Volatility: 121 Backtests
Data last updated
Rules that react to how much price is swinging, including low-volatility tilts and volatility breakouts.
21 of 121 strategies finished ahead of the benchmark on the raw number, and 2 had an unadjusted p-value under 0.05. None cleared the correction for trying 1,774 tests in total (a q-value below 0.10), so no result here is a confirmed edge. Scored 2026-10-31, using data up to 2025-03-15.
Strategies here tested on crypto, ETFs, US stocks. See the full family index, the full method and every result, or download the raw registry (JSON).
Results
| Rule | Market | Vs benchmark | Sample | p-value | Corrected q | Receipt |
|---|---|---|---|---|---|---|
| Crypto 4-week momentum, flat when the VIX curve is inverted receipt Source: Simon & Campasano 2014 J. Derivatives (VIX futures basis); Johnson 2017 JFQA (VIX term structure and risk premia); Adrian, Iyer & Qureshi 2022 IMF (crypto moves with equities since 2020) | crypto | +20.2 pts/yr | 1,674 trades | 0.257 | 1.000 | On-site receipt Full test: VIX Term Structure Timing |
| Crypto high idiosyncratic volatility: long the 6 coins with the highest residual volatility to the crypto market, weekly (Zhang-Li) receipt Source: c1023/acad2 | crypto | +16.4 pts/yr | 373 rebalances | 0.154 | 1.000 | On-site receipt |
| Residual volatility to BTC (90-day OLS), top half by residual vol sized by inverse realised volatility, monthly receipt Source: c1024/r3 | crypto | +9.3 pts/yr | 91 rebalances | 0.267 | 1.000 | On-site receipt |
| Merton idiosyncratic-risk premium: long the highest-idiosyncratic-volatility fifth, monthly (Merton; Fu) receipt Source: c1031/acad4 | US stocks | +7.1 pts/yr | 99 rebalances | 0.065 | 0.952 | On-site receipt |
| Aggregate-volatility risk: long the lowest VIX-beta stocks receipt Source: Ang, Hodrick, Xing & Zhang 2006 JF ('The cross-section of volatility and expected returns': high VIX-innovation beta earns low returns) | US stocks | +6.2 pts/yr | 1,872 rebalances | 0.187 | 1.000 | On-site receipt |
| Volatility-managed QQQ with the remainder in AGG (2005+) receipt Source: Moreira & Muir 2017 JF (volatility-managed portfolios) | ETFs | +5.8 pts/yr | 242 rebalances | <0.001 | 0.445 | On-site receipt |
| Half-Kelly QQQ with the remainder in AGG (2005+) receipt Source: Yu et al. via SSRN top-20 #15 (sizing layer only) | ETFs | +4.5 pts/yr | 242 rebalances | 0.016 | 0.692 | On-site receipt |
| Volatility compression: the 10 large caps whose 1-month volatility is lowest relative to their 1-year volatility, monthly receipt Source: c1031/stockxs | US stocks | +4.3 pts/yr | 89 rebalances | 0.145 | 1.000 | On-site receipt |
| Value-at-risk premium: long the quintile with the largest 5% daily loss over the past year (Bali-Cakici) receipt Source: c1024/acad3 | US stocks | +4.0 pts/yr | 90 rebalances | 0.214 | 1.000 | On-site receipt |
| Inverse-volatility risk parity across crypto majors receipt Source: Qian, E. (2005) 'Risk Parity Portfolios', PanAgora | crypto | +3.3 pts/yr | 392 rebalances | 0.336 | 1.000 | On-site receipt |
| Volatility targeting position scaling on trend signal receipt Source: Moskowitz, Ooi, Pedersen (2012) JFE 'Time Series Momentum' | crypto | +3.0 pts/yr | 407 trades | 0.443 | 1.000 | On-site receipt |
| Lowest VIX-beta stocks from weekly innovations, weekly rebalance (40 large caps) receipt Source: c1023/r2 | US stocks | +2.0 pts/yr | 386 rebalances | 0.373 | 1.000 | On-site receipt |
| Crash sensitivity: long the quintile with the highest lower-tail dependence with the market (Chabi-Yo-Ruenzi-Weigert) receipt Source: c1023/acad2 | US stocks | +1.8 pts/yr | 77 rebalances | 0.242 | 1.000 | On-site receipt |
| Low volatility-of-volatility (wide US stocks) receipt Source: Baltussen, van Bekkum & van der Grient 2018 JFQA 'Unknown unknowns: uncertainty about risk and stock returns' (they use implied vol-of-vol; realized is a proxy) | US stocks | +1.5 pts/yr | 102 rebalances | 0.272 | 1.000 | On-site receipt |
| Crypto coskewness: long the 6 alts whose returns co-move least with squared Bitcoin returns, weekly (Harvey-Siddique transfer) receipt Source: c1024/acad3 | crypto | +1.2 pts/yr | 347 rebalances | 0.513 | 1.000 | On-site receipt |
| Lower-tail dependence with the market sorted inside the high-volatility half (wide US stocks), monthly receipt Source: c1024/r3 | US stocks | +1.2 pts/yr | 78 rebalances | 0.366 | 1.000 | On-site receipt |
| Volatility-managed Treasuries (TLT, IEF): 8% vol target, weekly (falsification test of Moreira-Muir on bonds) receipt Source: c1022/acad | ETFs | +1.1 pts/yr | 439 rebalances | 0.189 | 1.000 | On-site receipt |
| Tail-risk beta: long the quintile whose returns load most on innovations in cross-sectional tail risk (Kelly-Jiang) receipt Source: c1022/acad | US stocks | +0.7 pts/yr | 76 rebalances | 0.429 | 1.000 | On-site receipt |
| Realized kurtosis: long the quintile with the fattest-tailed daily returns over the past 3 months (Amaya-Christoffersen-Jacobs-Vasquez) receipt Source: c1024/acad3 | US stocks | +0.5 pts/yr | 99 rebalances | 0.403 | 1.000 | On-site receipt |
| Sector ETF low volatility: hold the 3 least volatile of 11 sectors, monthly receipt Source: c1022/acad | ETFs | +0.0 pts/yr | 99 rebalances | 0.474 | 1.000 | On-site receipt |
| Rate-volatility gate on bonds (MOVE proxy): flat Treasury and credit ETFs when 20-day yield volatility is above its 75th percentile of the past year receipt Source: c1031/macro | ETFs | +0.0 pts/yr | 228 trades | 0.486 | 1.000 | On-site receipt |
| Low (negative) coskewness (wide US stocks) receipt Source: Harvey & Siddique 2000 JF (conditional skewness in asset pricing tests) | US stocks | −0.1 pts/yr | 102 rebalances | 1.000 | 1.000 | On-site receipt |
| QQQ/AGG volatility timing centred on 50/50 receipt Source: Moreira & Muir 2017 JF (volatility-managed portfolios); Cederburg, O'Doherty, Wang & Yan 2020 JFE (out-of-sample doubts) | ETFs | −0.2 pts/yr | 242 rebalances | 1.000 | 1.000 | On-site receipt |
| Inverse realized-vol percentile position scaling (crypto cross-sectional) (wide US stocks) receipt Source: Asness, Frazzini, Pedersen 2012 'Leverage Aversion and Risk Parity' | US stocks | −0.2 pts/yr | 101 rebalances | 1.000 | 1.000 | On-site receipt |
| Hedging-demand warning: stand aside for 5 bars when an index rises over 5 days while the VIX also rises more than 10% receipt Source: c1031/macro | ETFs | −0.4 pts/yr | 360 trades | 1.000 | 1.000 | On-site receipt |
