Macro#19tier 1live in production

`vrp vix term`

cadence: Dailydata: medium

Mechanism

VIX term-structure slope (VIX9D / VIX vs VIX / VIX3M) is a coincident indicator of market regime. Stay long the stock when the term structure is in contango (VIX < VIX3M) — backwardation signals

Signal rule

long SPY when (IV²-RV²) > 0 AND VIX/VIX3M < 1; flat otherwise

Data dependencies

vix_history
Worker data table — see services/worker schema.
spy_options
End-of-day OPRA option chains used by IV-skew family.

Expected edge

~6%/yr unconditional, 1.0 Sharpe conditional (Bollerslev-Tauchen-Zhou 2009)

Illustrative pattern only

NOT a backtest

Illustrative pattern only — see /app for live backtests and the actual current equity curve.

Example tickers where this is likely to fire

SPY QQQ

Illustrative only — the signal fires based on the live data, not a fixed list.

Related families

regime overlayMacro

Gate exposure to a stock by SPY trend + VIX level. Stay long only when SPY is above 200d MA AND VIX is below its rolling

macro regimeMacro

Beyond `regime_overlay` (#10) which uses VIX + SPY trend, this family keys off the *macro* regime detected from FRED

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vrp vix term