This strategy measures and creates a signal when an asset is moving out of a correlation with high yield bonds or the CBOE VIX
into an inverse correlation, as well as when an asset is losing correlation with a top corporate bonds ETF
. When this signal is triggered, the simulation has the portfolio asset go long.
Additionally, exits are based on a 2% stop loss and a 2% take profit for simplicity sake to indicate whether the direct next move in the asset is up or down.
This was originally tested as a descent indicator for Ethereum's 2020 moves as institutional investors moved into the market.