VIX Shield
TacticalProaggressiveBased on research by BestFolio · BestFolio original strategy (2024)
This is BestFolio's independent implementation. Not affiliated with or endorsed by the original author.
Launched 2025About this Strategy
⚠️ THE LEVERAGED VARIANT IS FOR EDUCATIONAL/COMPARISON PURPOSES ONLY — we strongly advise against running it with real money. Daily VIX regime allocator.
The complete strategy logic, asset universe, and rebalancing rules are available to Pro subscribers. This includes the full methodology description, author notes, and implementation details.
Pro subscribers also get access to current signals, full backtest history, and the ability to blend this strategy into custom portfolios.
Strategy Rules
Pro subscribers only
- 1Compute 10-day SMA of VIX
- 2Panic Reversal: spot VIX > 35 AND spot VIX < VIX SMA → 70% SPY, 15% DBMF, 15% GLD
- 3Crisis: VIX SMA >= 30 → 20% SPY, 40% DBMF, 40% GLD
- 4Elevated: VIX SMA >= 20 → 50% SPY, 25% DBMF, 25% GLD
- 5Calm (fallback): VIX SMA < 20 → 80% QQQ, 10% DBMF, 10% GLD
Key Differentiators
Research Source
Based on research by BestFolio
BestFolio original strategy (2024)
Strategy Info
- Type
- Tactical (TAA)
- Frequency
- daily
- Next Rebalance
- May 2209:30 ET (today)
- Variants
- 3
- Risk Category
- aggressive
- Tags
- momentum, leveraged
- Type
- Tactical Asset Allocation (TAA)
- Trading Frequency
- Daily
- Signal Indicator
- VIX 10-day SMA (spot VIX for panic detection)
- Regimes
- 4 (Panic Reversal / Crisis / Elevated / Calm)
- Panic Threshold
- Spot VIX > 35 AND falling below 10-day SMA
- Crisis Threshold
- VIX 10-day SMA >= 30
- Elevated Threshold
- VIX 10-day SMA >= 20
- Data Source
- Institutional-grade market data (^VIX + SPY for date alignment)
Asset Classes
VIX Shield at a glance
VIX Shield is a tactical asset allocation (TAA) strategy by BestFolio across US Equity, Managed Futures, Gold, rebalanced daily. Backtested 1990-01-16 to 2026-05-21 (36.3 years): 13.1% CAGR, 0.79 Sharpe, -51.1% max drawdown, 17.2% volatility.
- Type
- Tactical (TAA)
- Author
- BestFolio
- Rebalancing
- Daily
- Risk
- Aggressive
- Period
- 1990-01-16 to 2026-05-21
- CAGR
- 13.1%
- Sharpe
- 0.79
- Max Drawdown
- -51.1%
- Volatility
- 17.2%
VIX Shield — Tactical Asset Allocation Strategy
VIX Shield is a BestFolio original daily strategy that uses VIX levels to dynamically allocate between equities, managed futures, and gold. It uses the 10-day SMA of VIX for regime thresholds.
Four regimes (priority order): 1. Panic Reversal: Spot VIX > 35 AND falling → 70% SPY, 15% DBMF, 15% GLD 2. Crisis: VIX SMA >= 30 → 20% SPY, 40% DBMF, 40% GLD 3. Elevated: VIX SMA >= 20 → 50% SPY, 25% DBMF, 25% GLD 4. Calm: VIX SMA < 20 → 80% QQQ, 10% DBMF, 10% GLD
Backtest Performance (1990-01-16 to 2026-05-21)
| Metric | VIX Shield |
|---|---|
| Compound Annual Growth Rate (CAGR) | 13.1% |
| Maximum Drawdown | -51.1% |
| Sharpe Ratio | 0.79 |
| Sortino Ratio | 1.00 |
| Annualized Volatility | 17.2% |
| Calmar Ratio | 0.26 |
| Total Return | 8653.7% |
| Backtest Period | 36.3 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- daily
- Risk Level
- aggressive
- Variants
- 3
- Author
- BestFolio
- Source
- BestFolio original strategy (2024)
Asset Classes
- US Equity
- Managed Futures
- Gold
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