VIX Shield
VIX Shield (2024): a daily four-regime allocator gated on VIX. Calm regime tilts to 80% QQQ with a 20% managed-futures and gold sleeve; Elevated and Crisis regimes cut equity exposure and lift the managed-futures and gold sleeves; a Panic Reversal layer contrarian-buys 70% UPRO when spot VIX spikes above 35 but is already falling below its 10-day SMA. The Crisis and Elevated gates compare the VIX 10-day SMA against the canonical 30 and 20 levels.
- Type: Tactical
- Frequency: daily
- Asset classes: US Equity, Leveraged US Equity, Managed Futures, Gold
- Backtest window: 2019-05-08 to 2026-06-12
- 1Y
- 24.4%
- 3Y
- 65.6%
- CAGR
- 16.2%
- Max DD
- -16.8%
- Sharpe
- 0.83
Methodology
- Each session, check the VIX 10-day SMA and spot VIX against the four regime gates in order.
- Panic Reversal: if spot VIX > 35 AND spot VIX < its 10-day SMA, hold 70% UPRO, 15% DBMF, 15% GLD.
- Crisis: if VIX 10-day SMA >= 30, hold 20% SPY, 40% DBMF, 40% GLD.
- Elevated: if VIX 10-day SMA >= 20, hold 50% SPY, 25% DBMF, 25% GLD.
- Calm (fallback): hold 80% QQQ, 10% DBMF, 10% GLD.
Headline backtest performance as of 2026-06-12.