ETF
The best indicator for VIX Futures (VXX)
We backtested 20 indicators across daily, weekly and hourly charts on real VIX Futures (VXX) history. Here's what actually worked — risk-adjusted, out-of-sample, with costs.
No robust edge
Buy & hold won
No indicator we tested beat simply holding VIX Futures (VXX) out-of-sample. Honest answer: for this one, the edge is patience.
-39.7%
Buy & hold CAGR
Full results
Every indicator, ranked
Ranked by Sharpe (risk-adjusted return). Hypothetical, fees included.
| # | Indicator | TF | CAGR | Sharpe | Max DD | Win | Trades | vs B&H |
|---|---|---|---|---|---|---|---|---|
| 1 | RSI Mean-Reversion | Daily | 0.7% | 0.15 | -43.8% | 53.3% | 15 | 40.7% |
| 2 | Donchian Midline | Weekly | 1.6% | 0.2 | -58.8% | 18.2% | 11 | 41.3% |
| 3 | Holy Grail Confluence | Daily | -1.9% | 0.05 | -47.3% | 45.5% | 11 | 38.0% |
| 4 | Bollinger Mean-Reversion | Daily | -3.3% | -0.01 | -68.9% | 58.3% | 24 | 36.7% |
| 5 | ADX / DMI | Daily | -14.9% | -0.03 | -91.5% | 29.5% | 44 | 25.1% |
| 6 | Stochastic | Daily | -12.2% | -0.04 | -83.6% | 44.7% | 47 | 27.7% |
| 7 | EMA 20/50 Cross | Daily | -11.6% | -0.07 | -83.8% | 23.1% | 13 | 28.4% |
| 8 | CCI | Daily | -15.2% | -0.17 | -81.9% | 43.2% | 37 | 24.7% |
| 9 | MACD | Daily | -25.7% | -0.21 | -97.0% | 24.1% | 83 | 14.2% |
| 10 | Heikin-Ashi Trend | Weekly | -22.7% | -0.22 | -95.8% | 31.8% | 85 | 17.0% |
| 11 | RSI Trend (>50) | Weekly | -15.1% | -0.24 | -87.9% | 23.5% | 17 | 24.6% |
| 12 | WaveTrend (8/6/4) | Daily | -25.6% | -0.28 | -95.0% | 41.4% | 29 | 14.3% |
| 13 | EMA-10 Trend | Weekly | -19.9% | -0.28 | -91.6% | 16.7% | 30 | 19.8% |
| 14 | Williams %R | Daily | -21.3% | -0.3 | -93.4% | 40.0% | 50 | 18.7% |
✓ = held up out-of-sample. Hypothetical, costs included. See methodology.
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