Signal library · Index & ETF
Volatility regime turns risk-off
The volatility index jumps 20% above its 20-day average and the index ETF closes below its 50-day EMA.
- What it is for
- A rising-volatility regime with a broken trend: reduce index exposure.
- Rule
- Sell short on 1d bars when (vix value above 1.2 × vix sma) and (close crosses below e50). Stop: 2.5 × ATR(14) from the entry. Target: 2 × the risk (stop distance). Exit after 20 bars at the latest.
- Side
- ▼ Short (sell / exit)
- Timeframes
- 1d
- Runs on
- Each market's index ETFs, with its volatility index and breadth
Out of sample · after fees and slippage
Verified record
| Market | Timeframe | Status | Trades | Expectancy / trade | Hit rate | Max drawdown |
|---|---|---|---|---|---|---|
| United States | 1d | information only | — | — | — | — |
| India | 1d | information only | — | — | — | — |
| United Kingdom | 1d | information only | — | — | — | — |
| Europe | 1d | information only | — | — | — | — |
Backtested on past data after estimated fees and slippage, out of sample. Past results do not predict future results. Signals are market information, not advice.
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