The Test Bench › gate

Does VXN (Nasdaq Implied Vol) actually work?

DEAD

No edge left once tested on a fair footing.

The claim

A CBOE sentiment/vol reading that times the market — CBOE

What we did

Tested against Buy & hold SPY, same window (2012+), 2012-2026, both directions tested.

The result

Result: -0.17 dSharpe (vs buy-hold)

dSharpe -0.17; the OOS +0.33 is a cherry-picked threshold while full & in-sample are negative

Verdict

The ONLY series that nominally cleared the floor -- but on an out-of-sample-flattering threshold while its full-window and in-sample scores are negative. An OOS mirage, exactly what the null floor exists to flag. Noise.

What the test did and did not do

tested out of sample
point-in-time data
checked for look-ahead
net of real costs

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.

← VVIX<110 All findings VXTH (Tail-Hedge Index) →

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.