As of 4/20/2019. This strategy was developed on one minute bars. I have been watching the five minute setups lately and we show this new setup. The code/algorithm is the same. We change data 1 and data 2 to five minute bars and change the exit time to 1610 instead of 1614 EST.
The one minute and five minute versions could be traded simultaneously for diversity. The latest hypothetical backtest shows that since 2016, the average trade profit is between $80 and $100 before slippage and commission. Going back to July 2006, the average trade profit exceeds $50 per contract. The longer term results are good.
While this is considered new research, the fact that the code wasn't changed and the back test is solid going back 12+ years, this is a strategy to consider during low VIX.