| Volatility targeting on credit ETFs (HYG, LQD), 5% target, weekly (Harvey et al. 'impact of volatility targeting') receipt Source: c1022/acad | ETFs | −0.4 pts/yr | 439 rebalances | 1.000 | 1.000 | On-site receipt |
| VIX low-and-rising early warning on sector ETFs receipt Source: c1022/macro | ETFs | −0.8 pts/yr | 277 trades | 1.000 | 1.000 | On-site receipt |
| 200dma exit taken ONLY in a low-VIX regime (matched complement placebo) receipt Source: none published (Tickfloor research-desk test) | ETFs | −0.9 pts/yr | 340 trades | 1.000 | 1.000 | On-site receipt |
| Variance risk premium sign gate on credit ETFs receipt Source: c1022/macro | ETFs | −1.6 pts/yr | 124 trades | 1.000 | 1.000 | On-site receipt |
| Realized semibetas: long the quintile with the highest negative-minus-positive semibeta (Bollerslev-Patton-Quaedvlieg) receipt Source: c1023/acad2 | US stocks | −1.7 pts/yr | 99 rebalances | 1.000 | 1.000 | On-site receipt |
| Defensive sectors while the VIX curve is inverted receipt Source: Simon & Campasano 2014 J. Derivatives; Johnson 2017 JFQA; Baele, Bekaert, Inghelbrecht & Wei 2020 RFS (flights to safety) | ETFs | −1.7 pts/yr | 2,136 rebalances | 1.000 | 1.000 | On-site receipt Full test: VIX Term Structure Timing |
| Inverse-volatility risk parity across crypto majors (wide US stocks) receipt Source: Qian, E. (2005) 'Risk Parity Portfolios', PanAgora | US stocks | −2.4 pts/yr | 439 rebalances | 1.000 | 1.000 | On-site receipt |
| Realized-vol skew (down-vol vs up-vol) crash-risk timing receipt Source: Ang, Chen, Xing 2006 'Downside Risk' RFS | crypto | −2.5 pts/yr | 698 trades | 1.000 | 1.000 | On-site receipt |
| Complacency exit: flat when VIX is in its bottom decile receipt Source: c1022/macro | ETFs | −2.6 pts/yr | 263 trades | 1.000 | 1.000 | On-site receipt |
| Keltner channel breakout (EMA20 +/- 2 ATR10) receipt Source: c1022/crypto | crypto | −2.6 pts/yr | 432 trades | 1.000 | 1.000 | On-site receipt |
| 200dma exit taken ONLY in a high-VIX regime (VIX >= trailing 504d median) receipt Source: none published (Tickfloor research-desk test) | ETFs | −2.7 pts/yr | 445 trades | 1.000 | 1.000 | On-site receipt |
| Van Tharp fixed-% risk with ATR chandelier trailing exit (wide US stocks) receipt Source: Van Tharp, 'Trade Your Way to Financial Freedom' (1998) | US stocks | −2.9 pts/yr | 8,988 trades | 1.000 | 1.000 | On-site receipt |
| Inverse-volatility weights: all 40 large caps weighted by 1 over their 63-day volatility, monthly receipt Source: c1031/stockxs | US stocks | −3.3 pts/yr | 98 rebalances | 1.000 | 1.000 | On-site receipt |
| Equity ETFs held while the variance risk premium is positive receipt Source: Bollerslev, Tauchen & Zhou 2009 RFS ('Expected stock returns and variance risk premia') | ETFs | −3.3 pts/yr | 262 trades | 1.000 | 1.000 | On-site receipt |
| High variance risk premium versus its own year (VRP above 252d mean) receipt Source: c1022/macro | ETFs | −3.4 pts/yr | 380 trades | 1.000 | 1.000 | On-site receipt |
| 200dma trend exit on equity-sector ETFs (ungated base) receipt Source: none published (Tickfloor research-desk test) | ETFs | −3.4 pts/yr | 398 trades | 1.000 | 1.000 | On-site receipt |
| Realized-vol skew (down-vol vs up-vol) crash-risk timing (wide US stocks) receipt Source: Ang, Chen, Xing 2006 'Downside Risk' RFS | US stocks | −3.6 pts/yr | 1,374 trades | 1.000 | 1.000 | On-site receipt |
| Low Realized Skewness receipt Source: Amaya, Christoffersen, Jacobs & Vasquez 2015 (realized skewness) | US stocks | −3.6 pts/yr | 102 rebalances | 1.000 | 1.000 | On-site receipt |
| Long-only minimum-variance sectors with constant-correlation shrinkage, 252-day, monthly receipt Source: c1031/etfxs | ETFs | −3.7 pts/yr | 90 rebalances | 1.000 | 1.000 | On-site receipt |
| Stand aside when VIX is low but jittery (vol-of-vol spike) receipt Source: Park 2015 JFQA ('Volatility of volatility and tail risk premiums'); Huang, Schlag, Shaliastovich & Thimme 2019 RFS (volatility-of-volatility risk) | ETFs | −3.8 pts/yr | 92 trades | 1.000 | 1.000 | On-site receipt |
| Cross-asset skewness premium: hold the 8 of 25 asset-class ETFs with the most negative one-year daily skewness, monthly (Lemperiere et al.) receipt Source: c1024/acad3 | ETFs | −3.9 pts/yr | 230 rebalances | 1.000 | 1.000 | On-site receipt |
| Good minus bad volatility (signed jump variation) receipt Source: Bollerslev, Li & Zhao 2020 JFQA ('Good volatility, bad volatility, and the cross section of stock returns'), daily-return adaptation | US stocks | −3.9 pts/yr | 99 rebalances | 1.000 | 1.000 | On-site receipt |
| Volatility-managed sector ETFs: scale each sector by target variance / last-month realised variance (Moreira-Muir) receipt Source: c1022/acad | ETFs | −3.9 pts/yr | 101 rebalances | 1.000 | 1.000 | On-site receipt |
| High-beta stocks after a VIX crush receipt Source: Daniel & Moskowitz 2016 JFE (rebounds after panic); Frazzini & Pedersen 2014 (beta); VIX mean-reversion literature | US stocks | −4.0 pts/yr | 1,884 rebalances | 1.000 | 1.000 | On-site receipt |
| VIX golden cross (50d over 200d) as risk-off receipt Source: c1022/macro | ETFs | −4.4 pts/yr | 27 trades | 1.000 | 1.000 | On-site receipt |
| Betting against beta across asset-class ETFs, long low-beta leg weighted by 1/beta (Frazzini-Pedersen) receipt Source: c1022/acad | ETFs | −4.6 pts/yr | 230 rebalances | 1.000 | 1.000 | On-site receipt |
| Treasury volatility gate for equities (MOVE proxy) receipt Source: Choi, Mueller & Vedolin 2017 RFS ('Bond variance risk premiums'); Connolly, Stivers & Sun 2005 JFQA | ETFs | −4.7 pts/yr | 387 rebalances | 1.000 | 1.000 | On-site receipt |
| Moreira-Muir volatility-managed index using implied vol (target 15) receipt Source: c1022/macro | ETFs | −5.1 pts/yr | 5,081 rebalances | 1.000 | 1.000 | On-site receipt |
| MAX Lottery receipt Source: Bali, Cakici & Whitelaw 2011 (MAX effect) | US stocks | −5.2 pts/yr | 102 rebalances | 1.000 | 1.000 | On-site receipt |
| VIX term-structure beta: the 8 large caps with the highest sensitivity to weekly changes in VIX3M over VIX, weekly receipt Source: c1031/stockxs | US stocks | −5.5 pts/yr | 386 rebalances | 1.000 | 1.000 | On-site receipt |
| Safe-haven basket while the VIX curve is inverted: UUP, TLT and GLD from ratio of 1.0 or more until it falls below 0.95 receipt Source: c1031/macro | ETFs | −5.5 pts/yr | 132 trades | 1.000 | 1.000 | On-site receipt |
