VIX regime overlay — sharper macro filter · Null results

The result

Code: research/vix_regime_overlay.py Report: research/vix_regime_overlay_report.json

VIX is a more sensitive macro-stress proxy than SPY drawdown. The finding is even cleaner than the SPY-dd one:

Drawdown bounce dd ≤ -30% × OOS 2020+ × VIX regime	n	60d edge	250d edge
VIX ≤ 20 (calm)	1,848	-3.1 %	-2.9 %
VIX 20-30 (elevated)	2,590	+4.2 %	+14.7 %
VIX 30-45 (panic)	962	+9.9 %	+42.3 %
VIX > 45 (extreme panic)	185	+25.3 %	+99.6 %

The divergence cohort behaves the same way but is more robust in low VIX (still positive +5-6 % at all horizons when VIX < 20). Both amplify dramatically when VIX > 45 (rsi_div +29.7 % at 40d, n=488).

Live implication: drawdown_bounce is essentially a VIX-conditioned trade. Don't fire it in calm VIX (< 20). Divergence cohorts can fire in any regime but are also amplified by elevated VIX.

At a glance

Sample	488
Validator	research/vix_regime_overlay.py
Verdict	Rejected

Every result here is reproducible from the script named above. Reports are in the repository.

Other rejected theses

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