The Test Bench › gate
Does VIX<25 actually work?
MARGINAL
Real but small -- not worth what it costs to run.
The claim
Tells you when to be in the market vs. step aside
— Various / folklore
What we did
Tested against Buy & hold SPY, same window, 2012–2026 (fair common window).
The result
Result: 0.052 dSharpe (vs buy-hold)
Sharpe 0.99, maxDD -23%, in-market 89% of days
The numbers Annualised return 11.95% Sharpe ratio 0.99 Worst drawdown -22.86% Time in market 89.05% Sharpe vs benchmark 0.05
Verdict
Barely moves the needle once tested fairly. Famous, not powerful.
What the test did and did not do point-in-time data checked for look-ahead net of real costs tested out of sample Almost nobody publishing a backtest says which of these they did. We list the ones we failed as well as the ones we passed.
Tested 2026-06-23. The same treatment,
applied to every other system, is on the test bench .
Written with AI assistance from our own test database. The numbers are computed, not composed.
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carry biases we work hard to remove but cannot eliminate entirely. Past performance guarantees nothing — and trading carries a real risk of loss; selling options in particular can lose far more than the premium collected . It's your money — we don’t touch it, and we won’t tell you what to do with it.
Generated 2026-11-06 from the Trading Truth database.
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