| Absorption-ratio shift gate on sector momentum (Kritzman et al.), defensive IEF when the shift z > 1 receipt Source: c1031/etfxs | ETFs | −5.7 pts/yr | 79 rebalances | 1.000 | 1.000 | On-site receipt |
| 1-day cross-sectional reversal, active only in top-quintile VIX receipt Source: Nagel 2012 RFS Evaporating Liquidity; base = mrsa-cross-sectional-stock-reversal-1d | US stocks | −5.7 pts/yr | 2,136 rebalances | 1.000 | 1.000 | On-site receipt |
| VIX3M below its 50-day average as the equity gate receipt Source: c1022/macro | ETFs | −5.8 pts/yr | 302 trades | 1.000 | 1.000 | On-site receipt |
| Idiosyncratic vol, skew and MAX composite: long the lowest 20% of wide US stocks, monthly receipt Source: c1031/acad4 | US stocks | −6.0 pts/yr | 99 rebalances | 1.000 | 1.000 | On-site receipt |
| Kritzman-Li turbulence index risk-off receipt Source: Kritzman & Li 2010 FAJ ('Skulls, financial turbulence, and risk management') | ETFs | −6.1 pts/yr | 2,136 rebalances | 1.000 | 1.000 | On-site receipt |
| Cokurtosis premium: long the quintile whose returns co-move most with the cubed market return (Dittmar) receipt Source: c1024/acad3 | US stocks | −6.3 pts/yr | 90 rebalances | 1.000 | 1.000 | On-site receipt |
| Vol-managed exposure: long QQQ only in low-realized-vol regime receipt Source: Moreira & Muir 2017 JF (Volatility-Managed Portfolios) | ETFs | −6.6 pts/yr | 92 trades | 1.000 | 1.000 | On-site receipt |
| 1-day cross-sectional reversal, active only in bottom-quintile VIX (matched control) receipt Source: none published (Tickfloor research-desk test) | US stocks | −6.9 pts/yr | 2,136 rebalances | 1.000 | 1.000 | On-site receipt |
| Within-sector low volatility: the least volatile fifth of each sector, equal weight, monthly (Baker-Bradley-Taliaferro micro component) receipt Source: c1024/acad3 | US stocks | −7.0 pts/yr | 90 rebalances | 1.000 | 1.000 | On-site receipt |
| Equal-risk-contribution (true risk parity) across 9 asset-class ETFs, 126-day covariance, monthly receipt Source: c1031/etfxs | ETFs | −7.3 pts/yr | 96 rebalances | 1.000 | 1.000 | On-site receipt |
| Unlevered risk parity across 7 asset-class ETFs: inverse 1-year volatility weights, monthly (Asness-Frazzini-Pedersen) receipt Source: c1031/acad4 | ETFs | −7.4 pts/yr | 90 rebalances | 1.000 | 1.000 | On-site receipt |
| Minimum Correlation Algorithm weights across 12 cross-asset ETFs, 252-day, monthly receipt Source: c1031/etfxs | ETFs | −7.4 pts/yr | 90 rebalances | 1.000 | 1.000 | On-site receipt |
| VIX Schmitt trigger: leave equity ETFs when VIX closes at 22 or more, return only once it is back to 17 or less receipt Source: c1031/macro | ETFs | −7.6 pts/yr | 117 trades | 1.000 | 1.000 | On-site receipt |
| Left-tail momentum: long the quintile with the smallest expected shortfall over the past year (Atilgan-Bali-Demirtas-Gunaydin) receipt Source: c1024/acad3 | US stocks | −8.3 pts/yr | 90 rebalances | 1.000 | 1.000 | On-site receipt |
| Credit in calm markets, duration when VIX is elevated receipt Source: Connolly, Stivers & Sun 2005 JFQA (stock market uncertainty and the stock-bond relation); Baele et al. 2020 RFS | ETFs | −9.1 pts/yr | 443 rebalances | 1.000 | 1.000 | On-site receipt |
| Crypto conservative formula: lowest-vol half, then top 4 by 12-week momentum, weekly (Blitz-van Vliet in crypto) receipt Source: c1022/acad | crypto | −9.1 pts/yr | 339 rebalances | 1.000 | 1.000 | On-site receipt |
| Low maximum drawdown: the 8 large caps with the shallowest worst peak-to-trough fall over the past year, monthly receipt Source: c1031/stockxs | US stocks | −9.2 pts/yr | 89 rebalances | 1.000 | 1.000 | On-site receipt |
| Fading-fear re-entry: buy equity ETFs when an elevated VIX has fallen 15% in a week receipt Source: c1031/macro | ETFs | −9.7 pts/yr | 107 trades | 1.000 | 1.000 | On-site receipt |
| Conservative formula, price-only: low 3-year volatility then high 12-1 momentum (Blitz-van Vliet) receipt Source: c1022/acad | US stocks | −10.4 pts/yr | 66 rebalances | 1.000 | 1.000 | On-site receipt |
| Low overnight-gap volatility: the 10 large caps with the calmest open-versus-previous-close gaps over 6 months, monthly receipt Source: c1031/stockxs | US stocks | −10.5 pts/yr | 95 rebalances | 1.000 | 1.000 | On-site receipt |
| Crypto downside beta: long the 6 coins with the highest beta to the crypto market on its down days, weekly (Zhang-Li-Xiong-Wang) receipt Source: c1023/acad2 | crypto | −11.2 pts/yr | 352 rebalances | 1.000 | 1.000 | On-site receipt |
| VIX futures contango/backwardation SPY timing receipt Source: CBOE; various QuantConnect community backtests of VIX contango timing | ETFs | −11.5 pts/yr | 291 trades | 1.000 | 1.000 | On-site receipt Full test: VIX Term Structure Timing |
| Crypto crash sensitivity to Bitcoin: long the 6 alts with the highest lower-tail dependence with BTC, weekly (Chabi-Yo-Ruenzi-Weigert transfer) receipt Source: c1023/acad2 | crypto | −11.8 pts/yr | 307 rebalances | 1.000 | 1.000 | On-site receipt |
| VIX futures contango/backwardation SPY timing (wide US stocks) receipt Source: CBOE; various QuantConnect community backtests of VIX contango timing | US stocks | −12.3 pts/yr | 24,227 trades | 1.000 | 1.000 | On-site receipt |
| Low-volatility anomaly, long-only (direct, 60m realized vol) (wide US stocks) receipt Source: Baker-Bradley-Wurgler / Frazzini-Pedersen low-vol anomaly; long-only rewrite of wide-equity-factors-low-vol-anomaly-direct | US stocks | −12.7 pts/yr | 42 rebalances | 1.000 | 1.000 | On-site receipt |
| Minervini VCP (volatility contraction pattern) (wide US stocks) receipt Source: Mark Minervini SEPA/VCP | US stocks | −12.7 pts/yr | 342 rebalances | 1.000 | 1.000 | On-site receipt |
| Ulcer drawdown recovery receipt Source: none published (Tickfloor research-desk test) | US stocks | −12.8 pts/yr | 600 trades | 1.000 | 1.000 | On-site receipt |
| Average skewness timing: hold the equity universe only when average cross-sectional skewness is below its historical median (Jondeau-Zhang-Zhu) receipt Source: c1023/acad2 | US stocks | −12.9 pts/yr | 37 rebalances | 1.000 | 1.000 | On-site receipt |
| VIX spike mean-reversion into SPY receipt Source: Simon & Wiggins 2001 J. Futures Markets; CBOE VIX spike studies | ETFs | −13.1 pts/yr | 13 trades | 1.000 | 1.000 | On-site receipt |
