Does anything beat buy & hold on Volatility Index (VIX)?
Every setup we tested on Volatility Index (VIX) — ranked out-of-sample, corrected for multiple testing, and forward-tracked in public from the day this page published. The honest answer is the headline.
Beat buy-and-hold out-of-sample AND cleared the multiple-testing hurdle.
Beat buy-and-hold out-of-sample AND full-sample out-of-sample Sharpe 1.49 cleared the selection hurdle 1.09. Buy-and-hold benchmark: -0.1% CAGR over 36.7 years (-2.3% CAGR in the out-of-sample window).
Educational research from historical backtests — not investment advice. Past performance does not predict future results.
VIX: MA Envelope cleared the bar — and index funds almost never let that happen
Broad indices like Volatility Index are where trading strategies go to die. The pricing is a consensus of enormous numbers of participants, and on most assets in this class our backtests end the same way: nothing beat buy-and-hold. This one didn't. Out of 692 setups tested, MA Envelope on the daily timeframe outperformed the benchmark in the full window and out-of-sample, and its out-of-sample Sharpe of 1.49 cleared our multiple-testing hurdle of 1.09. Given how efficient this asset class tends to be, that result is worth reporting — carefully, not loudly.
Validated means the result survived our filters; it does not mean it will repeat. The out-of-sample edge was +134.8% annualized over 11.0 years against a buy-and-hold baseline of -0.1%, across 639 trades, with a 65.4% win rate and a -51.9% maximum drawdown. Only 7.8% of everything we tested beat the benchmark at all, which shows how much noise surrounds the one survivor. Regimes shift, costs vary, and an edge measured in one period can dissolve in the next. Read this as documented history, not a forecast.
Every figure above is computed from our own backtests — nothing is estimated or invented. Hypothetical results; not investment advice.
The setups that ranked, and what they are
Fully mechanical — no discretionary steps, no hidden filters. We name the indicator and publish its record; we keep the settings.
MA Envelope
What it is: A channel / envelope rule: it measures how far price has travelled from a moving reference and acts at the extremes. Long/flat only — no leverage, no shorting. The parameters we tested are not published.
How it was tested: signals evaluated at daily-bar close, the position changes on the NEXT bar, 0.08% cost per side. Same engine, same cost model, same out-of-sample split as every other number on this site.
Out-of-sample (last ~30% of the window, never used to pick this setup): Sharpe 1.49 · alpha +134.8% · 195 trades over 11.0 yrs.
Connors RSI
What it is: An oscillator rule: it reads a bounded momentum gauge and takes exposure when it turns from an extreme. Long/flat only — no leverage, no shorting. The parameters we tested are not published.
How it was tested: signals evaluated at daily-bar close, the position changes on the NEXT bar, 0.08% cost per side. Same engine, same cost model, same out-of-sample split as every other number on this site.
Out-of-sample (last ~30% of the window, never used to pick this setup): Sharpe 1.43 · alpha +88.5% · 151 trades over 11.0 yrs.
Williams %R
What it is: An oscillator rule: it reads a bounded momentum gauge and takes exposure when it turns from an extreme. Long/flat only — no leverage, no shorting. The parameters we tested are not published.
How it was tested: signals evaluated at daily-bar close, the position changes on the NEXT bar, 0.08% cost per side. Same engine, same cost model, same out-of-sample split as every other number on this site.
Out-of-sample (last ~30% of the window, never used to pick this setup): Sharpe 1.41 · alpha +140.8% · 81 trades over 11.0 yrs.
Since publication — including if it loses
The setup is ahead so far — over a window this short that is mostly noise. Marked to market nightly from real prices, rules frozen at publication, as of 2026-10-23. Currently FLAT.
We tested 692 setups (indicator × parameters × timeframe) on Volatility Index (VIX). Only setups with ≥30 trades qualify (639 did). Setups are ranked by out-of-sample Sharpe — the last ~30% of history, which standard-parameter rules never saw during selection. Because picking the best of 692 tries mines even the holdout, the VALIDATED verdict additionally requires the top setup’s OOS Sharpe to clear a selection hurdle of 1.09 (√(2 ln N)/√T) AND positive alpha in both windows. Of the eligible setups, 7.8% had positive out-of-sample alpha (median OOS Sharpe -0.25) — the table below is truncated, but this summary covers all of them. How we test: methodology. The scoring contract is published in full; the parameters of each individual setup are not.
