Vvix Regime Long Equity
In plain terms
When the vol-of-vol indicator (VVIX) spikes, the market is paying up for tail-risk insurance. Stocks usually rebound.
How it works
INTERNAL hypothesis, not a paper replication: VVIX (the VIX of VIX) spike vs trailing 252d z-score signals vol-of-vol overpricing, mean reverting via broad-equity drift up over 5-21d. The published variance-risk-premium result uses implied-minus-realized variance, which this family does not compute.
Data dependencies
- Fred macro
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
- Tested over
- T+1 to T+21d
BTZ 2009 RFS: variance-risk-premium predicts 1-3m equity returns; vol-of-vol higher-order version.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
The original unvintaged proxy stays blocked; a named published-spot successor restores its internal rules.
The original unvintaged proxy stays blocked; a named published-spot successor restores its internal rules.
Quarantined research-only VVIX/VIX conjecture: no paper validates the sign, and the current revised macro history cannot establish what values were known at each decision time.
Explore Vvix Regime Long Equity on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.