The best indicator for VIX Futures (VXX)
We backtested 382 indicators across daily, weekly and hourly charts on real VIX Futures (VXX) history. Here's what actually worked — risk-adjusted over the full backtest, with costs, and checked out-of-sample.
Where VIX Futures (VXX) stands
Computed from our own daily OHLCV history, not quoted from a third party. Moving averages use closing prices; "52-week" is the last 252 trading sessions.
Bollinger 50 (x2.5) Break
On the daily chart, this is the strongest risk-adjusted edge we found for VIX Futures (VXX) over ~8.7 years — beating buy-and-hold by 54.3% CAGR.
VIX Futures (VXX) on the daily chart
The timeframe our backtest found best for this asset. The chart is live market data; the results above are hypothetical and historical.
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Best multi-indicator combo
Going long only when all 2 agree was the strongest confluence setup we found for VIX Futures (VXX) — beating buy-and-hold by 43.0% CAGR, out-of-sample. Fewer, higher-conviction trades than any single indicator.
The winner on each chart
Every indicator, ranked
Ranked by Sharpe (risk-adjusted return). Hypothetical, fees included.
| # | Indicator | TF | CAGR | Sharpe | Max DD | Win | Trades | vs B&H |
|---|---|---|---|---|---|---|---|---|
| 1 | Bollinger 50 (x2.5) Break ✓ | Daily | 13.0% | 0.53 | -47.0% | 33.3% | 21 | 54.3% |
| 2 | Range Filter | Weekly | 7.0% | 0.34 | -35.6% | 23.1% | 13 | 48.0% |
| 3 | Predictive Ranges | Weekly | 10.6% | 0.42 | -45.2% | 30.0% | 10 | 51.6% |
| 4 | Chandelier Exit ✓ | Weekly | 1.7% | 0.23 | -72.9% | 40.0% | 15 | 42.7% |
| 5 | Schaff Trend Cycle ✓ | Daily | 2.3% | 0.21 | -27.2% | 50.0% | 66 | 43.6% |
| 6 | ADX Strong Trend ✓ | Daily | -1.7% | 0.19 | -78.6% | 42.9% | 28 | 39.6% |
| 7 | Advance Trend Pressure ✓ | Daily | 1.8% | 0.19 | -47.9% | 36.7% | 30 | 43.1% |
| 8 | Williams %R (28) | Weekly | 3.6% | 0.25 | -40.5% | 11.1% | 9 | 44.6% |
| 9 | Donchian Midline | Weekly | 1.5% | 0.19 | -58.8% | 18.2% | 11 | 42.6% |
| 10 | Williams %R (21) | Weekly | 1.3% | 0.18 | -59.7% | 18.2% | 11 | 42.3% |
| 11 | VWAP Bands ✓ | Daily | -0.9% | 0.12 | -60.7% | 60.0% | 50 | 40.4% |
| 12 | Elastic VW MA | Weekly | -3.2% | 0.11 | -74.9% | 21.4% | 14 | 37.8% |
| 13 | RSI Mean-Reversion | Daily | -0.6% | 0.1 | -43.8% | 43.8% | 16 | 40.7% |
| 14 | Smoothed MA (Wilder) | Weekly | -2.3% | 0.12 | -70.0% | 18.2% | 11 | 38.8% |
✓ = held up out-of-sample. Hypothetical, costs included. See methodology.
The question doesn't apply here. Buy-and-hold on VIX Futures (VXX) lost money across the out-of-sample window in 387 of 387 tests, so there is no positive benchmark to lever toward — clearing a negative bar is a much weaker claim than beating a real one, and we keep the two apart rather than counting it as a win. How we compute that
For VIX Futures (VXX), Bollinger 50 (x2.5) Break on the daily timeframe gave the best balance of return and risk in our test. It beat buy-and-hold — but remember: this is a hypothetical backtest of a standard rule, not a recommendation. Markets change. See the methodology and disclaimer.
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