Top 20 of 639 eligible setups
Ranked by out-of-sample Sharpe. Full + out-of-sample columns, costs included. Hypothetical.
| # | Setup | TF | Total ret | Sharpe | Max DD | Win | Trades | α vs B&H | OOS Sharpe | OOS α | OOS trades |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 | MA Envelope | Daily | >+999% | 1.54 | -51.9% | 65.4% | 639 | +123.5% | 1.49 | +134.8% | 195 |
| 2 | Connors RSI | Daily | >+999% | 1.37 | -36.7% | 65.1% | 501 | +78.1% | 1.43 | +88.5% | 151 |
| 3 | Williams %R | Daily | >+999% | 1.22 | -60.6% | 70.3% | 286 | +86.6% | 1.41 | +140.8% | 81 |
| 4 | Projection Bands | Daily | >+999% | 1.39 | -48.9% | 71.4% | 426 | +99.0% | 1.37 | +115.5% | 129 |
| 5 | MA Envelope | Weekly | >+999% | 1.22 | -49.7% | 63.5% | 192 | +88.3% | 1.3 | +110.3% | 60 |
| 6 | Markov Regime | Daily | >+999% | 1.03 | -62.6% | 56.0% | 557 | +56.9% | 1.26 | +101.1% | 200 |
| 7 | Fibonacci Pivots | Weekly | >+999% | 1.25 | -51.7% | 52.6% | 348 | +85.2% | 1.26 | +97.1% | 102 |
| 8 | CCI | Daily | >+999% | 1.08 | -52.2% | 68.3% | 227 | +63.5% | 1.23 | +92.9% | 62 |
| 9 | Markov Regime | Weekly | >+999% | 1.0 | -56.6% | 56.2% | 153 | +61.6% | 1.22 | +113.1% | 56 |
| 10 | Connors RSI-2 | Daily | >+999% | 1.25 | -42.4% | 65.1% | 444 | +58.8% | 1.22 | +61.0% | 141 |
| 11 | Murrey Math Lines | Daily | >+999% | 1.25 | -65.7% | 80.7% | 176 | +98.7% | 1.19 | +107.7% | 49 |
| 12 | Stochastic | Daily | >+999% | 1.01 | -66.6% | 72.0% | 157 | +69.7% | 1.1 | +94.0% | 40 |
| 13 | CCI | Weekly | >+999% | 0.81 | -50.2% | 83.1% | 59 | +38.4% | 1.04 | +64.8% | 18 |
| 14 | Projection Bands | Weekly | >+999% | 1.05 | -60.7% | 76.0% | 104 | +73.3% | 1.02 | +78.3% | 29 |
| 15 | Intraday Momentum Index | Daily | >+999% | 0.76 | -69.9% | 66.7% | 75 | +35.4% | 1.01 | +75.5% | 24 |
| 16 | Stochastic Momentum Index | Daily | >+999% | 0.91 | -64.0% | 68.7% | 166 | +53.1% | 0.98 | +70.4% | 43 |
| 17 | SMC: Liquidity Sweep | Daily | >+999% | 0.87 | -72.8% | 75.4% | 134 | +46.7% | 0.98 | +69.4% | 42 |
| 18 | Fisher Center-of-Gravity | Daily | +76.4% | 0.33 | -99.7% | 46.7% | 1,079 | +1.7% | 0.95 | +67.0% | 299 |
| 19 | Pivot Points (Standard) | Daily | >+999% | 0.96 | -63.1% | 52.0% | 1,537 | +52.7% | 0.95 | +57.9% | 401 |
| 20 | Fibonacci Pivots | Daily | >+999% | 0.97 | -68.0% | 51.8% | 1,717 | +56.4% | 0.93 | +58.1% | 470 |
Hypothetical backtests with 0.08%/side costs. Not investment advice — see the full disclaimer.
These are historical backtests of mechanical rules. They are educational research, not investment advice, not a recommendation, and not tailored to you. Educational information only — not investment advice. Hypothetical backtested results; past performance does not guarantee future results. Trading involves risk of loss.