VIX Spike Recovery Alfred Pit
In plain terms
Research-only causal macro adaptation using exact ALFRED vintages. It is not a paper replication, production signal, or established alpha effect.
How it works
paper-measure adaptation: Whaley 2009 explains VIX as an investor-fear measure; it does not specify this VIX>30, 5-point-retreat recovery rule, baskets, or fixed holds; VIXCLS publication timing remains causal
Data dependencies
- Alfred series vintages
A data feed this strategy reads, refreshed on its normal schedule.
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
No inherited alpha claim; evaluate this causal adaptation post-cost against legacy and controls.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Front-month VIX cheap vs 3-month (contango) means calm — SPY drifts up. When it inverts (backwardation), panic mode.
When the vol-of-vol indicator (VVIX) spikes, the market is paying up for tail-risk insurance. Stocks usually rebound.
Uses Fed-funds, term spread, and credit spread (FRED data) to flag risk-off vs risk-on regimes and scale exposure accordingly.
Explore VIX Spike Recovery Alfred Pit on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.