The VXX Trend Following Strategy has been published by Connors Research as part of their trading strategy guide series.
The unique feature of this particular strategy is that it is a trend following strategy rather than a pullback strategy and it is designed for use with one symbol only – VXX.
The guidebook contains an interesting section on sample portfolio results which I have not seen in any of the other guidebooks. It shows one particular variation of the strategy (known as the 20/50 variation because it uses a fast MA of 20 and a slow MA of 50) where over the life of the ETF (3.5 years) the portfolio increased from a starting value of $20,000 to a finishing value of $169,542. The average gains per year since 2009 were: 64%, 110%, 106% and 34% (part year results).
The EdgeClub software has a complete implementation of this strategy so that you can get daily signals using the ‘Signals’ template:
You can also do backtesting (to make sure the strategy is still working) using the ‘Trade Simulation’ template: