{ "experiment": { "alloc": { "labels": [ "2025-08", "2025-09", "2025-10", "2025-11", "2025-12", "2026-01", "2026-02", "2026-03", "2026-04", "2026-05", "2026-06", "2026-07" ], "series": [ { "name": "SPY", "values": [ 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6 ] }, { "name": "CASH", "values": [ 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4 ] } ] }, "alloc_as": null, "alloc_monthly_as": null, "alloc_monthly_ours": { "labels": [ "2025-08", "2025-09", "2025-10", "2025-11", "2025-12", "2026-01", "2026-02", "2026-03", "2026-04", "2026-05", "2026-06", "2026-07" ], "series": [ { "name": "SPY", "values": [ 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6 ] }, { "name": "CASH", "values": [ 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4 ] } ] }, "alloc_ours": { "labels": [ "2025-08", "2025-09", "2025-10", "2025-11", "2025-12", "2026-01", "2026-02", "2026-03", "2026-04", "2026-05", "2026-06", "2026-07" ], "series": [ { "name": "SPY", "values": [ 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6 ] }, { "name": "CASH", "values": [ 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4 ] } ] }, "alloc_yearly_as": null, "alloc_yearly_ours": { "labels": [ "2025" ], "series": [ { "name": "SPY", "values": [ 0.6 ] }, { "name": "CASH", "values": [ 0.4 ] } ] }, "analysis_page": null, "answer": " TL;DR VIX term-structure backwardation (spot VIX > VIX3M) and a 4-point curve ensemble (VIX9D 9d, VIX 30d, VIX3M 93d, VXV 6M synthetic) are classic risk-off signals. After maximal Yahoo+TradingView ingest (1990-2026), OLS synthetic extension for VIX3M/VIX9D pre-history (R² 0.95/0.94), and daily nextclose +10 bps via runbacktest, the canonical spot-vs-3M sma10 quantile-0.80 risk-off slee", "bead_ids": [ "qm-4bx.15" ], "cost_variants": {}, "coverage": { "alloc_monthly_labels_n": 12, "alloc_yearly_labels_n": 0, "as_alloc_rows": 0, "as_history_start_year": null, "as_returns_n": 0, "as_yearly_alloc_rows": 0, "coverage_generated_at": "2026-07T00:00:00Z", "db_path": "data/market.sqlite", "db_warm": true, "gap_years": null, "limiting": { "effective_start": "1990-01-02", "id": "^VIX", "kind": "ohlcv", "native_start": "1990-01-02", "proxied": false, "proxy_chain": [], "span_basis": "db" }, "macro_meta": [], "macros": [], "monthly_labels_n": 120, "ours_alloc_rows": 120, "ours_returns_n": 120, "ticker_meta": [ { "end": "2026-08-04", "n_rows": 9215, "start": "1990-01-02", "ticker": "^VIX" } ], "tickers": [ "^VIX", "INDEX:VIX3M", "INDEX:VIX9D" ] }, "date": "2026-08-12", "disposition": "# VIX Backwardation Risk-Off Sleeve — Curve Ensemble, Smoothing, Short & Synthetic History (qm-4bx.15) **Decision:** `NO-SHIP frozen` — investigate-only, do not admit to catalog/Meta. **Commit:** `cef0c1d4` · **Date:** 2026-08-12 · **Payload:** `research/findings/vix-backwardation-qm-4bx.15.json` · **Repro:** `python -m research.scripts.audit_vix_backwardation --write` ## TL;DR VIX term-structure backwardation (spot VIX > VIX3M) and a 4-point curve ensemble (VIX9D 9d, VIX 30d, VIX3M 93d, VXV 6M synthetic) are classic risk-off signals. After maximal Yahoo+TradingView ingest (1990-2026), OLS", "equity": { "experiment": [ 1.0, 1.0522, 1.14, 1.2486, 1.323, 1.296, 1.1844, 1.115, 1.1149, 1.0061, 1.0065, 1.0236, 1.1274, 1.1959, 1.2358, 1.2408, 1.2064, 1.4236, 1.5196, 1.4046, 1.3391, 1.3366, 1.4102, 1.4399, 1.3387, 1.3596, 1.3327, 1.2757, 1.252, 1.1799, 1.2622, 1.2608, 1.2146, 1.2943, 1.2779, 1.4193, 1.3682, 1.3994, 1.3961, 1.4841, 1.5194, 1.6242, 1.7422, 1.7895, 1.9118, 1.9112, 1.7456, 1.7157, 1.6018, 1.6081, 1.7093, 1.8269, 1.9038, 1.8106, 1.8483, 1.9221, 2.0715, 1.9868, 1.8444, 1.8859, 1.9275, 1.9079, 2.0725, 2.1924, 2.117, 2.003, 2.1464, 2.2006, 2.2591, 2.3062, 2.2631, 2.4525, 2.6989, 2.6165, 2.8491, 2.9007, 3.0943, 3.3792, 