vix spike recovery
What it checks
After a panic spike, when VIX starts dropping fast from 30+, stocks usually grind back over the next month.
Mechanism
VIX spikes above 30 followed by 5+ point drops mark panic peaks; broad-equity recovers over 10-42d.
Signal rule
long SPY-like when VIX 5d max >= 30 AND VIX 5d drop >= 5pt; hold 10/21/42d; inverted on long-vol ETFs
Data dependencies
fred_macroWorker data table, see services/worker schema.
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper alpha
- ~8-15% per signal event
- Paper Sharpe
- ~0.6
- Paper window
- T+1 to T+42d
Whaley 2009 JPM: ~8-15% recovery over 21d post-panic peak.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
vix term structureMacroVX1/VX3 slope predicts S&P returns 5-20d. Steep contango โ calm โ drift up. Backwardation โ vol-shock โ underperformance.
vvix regime long equityMacroVVIX (the VIX of VIX) spike vs trailing 252d z-score signals vol-of-vol overpricing. Mean reverts via broad-equity drift up over 5-21d.
macro regimeMacroBeyond regime_overlay (#10) which uses VIX + SPY trend, this family keys off the macro regime detected from FRED data: term-spread inversion (10Yโ2Y < 0), credit-spread widening or compression (BAAโ10Y z), and Fed funds cycle direction. Single-name version: gate the simple long-trend signal (SMA50 > SMA200) on the FRED macro regime โ full long only in risk-on, half-size in neutral, flat in risk-off, short in inversion.
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