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 1.45 cleared the selection hurdle 1.10. Buy-and-hold benchmark: +0.6% CAGR over 36.4 years (+4.0% 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 698 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 1.45 cleared our multiple-testing hurdle of 1.1. 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 +120.8% annualized over 10.9 years against a buy-and-hold baseline of +0.6%, across 628 trades, with a 65.6% win rate and a -51.9% maximum drawdown. Only 7.5% 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.
Top setups as mechanical rules
Exactly as the backtest defined them — no discretionary steps, no hidden filters.
MA Envelope
Mechanical rule (exactly as backtested): Percent envelope around an EMA — buy the dip below the lower band, exit back at the mean. Signals are evaluated at daily-bar close, the position changes on the NEXT bar, 0.08% cost per side, long/flat only — no leverage, no shorting.
Out-of-sample (last ~30% of the window, never used to pick this setup): Sharpe 1.45 · alpha +120.8% · 189 trades over 10.9 yrs.
Williams %R
Mechanical rule (exactly as backtested): Buy when %R(14) crosses up from below -80, exit above -20. Signals are evaluated at daily-bar close, the position changes on the NEXT bar, 0.08% cost per side, long/flat only — no leverage, no shorting.
Out-of-sample (last ~30% of the window, never used to pick this setup): Sharpe 1.43 · alpha +139.3% · 79 trades over 10.9 yrs.
Connors RSI
Mechanical rule (exactly as backtested): Connors' composite RSI (price + streak) — buy below 20, exit above 70. Signals are evaluated at daily-bar close, the position changes on the NEXT bar, 0.08% cost per side, long/flat only — no leverage, no shorting.
Out-of-sample (last ~30% of the window, never used to pick this setup): Sharpe 1.4 · alpha +78.7% · 148 trades over 10.9 yrs.
Since publication — including if it loses
The forward record is just getting started — the gap between the two is the honest score. Marked to market nightly from real prices, rules frozen at publication, as of 2026-07-02. Currently LONG.
We tested 698 setups (indicator × parameters × timeframe) on Volatility Index (VIX). Only setups with ≥30 trades qualify (643 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 698 tries mines even the holdout, the VALIDATED verdict additionally requires the top setup’s OOS Sharpe to clear a selection hurdle of 1.1 (√(2 ln N)/√T) AND positive alpha in both windows. Of the eligible setups, 7.5% had positive out-of-sample alpha (median OOS Sharpe -0.19) — the table below is truncated, but this summary covers all of them. Full recipe: methodology · the engine’s contract lives in the repo as STRATEGY_METHODOLOGY.md.
Top 20 of 643 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% | 1.52 | -51.9% | 65.6% | 628 | +119.8% | 1.45 | +120.8% | 189 |
| 2 | Williams %R | Daily | >+999% | 1.22 | -60.6% | 70.2% | 282 | +85.6% | 1.43 | +139.3% | 79 |
| 3 | Connors RSI | Daily | >+999% | 1.36 | -36.7% | 65.5% | 496 | +76.7% | 1.4 | +78.7% | 148 |
| 4 | MA Envelope | Weekly | >+999% | 1.22 | -49.7% | 63.2% | 190 | +88.2% | 1.32 | +121.3% | 59 |
| 5 | Projection Bands | Daily | >+999% | 1.37 | -48.9% | 71.2% | 420 | +96.3% | 1.29 | +97.3% | 124 |
| 6 | Markov Regime | Weekly | >+999% | 1.01 | -56.6% | 56.6% | 152 | +61.6% | 1.26 | +126.9% | 57 |
| 7 | Fibonacci Pivots | Weekly | >+999% | 1.24 | -51.7% | 52.5% | 343 | +83.5% | 1.25 | +103.5% | 100 |
| 8 | Murrey Math Lines | Daily | >+999% | 1.25 | -65.7% | 81.6% | 174 | +98.6% | 1.24 | +112.9% | 49 |
| 9 | CCI | Daily | >+999% | 1.08 | -52.2% | 68.3% | 224 | +62.2% | 1.23 | +87.9% | 60 |
| 10 | Stochastic | Daily | >+999% | 1.02 | -66.6% | 72.4% | 156 | +70.4% | 1.21 | +113.7% | 41 |
| 11 | Connors RSI-2 | Daily | >+999% | 1.25 | -42.4% | 65.4% | 442 | +58.2% | 1.19 | +52.7% | 140 |
| 12 | Markov Regime | Daily | >+999% | 1.0 | -62.6% | 55.8% | 547 | +53.9% | 1.18 | +82.9% | 192 |
| 13 | Intraday Momentum Index | Daily | >+999% | 0.77 | -69.9% | 68.0% | 75 | +36.0% | 1.13 | +93.7% | 26 |
| 14 | Projection Bands | Weekly | >+999% | 1.07 | -60.7% | 76.9% | 104 | +74.7% | 1.1 | +92.6% | 30 |
| 15 | Stochastic Momentum Index | Daily | >+999% | 0.92 | -64.0% | 69.1% | 165 | +53.6% | 1.07 | +79.1% | 43 |
| 16 | CCI | Weekly | >+999% | 0.82 | -50.2% | 82.8% | 58 | +38.0% | 1.04 | +59.5% | 17 |
| 17 | Fisher Center-of-Gravity | Daily | +89.0% | 0.33 | -99.7% | 46.5% | 1,069 | +1.2% | 1.02 | +71.7% | 296 |
| 18 | SMC: Liquidity Sweep | Daily | >+999% | 0.88 | -72.8% | 75.9% | 133 | +46.4% | 1.0 | +65.4% | 42 |
| 19 | Fibonacci Pivots | Daily | >+999% | 0.97 | -68.0% | 51.6% | 1,701 | +55.4% | 0.94 | +53.0% | 465 |
| 20 | DeMarker | Daily | >+999% | 0.74 | -68.9% | 75.5% | 110 | +31.1% | 0.94 | +44.4% | 34 |
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.