A binary risk-on / risk-off overlay on SPYD, gated entirely by the VIX1D regime. When next-day implied volatility signals stress, the book steps to cash; otherwise it holds one unit of equity.
The filter does one thing well: read the VIX1D regime at the 4:15 PM close and decide, without ambiguity, whether tomorrow's SPYD session earns equity exposure.
Next-day implied volatility clusters. The cost of being long SPYD rises sharply inside elevated-VIX1D regimes and collapses on the other side.
A proprietary rolling read of VIX1D classifies each daily close into one of two regime states. The model is evaluated at 4:15 PM, after the cash session settles.
A benign VIX1D state → long SPYD at open T+1. A stressed state → flat cash. Return is booked open[T+1] → open[T+2]. No intraday peeking.
The VIX1D filter captures the upside of passive SPYD ownership while sidestepping the material left-tail events of the sample window.
Exposure of 83.5% — the filter is invested five days out of six — yet delivers materially higher risk-adjusted return than passive SPYD over the identical window.
| Strategy | Total Return | CAGR | Volatility | Sharpe | Max DD | Calmar | Win Rate | Exposure |
|---|---|---|---|---|---|---|---|---|
| VIX1D Regime — SPYD | 45.88% | 13.74% | 11.66% | 1.16 | −10.20% | 1.35 | 52.35% | 83.5% |
| Buy & Hold — SPYD | 19.73% | 6.33% | 14.65% | 0.49 | −19.29% | 0.33 | 51.44% | 98.6% |
| Δ vs B&H | +26.15pp | +7.41pp | −2.99pp | +0.67 | +9.09pp | +1.02 | +0.91pp | −15.1pp |
Loss months are shallow and rare — a direct function of cash-state coverage during the regime's worst windows.
Shaded bands mark cash (disengaged) periods across the 739-day sample — 113 cash days against 626 long days.
Signals are generated on the evening bar and executed at the next session's open. No look-ahead, no intraday peeking.
VIX1D daily closes from IBKR (CBOE), SPYD daily OHLC from Polygon with an IBKR / yfinance fallback chain. 746 bars each, aligned to 742 common trading days.
A proprietary VIX1D regime model is evaluated on each day-T 4:15 PM close, producing a single binary state for the following session.
Benign state → LONG SPYD at open T+1. Stressed state → CASH. Return is measured open[T+1] → open[T+2]. No intraday peeking.
Stats computed on the realized return stream against passive buy-and-hold SPYD over the identical 739-day window (28 Apr 2023 – 9 Apr 2026).