Vix Mean Reversion

Buy aggressively when volatility spikes, reduce when complacent

VIX Mean Reversion (Buy Fear)

Total Return

+56.2%

Sharpe Ratio

1.06

Max Drawdown

-10.6%

Win Rate

55.9%

Alpha

-7.0%

Comp. Score *

0.38

Risk Parameters

Max Allocation13.6%

Stop Loss10.6%

Take Profit8.0%

Max DD Tolerance10.6%

Rebalanceweekly

Execution Guidance

Order TypeLimit

Entry RuleBuy 0.5% below market in uptrend.

TimingWAIT FOR SIGNAL: Only enter when price spread between paired stocks reaches extreme levels. *

ScalingEnter in 3 tranches over 1-2 weeks.

Positions — Vol-Adjusted Sizing

Symbol	Action	Vol	Stop Loss	Take Profit	Size	Links
SPY	BUY	17%	7.6% below entry	5.8% above entry	19.0%	TV YH
QQQ	BUY	22%	9.7% below entry	7.3% above entry	15.0%	TV YH
TLT	BUY	13%	5.6% below entry	4.2% above entry	25.9%	TV YH
GLD	BUY	23%	10.2% below entry	7.7% above entry	14.2%	TV YH

▶ For Passive Investors (Buy & Hold)

This strategy has moderate long-term potential but requires monitoring. - Take profit: Rebalance when any position exceeds 2x its target weight. Trim back to target, redeploy to underweight positions. - Stop loss: NO price-based stop loss. This strategy recovered from -27% drawdown to return 88% long-term. - Exit rule: Review annually. Exit if strategy underperforms its benchmark for 3 consecutive years.

Avg 5Y Return

45.5%

Avg 5Y Sharpe

0.34

10Y Return

88.0%

10Y Sharpe

0.25

HODL Composite

0.39

Consistency

75%

Suitable for passive