The Test Bench › gate
Does VIX<VIX3M(contango) actually work?
MARGINALReal 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: 0.011 dSharpe (vs buy-hold)
Sharpe 0.94, maxDD -24%, in-market 92% of days
The numbers
| Annualised return | 12.25% |
|---|---|
| Sharpe ratio | 0.94 |
| Worst drawdown | -24.05% |
| Time in market | 91.8% |
| Sharpe vs benchmark | 0.01 |
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.
General market commentary for education, not personalised investment advice. Backtested results are hypothetical. Trading carries a real risk of loss.