A rule-based trading signal driven by volatility conditions. The model compares implied and realized volatility using a proprietary smoothing process and allocates accordingly to either SSO (2× leveraged S&P 500 ETF) or TLT (Treasury bond ETF). When volatility is elevated, the strategy shifts into safer assets. When volatility is stable, it allocates to equities to participate in market returns.
Backtested Performance:
Start Date: 2006-06-21
End Date: 2026-03-06
Start Value: $100,000
Final Value: $9,354,062.80
CAGR: 25.9%
Max Drawdown: -61.48%
Calmar Ratio: 0.42
SPY (S&P 500) Benchmark Performance:
Start Date: 2006-06-21
End Date: 2026-03-06
Start Value: $100,000
Final Value: $772,648.73
CAGR: 10.93%
Max Drawdown: -55.19%
Calmar Ratio: 0.2
Over this historical test period, the strategy outperformed the S&P 500 benchmark. In this historical backtest, the strategy grew from $100,000 to approximately $9.35 million over the test period. SPY, on the other hand, grew from $100,000 to approximately $772,000. The VIX Pulse strategy had only a slightly greater max drawdown than SPY (-61.48% vs -55.19%).
In the plot below you can see how the strategy oscillates between SSO and TLT based on market conditions. The chart below compares the historical backtest of the strategy to SPY over the same period.
Hypothetical Performance Disclosure
The performance results shown above are backtested and hypothetical. They do not represent actual trading results.
Backtests are calculated using historical data and have inherent limitations. They may not reflect the impact of real-world trading factors such as transaction costs, slippage, taxes, liquidity constraints, execution delays, missed signals, or differences in order timing.
Hypothetical results may overstate the performance that could be achieved in live trading.
Past performance, whether hypothetical or actual, does not guarantee future results. Trading involves risk and substantial drawdowns are possible.