strategy by kvande97

Backtesting Script

Open-source script

In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in a publication is governed by House Rules. You can favorite it to use it on a chart.

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//@version=2
strategy("Short VXX", overlay=true)
fastLength = input(5, title="Fast SMA Length")
slowLength = input(15, title="Slow SMA Length")
atrLength = input(14, title="ATR Length")
percentRisk = input(1, title="Percent Risk")
startYear = input(2014, title="Start Year")
price = close

mafast = sma(price, fastLength)
maslow = sma(price, slowLength)
atr = atr(atrLength)
risk = (percentRisk/100)
contracts = (strategy.equity*risk)/(atr/4)

plot(mafast, color=white)
plot(maslow, color=blue)

if(cross(mafast, maslow) and (mafast<maslow) and (year>=startYear))
    strategy.entry("VXX Short", strategy.short, qty=(contracts), comment="VXX Short")
strategy.exit("VXX Short", profit = atr*50, loss = atr*25, comment="VXX Exit")