Backtesting Script
//@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")