QUANT RESEARCH · 量化研究
You don’t need the perfect moment.
VIX 30 / SPY × regular investing. A higher average return after a signal is only one part of the story.
MY TAKEAWAY
For everyday investing, consistency beats waiting in this test.
My takeaway for an ordinary investor: there is no need to make a fear signal the prerequisite for investing. VIX 30 events had attractive average forward returns, but waiting for those opportunities left contributions idle. Monthly investing finished ahead under these specific rules. That is evidence for a simpler process, not proof that timing can never work.
QUESTION 01 · AFTER A FEAR SIGNAL
Better average returns. Real uncertainty.
The original event study retained 48 crossings into VIX 30 after a 21-session cooldown. Entry was at the next SPY open. The 21-session average price return was +2.41%, compared with +0.84% for matched moderate-fear events. The difference’s 95% interval crossed zero, so the apparent advantage is not decisive.
THE RESULT, WITH ITS UNCERTAINTY
Give the signal a little time.
95% bootstrap interval for the mean: +0.65% to +4.08%
Historical event study, 1993–2026. Price returns; dividends not reinvested. This interval describes uncertainty in the historical mean—not the range of a future trade. Exploratory testing and crisis dependence remain limitations.
Mean 21-session adverse excursion: −3.56%. Worst close-based adverse excursion: −24.49%. A positive average did not make the path safe. The matched-return difference was +1.57 percentage points, with a 95% interval of −0.44 to +3.53 points.
QUESTION 02 · THE WHOLE JOURNEY
Count the cost of waiting.
Same initial investment. Same monthly additions. A buys every month; B waits in cash until the previous trading day’s VIX close is at least 30. Both hold SPY after buying.
| Metric | Monthly investing | VIX ≥ 30 |
|---|---|---|
| Cumulative time-weighted return | 1634.41% | 1471.07% |
| Annualized time-weighted return | 8.88% | 8.55% |
| Maximum drawdown (TWR curve) | −56.47% | −56.36% |
| Average cash allocation | 0.00% | 3.78% |
| New-cash deployment days (initial purchase excluded) | 403 | 78 |
| Mean wait for deployed contributions | 0 days | 405 days |
Waiting time covers the 398 monthly contributions already deployed; 5 were still waiting at the cutoff and are excluded from that completed-wait average. The longest completed wait was 1,730 calendar days. These 78 deployment days use different rules from the 48 event-study signals.
One threshold isn’t the whole answer.
The original workbooks tested 25 and 35. I reproduced both and added 30 using the same underlying observations and contribution schedule. The result is not monotonic: a higher threshold did not simply make outcomes worse.
| Strategy | Annualized TWR | Ending value vs. DCA | Cash deployment days |
|---|---|---|---|
| VIX ≥ 25 | 8.45% | −7.30% | 139 |
| VIX ≥ 30 | 8.55% | −5.63% | 78 |
| VIX ≥ 35 | 8.63% | −3.72% | 40 |
Sensitivity table: cash earns the prior available 3-month Treasury yield proxy. All three use identical monthly additions. Initial purchase excluded from deployment counts.
The rules behind the numbers.
A fair cash-flow comparison
Both start fully invested. From the next month, a fixed addition equal to 1% of the original principal arrives on the first SPY trading day of each month. There are 403 additions. Only the new contributions are timed; this is not a test of delaying the initial lump sum.
No future information
VIX and cash yields use prior available observations. Cash accrues over calendar days before that day’s contribution. Purchases occur at the open; valuation is at the close. Time-weighted returns split each contribution day at the open, then chain the subperiod returns.
Different questions, different rules
The event study tests a crossing, a cooldown and a fixed holding window. The accumulation test checks VIX ≥ 30 whenever cash is available and never sells. Do not compound the event average or interpret it as the long-term strategy return.
What this cannot settle
Historical price-only data; no dividends, fees, taxes, slippage or fractional-share constraints. Cash yield is an idealized proxy. Rules were explored on known data; there is no untouched out-of-sample validation. Signal frequency, entry timing and cash drag all matter. The result does not isolate frequency as the sole cause.