Macro#117tier 1live in productionNew
vol of vol signal
cadence: Dailydata: mediumlong onlylong short
What it checks
When vol-of-vol is high, momentum strategies decay — use it to step aside.
Mechanism
21-day realized vol of VIX; when high → defensive bias on momentum families.
No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag.
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
- improves base-family Sharpe ~10-20%
VVIX-style gating improves Sharpe of base families by ~10-20%.
Explore vol of vol signal on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.