| Crypto low volatility-of-volatility: long the 6 coins whose rolling 7-day volatility was most stable over 60 days, weekly (Baltussen-van Bekkum-van der Grient transfer) receipt Source: c1023/acad2 | crypto | −13.4 pts/yr | 368 rebalances | 1.000 | 1.000 | On-site receipt |
| Larry Williams %-range volatility breakout (0.7x) (wide US stocks) receipt Source: Larry Williams, 'Long-Term Secrets to Short-Term Trading' (1999) | US stocks | −15.2 pts/yr | 80,784 trades | 1.000 | 1.000 | On-site receipt |
| Larry Williams volatility breakout (day-trade) (wide US stocks) receipt Source: Larry Williams, 'Long-Term Secrets to Short-Term Trading' (1999) | US stocks | −15.2 pts/yr | 80,784 trades | 1.000 | 1.000 | On-site receipt Full test: Larry Williams Volatility Breakout |
| Minervini VCP (volatility contraction pattern) receipt Source: Mark Minervini SEPA/VCP | US stocks | −15.7 pts/yr | 236 rebalances | 1.000 | 1.000 | On-site receipt |
| Narrowest seven-bar range breakout receipt Source: none published (Tickfloor research-desk test) | US stocks | −15.7 pts/yr | 711 trades | 1.000 | 1.000 | On-site receipt |
| Van Tharp fixed-% risk with ATR chandelier trailing exit receipt Source: Van Tharp, 'Trade Your Way to Financial Freedom' (1998) | crypto | −15.8 pts/yr | 936 trades | 1.000 | 1.000 | On-site receipt |
| Crypto 4-week trend with per-coin volatility targeting receipt Source: Moskowitz, Ooi & Pedersen 2012 JFE (volatility-scaled TSMOM); Barroso & Santa-Clara 2015 JFE; Zarattini, Pagani & Barbon 2025 (volatility-targeted crypto trend) | crypto | −16.4 pts/yr | 361 rebalances | 1.000 | 1.000 | On-site receipt |
| Crypto realized kurtosis: long the 6 coins with the fattest-tailed daily returns over the past 63 days, weekly (Amaya et al. transfer) receipt Source: c1024/acad3 | crypto | −16.6 pts/yr | 369 rebalances | 1.000 | 1.000 | On-site receipt |
| VIX spike mean-reversion into SPY (wide US stocks) receipt Source: Simon & Wiggins 2001 J. Futures Markets; CBOE VIX spike studies | US stocks | −17.2 pts/yr | 1,537 trades | 1.000 | 1.000 | On-site receipt |
| Upside semivariance momentum receipt Source: none published (Tickfloor research-desk test) | US stocks | −17.2 pts/yr | 508 trades | 1.000 | 1.000 | On-site receipt |
| Low-volatility anomaly (direct, 60m realized vol) (wide US stocks) receipt Source: Baker-Bradley-Wurgler / Frazzini-Pedersen low-vol anomaly | US stocks | −17.4 pts/yr | 42 rebalances | 1.000 | 1.000 | On-site receipt |
| Range-volatility momentum gate receipt Source: none published (Tickfloor research-desk test) | US stocks | −17.4 pts/yr | 201 trades | 1.000 | 1.000 | On-site receipt |
| Crypto value-at-risk premium: long the 6 coins with the largest 5% daily-loss size over 90 days, weekly (Bali-Cakici transfer) receipt Source: c1031/acad4 | crypto | −17.7 pts/yr | 339 rebalances | 1.000 | 1.000 | On-site receipt |
| Inverse realized-vol percentile position scaling (crypto cross-sectional) receipt Source: Asness, Frazzini, Pedersen 2012 'Leverage Aversion and Risk Parity' | crypto | −18.1 pts/yr | 90 rebalances | 1.000 | 1.000 | On-site receipt |
| Low-volatility anomaly (direct, 60m realized vol) receipt Source: Baker-Bradley-Wurgler / Frazzini-Pedersen low-vol anomaly | US stocks | −20.9 pts/yr | 42 rebalances | 1.000 | 1.000 | On-site receipt |
| Crypto MAX Lottery receipt Source: Grobys & Junttila 2021 | crypto | −25.8 pts/yr | 395 rebalances | 1.000 | 1.000 | On-site receipt |
| Crypto stable-volume premium: long the 6 coins with the lowest coefficient of variation of dollar volume over 90 days, weekly (Chordia-Subrahmanyam-Anshuman transfer) receipt Source: c1031/acad4 | crypto | −29.6 pts/yr | 340 rebalances | 1.000 | 1.000 | On-site receipt |
| Trend with a stand-down when funding becomes unstable receipt Source: He, Manela, Ross & von Wachter 2022 'Fundamentals of perpetual futures' (funding volatility = arbitrage-capital stress); Brunnermeier & Pedersen 2009 | crypto | −38.6 pts/yr | 942 trades | 1.000 | 1.000 | On-site receipt |
| Crypto low realised volatility, weekly (low-vol anomaly test in the LTW cross-section) receipt Source: c1022/acad | crypto | −44.0 pts/yr | 374 rebalances | 1.000 | 1.000 | On-site receipt |
| Low-realized-vol regime filter for trend entries receipt Source: Ang, Hodrick, Xing, Zhang 2006 JF 'The Cross-Section of Volatility and Expected Returns' | crypto | −50.0 pts/yr | 1,002 trades | 1.000 | 1.000 | On-site receipt |
| 10% annualized volatility targeting overlay receipt Source: Moreira & Muir 2017 JF | crypto | −52.0 pts/yr | 2,736 rebalances | 1.000 | 1.000 | On-site receipt |
| Funding pinned at the clamp = no leverage interest, trade the ensuing 20-day breakout receipt Source: c1022/crypto | crypto | −57.7 pts/yr | 117 trades | 1.000 | 1.000 | On-site receipt |
| Larry Williams %-range volatility breakout (0.7x) receipt Source: Larry Williams, 'Long-Term Secrets to Short-Term Trading' (1999) | crypto | −61.6 pts/yr | 8,256 trades | 1.000 | 1.000 | On-site receipt |
| Larry Williams volatility breakout (day-trade) receipt Source: Larry Williams, 'Long-Term Secrets to Short-Term Trading' (1999) | crypto | −61.6 pts/yr | 8,256 trades | 1.000 | 1.000 | On-site receipt Full test: Larry Williams Volatility Breakout |
| Daily Garman-Klass volatility expansion continuation receipt Source: c1022/crypto | crypto | −70.6 pts/yr | 4,380 trades | 1.000 | 1.000 | On-site receipt |
| Three-day range compression then breakout receipt Source: c1022/crypto | crypto | −70.9 pts/yr | 1,316 trades | 1.000 | 1.000 | On-site receipt |
| Narrow CPR breakout (Ochoa central pivot range) receipt Source: c1022/retail | crypto | −71.5 pts/yr | 1,556 trades | 1.000 | 1.000 | On-site receipt |
| ATR-normalized breakout, 1h bars receipt Source: none published (Tickfloor research-desk test) | crypto | −74.8 pts/yr | 5,258 trades | 1.000 | 1.000 | On-site receipt |
| Inside-day NR4 (ID/NR4) breakout (Crabel) receipt Source: c1022/crypto | crypto | −76.2 pts/yr | 2,435 trades | 1.000 | 1.000 | On-site receipt |
| NR7 compression then next-day breakout (Crabel) receipt Source: c1022/crypto | crypto | −78.4 pts/yr | 3,297 trades | 1.000 | 1.000 | On-site receipt |
| ATR percentile filter on breakout entries receipt Source: none published (Tickfloor research-desk test) | crypto | −83.6 pts/yr | 3,107 trades | 1.000 | 1.000 | On-site receipt |
| Relative volume by hour-of-day with a 24h breakout receipt Source: c1022/crypto | crypto | −86.5 pts/yr | 5,000 trades | 1.000 | 1.000 | On-site receipt |
| Compressed Asia range breakout in the London session receipt Source: c1031/intraday | crypto | −93.5 pts/yr | 3,650 trades | 1.000 | 1.000 | On-site receipt |
| TTM squeeze release on hourly crypto receipt Source: c1031/intraday | crypto | −97.6 pts/yr | 8,730 trades | 1.000 | 1.000 | On-site receipt |
| Hourly wide-range bar closing at its extreme: continuation receipt Source: c1022/crypto | crypto | −98.4 pts/yr | 3,110 trades | 1.000 | 1.000 | On-site receipt |
| New York open range breakout on hourly crypto receipt Source: c1022/retail | crypto | −107.8 pts/yr | 7,311 trades | 1.000 | 1.000 | On-site receipt |
- Crypto 4-week momentum, flat when the VIX curve is inverted
crypto · +20.2 pts/yr · 1,674 trades · corrected q 1.000
Full test: VIX Term Structure Timing
Source, p-value and result file
- Source
- Simon & Campasano 2014 J. Derivatives (VIX futures basis); Johnson 2017 JFQA (VIX term structure and risk premia); Adrian, Iyer & Qureshi 2022 IMF (crypto moves with equities since 2020)
- p-value
- 0.257
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crypto high idiosyncratic volatility: long the 6 coins with the highest residual volatility to the crypto market, weekly (Zhang-Li)
crypto · +16.4 pts/yr · 373 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1023/acad2
- p-value
- 0.154
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Residual volatility to BTC (90-day OLS), top half by residual vol sized by inverse realised volatility, monthly
crypto · +9.3 pts/yr · 91 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1024/r3
- p-value
- 0.267
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Merton idiosyncratic-risk premium: long the highest-idiosyncratic-volatility fifth, monthly (Merton; Fu)
US stocks · +7.1 pts/yr · 99 rebalances · corrected q 0.952
Source, p-value and result file
- Source
- c1031/acad4
- p-value
- 0.065
- Corrected q
- 0.952
- Receipt
- On-site receipt
- Aggregate-volatility risk: long the lowest VIX-beta stocks
US stocks · +6.2 pts/yr · 1,872 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Ang, Hodrick, Xing & Zhang 2006 JF ('The cross-section of volatility and expected returns': high VIX-innovation beta earns low returns)
- p-value
- 0.187
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Volatility-managed QQQ with the remainder in AGG (2005+)
ETFs · +5.8 pts/yr · 242 rebalances · corrected q 0.445
Source, p-value and result file
- Source
- Moreira & Muir 2017 JF (volatility-managed portfolios)
- p-value
- <0.001
- Corrected q
- 0.445
- Receipt
- On-site receipt
- Half-Kelly QQQ with the remainder in AGG (2005+)
ETFs · +4.5 pts/yr · 242 rebalances · corrected q 0.692
Source, p-value and result file
- Source
- Yu et al. via SSRN top-20 #15 (sizing layer only)
- p-value
- 0.016
- Corrected q
- 0.692
- Receipt
- On-site receipt
- Volatility compression: the 10 large caps whose 1-month volatility is lowest relative to their 1-year volatility, monthly
US stocks · +4.3 pts/yr · 89 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/stockxs
- p-value
- 0.145
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Value-at-risk premium: long the quintile with the largest 5% daily loss over the past year (Bali-Cakici)
US stocks · +4.0 pts/yr · 90 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1024/acad3
- p-value
- 0.214
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Inverse-volatility risk parity across crypto majors
crypto · +3.3 pts/yr · 392 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Qian, E. (2005) 'Risk Parity Portfolios', PanAgora
- p-value
- 0.336
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Volatility targeting position scaling on trend signal
crypto · +3.0 pts/yr · 407 trades · corrected q 1.000
Source, p-value and result file
- Source
- Moskowitz, Ooi, Pedersen (2012) JFE 'Time Series Momentum'
- p-value
- 0.443
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Lowest VIX-beta stocks from weekly innovations, weekly rebalance (40 large caps)
US stocks · +2.0 pts/yr · 386 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1023/r2
- p-value
- 0.373
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crash sensitivity: long the quintile with the highest lower-tail dependence with the market (Chabi-Yo-Ruenzi-Weigert)
US stocks · +1.8 pts/yr · 77 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1023/acad2
- p-value
- 0.242
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Low volatility-of-volatility (wide US stocks)
US stocks · +1.5 pts/yr · 102 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Baltussen, van Bekkum & van der Grient 2018 JFQA 'Unknown unknowns: uncertainty about risk and stock returns' (they use implied vol-of-vol; realized is a proxy)
- p-value
- 0.272
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crypto coskewness: long the 6 alts whose returns co-move least with squared Bitcoin returns, weekly (Harvey-Siddique transfer)
crypto · +1.2 pts/yr · 347 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1024/acad3
- p-value
- 0.513
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Lower-tail dependence with the market sorted inside the high-volatility half (wide US stocks), monthly
US stocks · +1.2 pts/yr · 78 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1024/r3
- p-value
- 0.366
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Volatility-managed Treasuries (TLT, IEF): 8% vol target, weekly (falsification test of Moreira-Muir on bonds)
ETFs · +1.1 pts/yr · 439 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1022/acad
- p-value
- 0.189
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Tail-risk beta: long the quintile whose returns load most on innovations in cross-sectional tail risk (Kelly-Jiang)
US stocks · +0.7 pts/yr · 76 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1022/acad
- p-value
- 0.429
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Realized kurtosis: long the quintile with the fattest-tailed daily returns over the past 3 months (Amaya-Christoffersen-Jacobs-Vasquez)
US stocks · +0.5 pts/yr · 99 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1024/acad3
- p-value
- 0.403
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Sector ETF low volatility: hold the 3 least volatile of 11 sectors, monthly
ETFs · +0.0 pts/yr · 99 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1022/acad
- p-value
- 0.474
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Rate-volatility gate on bonds (MOVE proxy): flat Treasury and credit ETFs when 20-day yield volatility is above its 75th percentile of the past year
ETFs · +0.0 pts/yr · 228 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1031/macro
- p-value
- 0.486
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Low (negative) coskewness (wide US stocks)
US stocks · −0.1 pts/yr · 102 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Harvey & Siddique 2000 JF (conditional skewness in asset pricing tests)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- QQQ/AGG volatility timing centred on 50/50
ETFs · −0.2 pts/yr · 242 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Moreira & Muir 2017 JF (volatility-managed portfolios); Cederburg, O'Doherty, Wang & Yan 2020 JFE (out-of-sample doubts)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Inverse realized-vol percentile position scaling (crypto cross-sectional) (wide US stocks)
US stocks · −0.2 pts/yr · 101 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Asness, Frazzini, Pedersen 2012 'Leverage Aversion and Risk Parity'
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Hedging-demand warning: stand aside for 5 bars when an index rises over 5 days while the VIX also rises more than 10%
ETFs · −0.4 pts/yr · 360 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1031/macro
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Volatility targeting on credit ETFs (HYG, LQD), 5% target, weekly (Harvey et al. 'impact of volatility targeting')
ETFs · −0.4 pts/yr · 439 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1022/acad
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- VIX low-and-rising early warning on sector ETFs
ETFs · −0.8 pts/yr · 277 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1022/macro
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- 200dma exit taken ONLY in a low-VIX regime (matched complement placebo)
ETFs · −0.9 pts/yr · 340 trades · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Variance risk premium sign gate on credit ETFs
ETFs · −1.6 pts/yr · 124 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1022/macro
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Realized semibetas: long the quintile with the highest negative-minus-positive semibeta (Bollerslev-Patton-Quaedvlieg)
US stocks · −1.7 pts/yr · 99 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1023/acad2
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Defensive sectors while the VIX curve is inverted
ETFs · −1.7 pts/yr · 2,136 rebalances · corrected q 1.000
Full test: VIX Term Structure Timing
Source, p-value and result file
- Source
- Simon & Campasano 2014 J. Derivatives; Johnson 2017 JFQA; Baele, Bekaert, Inghelbrecht & Wei 2020 RFS (flights to safety)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Inverse-volatility risk parity across crypto majors (wide US stocks)
US stocks · −2.4 pts/yr · 439 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Qian, E. (2005) 'Risk Parity Portfolios', PanAgora
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Realized-vol skew (down-vol vs up-vol) crash-risk timing
crypto · −2.5 pts/yr · 698 trades · corrected q 1.000
Source, p-value and result file
- Source
- Ang, Chen, Xing 2006 'Downside Risk' RFS
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Complacency exit: flat when VIX is in its bottom decile
ETFs · −2.6 pts/yr · 263 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1022/macro
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Keltner channel breakout (EMA20 +/- 2 ATR10)
crypto · −2.6 pts/yr · 432 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1022/crypto
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- 200dma exit taken ONLY in a high-VIX regime (VIX >= trailing 504d median)
ETFs · −2.7 pts/yr · 445 trades · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Van Tharp fixed-% risk with ATR chandelier trailing exit (wide US stocks)
US stocks · −2.9 pts/yr · 8,988 trades · corrected q 1.000
Source, p-value and result file
- Source
- Van Tharp, 'Trade Your Way to Financial Freedom' (1998)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Inverse-volatility weights: all 40 large caps weighted by 1 over their 63-day volatility, monthly
US stocks · −3.3 pts/yr · 98 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/stockxs
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Equity ETFs held while the variance risk premium is positive
ETFs · −3.3 pts/yr · 262 trades · corrected q 1.000
Source, p-value and result file
- Source
- Bollerslev, Tauchen & Zhou 2009 RFS ('Expected stock returns and variance risk premia')
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- High variance risk premium versus its own year (VRP above 252d mean)
ETFs · −3.4 pts/yr · 380 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1022/macro
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- 200dma trend exit on equity-sector ETFs (ungated base)
ETFs · −3.4 pts/yr · 398 trades · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Realized-vol skew (down-vol vs up-vol) crash-risk timing (wide US stocks)
US stocks · −3.6 pts/yr · 1,374 trades · corrected q 1.000
Source, p-value and result file
- Source
- Ang, Chen, Xing 2006 'Downside Risk' RFS
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Low Realized Skewness
US stocks · −3.6 pts/yr · 102 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Amaya, Christoffersen, Jacobs & Vasquez 2015 (realized skewness)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Long-only minimum-variance sectors with constant-correlation shrinkage, 252-day, monthly
ETFs · −3.7 pts/yr · 90 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/etfxs
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Stand aside when VIX is low but jittery (vol-of-vol spike)
ETFs · −3.8 pts/yr · 92 trades · corrected q 1.000
Source, p-value and result file
- Source
- Park 2015 JFQA ('Volatility of volatility and tail risk premiums'); Huang, Schlag, Shaliastovich & Thimme 2019 RFS (volatility-of-volatility risk)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Cross-asset skewness premium: hold the 8 of 25 asset-class ETFs with the most negative one-year daily skewness, monthly (Lemperiere et al.)
ETFs · −3.9 pts/yr · 230 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1024/acad3
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Good minus bad volatility (signed jump variation)
US stocks · −3.9 pts/yr · 99 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Bollerslev, Li & Zhao 2020 JFQA ('Good volatility, bad volatility, and the cross section of stock returns'), daily-return adaptation
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Volatility-managed sector ETFs: scale each sector by target variance / last-month realised variance (Moreira-Muir)
ETFs · −3.9 pts/yr · 101 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1022/acad
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- High-beta stocks after a VIX crush
US stocks · −4.0 pts/yr · 1,884 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Daniel & Moskowitz 2016 JFE (rebounds after panic); Frazzini & Pedersen 2014 (beta); VIX mean-reversion literature
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- VIX golden cross (50d over 200d) as risk-off
ETFs · −4.4 pts/yr · 27 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1022/macro
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Betting against beta across asset-class ETFs, long low-beta leg weighted by 1/beta (Frazzini-Pedersen)
ETFs · −4.6 pts/yr · 230 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1022/acad
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Treasury volatility gate for equities (MOVE proxy)
ETFs · −4.7 pts/yr · 387 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Choi, Mueller & Vedolin 2017 RFS ('Bond variance risk premiums'); Connolly, Stivers & Sun 2005 JFQA
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Moreira-Muir volatility-managed index using implied vol (target 15)
ETFs · −5.1 pts/yr · 5,081 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1022/macro
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- MAX Lottery
US stocks · −5.2 pts/yr · 102 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Bali, Cakici & Whitelaw 2011 (MAX effect)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- VIX term-structure beta: the 8 large caps with the highest sensitivity to weekly changes in VIX3M over VIX, weekly
US stocks · −5.5 pts/yr · 386 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/stockxs
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Safe-haven basket while the VIX curve is inverted: UUP, TLT and GLD from ratio of 1.0 or more until it falls below 0.95
ETFs · −5.5 pts/yr · 132 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1031/macro
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Absorption-ratio shift gate on sector momentum (Kritzman et al.), defensive IEF when the shift z > 1
ETFs · −5.7 pts/yr · 79 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/etfxs
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- 1-day cross-sectional reversal, active only in top-quintile VIX
US stocks · −5.7 pts/yr · 2,136 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Nagel 2012 RFS Evaporating Liquidity; base = mrsa-cross-sectional-stock-reversal-1d
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- VIX3M below its 50-day average as the equity gate
ETFs · −5.8 pts/yr · 302 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1022/macro
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Idiosyncratic vol, skew and MAX composite: long the lowest 20% of wide US stocks, monthly
US stocks · −6.0 pts/yr · 99 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/acad4
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Kritzman-Li turbulence index risk-off
ETFs · −6.1 pts/yr · 2,136 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Kritzman & Li 2010 FAJ ('Skulls, financial turbulence, and risk management')
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Cokurtosis premium: long the quintile whose returns co-move most with the cubed market return (Dittmar)
US stocks · −6.3 pts/yr · 90 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1024/acad3
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Vol-managed exposure: long QQQ only in low-realized-vol regime
ETFs · −6.6 pts/yr · 92 trades · corrected q 1.000
Source, p-value and result file
- Source
- Moreira & Muir 2017 JF (Volatility-Managed Portfolios)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- 1-day cross-sectional reversal, active only in bottom-quintile VIX (matched control)
US stocks · −6.9 pts/yr · 2,136 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Within-sector low volatility: the least volatile fifth of each sector, equal weight, monthly (Baker-Bradley-Taliaferro micro component)
US stocks · −7.0 pts/yr · 90 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1024/acad3
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Equal-risk-contribution (true risk parity) across 9 asset-class ETFs, 126-day covariance, monthly
ETFs · −7.3 pts/yr · 96 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/etfxs
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Unlevered risk parity across 7 asset-class ETFs: inverse 1-year volatility weights, monthly (Asness-Frazzini-Pedersen)
ETFs · −7.4 pts/yr · 90 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/acad4
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Minimum Correlation Algorithm weights across 12 cross-asset ETFs, 252-day, monthly
ETFs · −7.4 pts/yr · 90 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/etfxs
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- VIX Schmitt trigger: leave equity ETFs when VIX closes at 22 or more, return only once it is back to 17 or less
ETFs · −7.6 pts/yr · 117 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1031/macro
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Left-tail momentum: long the quintile with the smallest expected shortfall over the past year (Atilgan-Bali-Demirtas-Gunaydin)
US stocks · −8.3 pts/yr · 90 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1024/acad3
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Credit in calm markets, duration when VIX is elevated
ETFs · −9.1 pts/yr · 443 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Connolly, Stivers & Sun 2005 JFQA (stock market uncertainty and the stock-bond relation); Baele et al. 2020 RFS
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crypto conservative formula: lowest-vol half, then top 4 by 12-week momentum, weekly (Blitz-van Vliet in crypto)
crypto · −9.1 pts/yr · 339 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1022/acad
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Low maximum drawdown: the 8 large caps with the shallowest worst peak-to-trough fall over the past year, monthly
US stocks · −9.2 pts/yr · 89 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/stockxs
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Fading-fear re-entry: buy equity ETFs when an elevated VIX has fallen 15% in a week
ETFs · −9.7 pts/yr · 107 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1031/macro
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Conservative formula, price-only: low 3-year volatility then high 12-1 momentum (Blitz-van Vliet)
US stocks · −10.4 pts/yr · 66 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1022/acad
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Low overnight-gap volatility: the 10 large caps with the calmest open-versus-previous-close gaps over 6 months, monthly
US stocks · −10.5 pts/yr · 95 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/stockxs
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crypto downside beta: long the 6 coins with the highest beta to the crypto market on its down days, weekly (Zhang-Li-Xiong-Wang)
crypto · −11.2 pts/yr · 352 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1023/acad2
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- VIX futures contango/backwardation SPY timing
ETFs · −11.5 pts/yr · 291 trades · corrected q 1.000
Full test: VIX Term Structure Timing
Source, p-value and result file
- Source
- CBOE; various QuantConnect community backtests of VIX contango timing
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crypto crash sensitivity to Bitcoin: long the 6 alts with the highest lower-tail dependence with BTC, weekly (Chabi-Yo-Ruenzi-Weigert transfer)
crypto · −11.8 pts/yr · 307 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1023/acad2
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- VIX futures contango/backwardation SPY timing (wide US stocks)
US stocks · −12.3 pts/yr · 24,227 trades · corrected q 1.000
Source, p-value and result file
- Source
- CBOE; various QuantConnect community backtests of VIX contango timing
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Low-volatility anomaly, long-only (direct, 60m realized vol) (wide US stocks)
US stocks · −12.7 pts/yr · 42 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Baker-Bradley-Wurgler / Frazzini-Pedersen low-vol anomaly; long-only rewrite of wide-equity-factors-low-vol-anomaly-direct
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Minervini VCP (volatility contraction pattern) (wide US stocks)
US stocks · −12.7 pts/yr · 342 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Mark Minervini SEPA/VCP
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Ulcer drawdown recovery
US stocks · −12.8 pts/yr · 600 trades · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Average skewness timing: hold the equity universe only when average cross-sectional skewness is below its historical median (Jondeau-Zhang-Zhu)
US stocks · −12.9 pts/yr · 37 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1023/acad2
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- VIX spike mean-reversion into SPY
ETFs · −13.1 pts/yr · 13 trades · corrected q 1.000
Source, p-value and result file
- Source
- Simon & Wiggins 2001 J. Futures Markets; CBOE VIX spike studies
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crypto low volatility-of-volatility: long the 6 coins whose rolling 7-day volatility was most stable over 60 days, weekly (Baltussen-van Bekkum-van der Grient transfer)
crypto · −13.4 pts/yr · 368 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1023/acad2
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Larry Williams %-range volatility breakout (0.7x) (wide US stocks)
US stocks · −15.2 pts/yr · 80,784 trades · corrected q 1.000
Source, p-value and result file
- Source
- Larry Williams, 'Long-Term Secrets to Short-Term Trading' (1999)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Larry Williams volatility breakout (day-trade) (wide US stocks)
US stocks · −15.2 pts/yr · 80,784 trades · corrected q 1.000
Full test: Larry Williams Volatility Breakout
Source, p-value and result file
- Source
- Larry Williams, 'Long-Term Secrets to Short-Term Trading' (1999)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Minervini VCP (volatility contraction pattern)
US stocks · −15.7 pts/yr · 236 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Mark Minervini SEPA/VCP
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Narrowest seven-bar range breakout
US stocks · −15.7 pts/yr · 711 trades · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Van Tharp fixed-% risk with ATR chandelier trailing exit
crypto · −15.8 pts/yr · 936 trades · corrected q 1.000
Source, p-value and result file
- Source
- Van Tharp, 'Trade Your Way to Financial Freedom' (1998)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crypto 4-week trend with per-coin volatility targeting
crypto · −16.4 pts/yr · 361 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Moskowitz, Ooi & Pedersen 2012 JFE (volatility-scaled TSMOM); Barroso & Santa-Clara 2015 JFE; Zarattini, Pagani & Barbon 2025 (volatility-targeted crypto trend)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crypto realized kurtosis: long the 6 coins with the fattest-tailed daily returns over the past 63 days, weekly (Amaya et al. transfer)
crypto · −16.6 pts/yr · 369 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1024/acad3
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- VIX spike mean-reversion into SPY (wide US stocks)
US stocks · −17.2 pts/yr · 1,537 trades · corrected q 1.000
Source, p-value and result file
- Source
- Simon & Wiggins 2001 J. Futures Markets; CBOE VIX spike studies
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Upside semivariance momentum
US stocks · −17.2 pts/yr · 508 trades · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Low-volatility anomaly (direct, 60m realized vol) (wide US stocks)
US stocks · −17.4 pts/yr · 42 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Baker-Bradley-Wurgler / Frazzini-Pedersen low-vol anomaly
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Range-volatility momentum gate
US stocks · −17.4 pts/yr · 201 trades · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crypto value-at-risk premium: long the 6 coins with the largest 5% daily-loss size over 90 days, weekly (Bali-Cakici transfer)
crypto · −17.7 pts/yr · 339 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/acad4
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Inverse realized-vol percentile position scaling (crypto cross-sectional)
crypto · −18.1 pts/yr · 90 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Asness, Frazzini, Pedersen 2012 'Leverage Aversion and Risk Parity'
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Low-volatility anomaly (direct, 60m realized vol)
US stocks · −20.9 pts/yr · 42 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Baker-Bradley-Wurgler / Frazzini-Pedersen low-vol anomaly
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crypto MAX Lottery
crypto · −25.8 pts/yr · 395 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Grobys & Junttila 2021
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crypto stable-volume premium: long the 6 coins with the lowest coefficient of variation of dollar volume over 90 days, weekly (Chordia-Subrahmanyam-Anshuman transfer)
crypto · −29.6 pts/yr · 340 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/acad4
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Trend with a stand-down when funding becomes unstable
crypto · −38.6 pts/yr · 942 trades · corrected q 1.000
Source, p-value and result file
- Source
- He, Manela, Ross & von Wachter 2022 'Fundamentals of perpetual futures' (funding volatility = arbitrage-capital stress); Brunnermeier & Pedersen 2009
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crypto low realised volatility, weekly (low-vol anomaly test in the LTW cross-section)
crypto · −44.0 pts/yr · 374 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1022/acad
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Low-realized-vol regime filter for trend entries
crypto · −50.0 pts/yr · 1,002 trades · corrected q 1.000
Source, p-value and result file
- Source
- Ang, Hodrick, Xing, Zhang 2006 JF 'The Cross-Section of Volatility and Expected Returns'
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- 10% annualized volatility targeting overlay
crypto · −52.0 pts/yr · 2,736 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Moreira & Muir 2017 JF
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Funding pinned at the clamp = no leverage interest, trade the ensuing 20-day breakout
crypto · −57.7 pts/yr · 117 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1022/crypto
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Larry Williams %-range volatility breakout (0.7x)
crypto · −61.6 pts/yr · 8,256 trades · corrected q 1.000
Source, p-value and result file
- Source
- Larry Williams, 'Long-Term Secrets to Short-Term Trading' (1999)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Larry Williams volatility breakout (day-trade)
crypto · −61.6 pts/yr · 8,256 trades · corrected q 1.000
Full test: Larry Williams Volatility Breakout
Source, p-value and result file
- Source
- Larry Williams, 'Long-Term Secrets to Short-Term Trading' (1999)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Daily Garman-Klass volatility expansion continuation
crypto · −70.6 pts/yr · 4,380 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1022/crypto
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Three-day range compression then breakout
crypto · −70.9 pts/yr · 1,316 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1022/crypto
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Narrow CPR breakout (Ochoa central pivot range)
crypto · −71.5 pts/yr · 1,556 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1022/retail
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- ATR-normalized breakout, 1h bars
crypto · −74.8 pts/yr · 5,258 trades · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Inside-day NR4 (ID/NR4) breakout (Crabel)
crypto · −76.2 pts/yr · 2,435 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1022/crypto
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- NR7 compression then next-day breakout (Crabel)
crypto · −78.4 pts/yr · 3,297 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1022/crypto
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- ATR percentile filter on breakout entries
crypto · −83.6 pts/yr · 3,107 trades · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Relative volume by hour-of-day with a 24h breakout
crypto · −86.5 pts/yr · 5,000 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1022/crypto
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Compressed Asia range breakout in the London session
crypto · −93.5 pts/yr · 3,650 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1031/intraday
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- TTM squeeze release on hourly crypto
crypto · −97.6 pts/yr · 8,730 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1031/intraday
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Hourly wide-range bar closing at its extreme: continuation
crypto · −98.4 pts/yr · 3,110 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1022/crypto
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- New York open range breakout on hourly crypto
crypto · −107.8 pts/yr · 7,311 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1022/retail
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
How to read these results
"Vs benchmark" is the strategy's annualized return minus an equal-weight benchmark, rebalanced daily, on the same assets and days. Strategies are charged trading costs; the benchmark pays none. Ahead is not a confirmed edge: the p-value is the unadjusted chance of a gap this large by luck, and the corrected q allows for how many strategies were tried, because testing hundreds of ideas throws up lucky winners. Every strategy saw only data up to the same cutoff date. The receipt is the frozen result file for that rule.
"Sample" is trades for rules that enter and exit a position, and rebalances for portfolio rules. A rebalance is a scheduled date on which a portfolio rule re-ranks and held at least one position. It is the sample size for portfolio rules. A holdings change is a rebalance where what the portfolio held, or its weights, differed from the previous one. Only these cost money to trade. The two are different counts and are never swapped. Definitions.