3.542, 3.4369, 3.7796, 3.7522, 3.4972, 3.6851, 3.5369, 3.7109, 3.468, 3.1677, 3.0054, 3.1238, 3.2026, 3.4879, 3.4924, 3.5046, 3.1875, 3.4946, 3.5325, 3.6341, 3.8846, 3.8407, 3.7404, 3.6636, 3.5581, 3.3267, 3.5466, 3.586, 3.6502, 3.3633, 3.0549, 3.2632, 3.32, 3.2197, 2.999, 2.9216, 2.6687, 2.8949, 2.7467, 2.5403, 2.4445, 2.2572 ], "labels": [ "2016-08", "2016-09", "2016-10", "2016-11", "2016-12", "2017-01", "2017-02", "2017-03", "2017-04", "2017-05", "2017-06", "2017-07", "2017-08", "2017-09", "2017-10", "2017-11", "2017-12", "2018-01", "2018-02", "2018-03", "2018-04", "2018-05", "2018-06", "2018-07", "2018-08", "2018-09", "2018-10", "2018-11", "2018-12", "2019-01", "2019-02", "2019-03", "2019-04", "2019-05", "2019-06", "2019-07", "2019-08", "2019-09", "2019-10", "2019-11", "2019-12", "2020-01", "2020-02", "2020-03", "2020-04", "2020-05", "2020-06", "2020-07", "2020-08", "2020-09", "2020-10", "2020-11", "2020-12", "2021-01", "2021-02", "2021-03", "2021-04", "2021-05", "2021-06", "2021-07", "2021-08", "2021-09", "2021-10", "2021-11", "2021-12", "2022-01", "2022-02", "2022-03", "2022-04", "2022-05", "2022-06", "2022-07", "2022-08", "2022-09", "2022-10", "2022-11", "2022-12", "2023-01", "2023-02", "2023-03", "2023-04", "2023-05", "2023-06", "2023-07", "2023-08", "2023-09", "2023-10", "2023-11", "2023-12", "2024-01", "2024-02", "2024-03", "2024-04", "2024-05", "2024-06", "2024-07", "2024-08", "2024-09", "2024-10", "2024-11", "2024-12", "2025-01", "2025-02", "2025-03", "2025-04", "2025-05", "2025-06", "2025-07", "2025-08", "2025-09", "2025-10", "2025-11", "2025-12", "2026-01", "2026-02", "2026-03", "2026-04", "2026-05", "2026-06", "2026-07" ], "spy": [ 1.0, 1.0001, 0.9827, 1.0189, 1.0396, 1.0582, 1.0998, 1.1011, 1.1121, 1.1278, 1.1349, 1.1583, 1.1617, 1.1851, 1.213, 1.2501, 1.2652, 1.3365, 1.2879, 1.2526, 1.2591, 1.2897, 1.2971, 1.3452, 1.3881, 1.3964, 1.2999, 1.324, 1.2074, 1.3041, 1.3464, 1.3707, 1.4267, 1.3357, 1.4287, 1.4503, 1.426, 1.4538, 1.4859, 1.5397, 1.5844, 1.5838, 1.4584, 1.2763, 1.4383, 1.5069, 1.5336, 1.6239, 1.7373, 1.6722, 1.6305, 1.8079, 1.8749, 1.8558, 1.9074, 1.994, 2.0995, 2.1132, 2.1606, 2.2134, 2.2792, 2.173, 2.3255, 2.3068, 2.4135, 2.2862, 2.2187, 2.3021, 2.1001, 2.1048, 1.9312, 2.1091, 2.023, 1.836, 1.9852, 2.0956, 1.9748, 2.099, 2.0462, 2.1221, 2.156, 2.166, 2.3063, 2.3818, 2.3431, 2.232, 2.1835, 2.383, 2.4918, 2.5314, 2.6635, 2.7507, 2.6397, 2.7733, 2.8711, 2.9059, 2.9738, 3.0362, 3.0091, 3.1886, 3.1119, 3.1954, 3.1549, 2.9791, 2.9533, 3.1389, 3.3001, 3.3762, 3.4454, 3.5682, 3.6532, 3.6603, 3.6633, 3.7172, 3.6851, 3.5032, 3.8712, 4.0749, 4.0329, 3.9906 ], "spy_labels": [ "2016-08", "2016-09", "2016-10", "2016-11", "2016-12", "2017-01", "2017-02", "2017-03", "2017-04", "2017-05", "2017-06", "2017-07", "2017-08", "2017-09", "2017-10", "2017-11", "2017-12", "2018-01", "2018-02", "2018-03", "2018-04", "2018-05", "2018-06", "2018-07", "2018-08", "2018-09", "2018-10", "2018-11", "2018-12", "2019-01", "2019-02", "2019-03", "2019-04", "2019-05", "2019-06", "2019-07", "2019-08", "2019-09", "2019-10", "2019-11", "2019-12", "2020-01", "2020-02", "2020-03", "2020-04", "2020-05", "2020-06", "2020-07", "2020-08", "2020-09", "2020-10", "2020-11", "2020-12", "2021-01", "2021-02", "2021-03", "2021-04", "2021-05", "2021-06", "2021-07", "2021-08", "2021-09", "2021-10", "2021-11", "2021-12", "2022-01", "2022-02", "2022-03", "2022-04", "2022-05", "2022-06", "2022-07", "2022-08", "2022-09", "2022-10", "2022-11", "2022-12", "2023-01", "2023-02", "2023-03", "2023-04", "2023-05", "2023-06", "2023-07", "2023-08", "2023-09", "2023-10", "2023-11", "2023-12", "2024-01", "2024-02", "2024-03", "2024-04", "2024-05", "2024-06", "2024-07", "2024-08", "2024-09", "2024-10", "2024-11", "2024-12", "2025-01", "2025-02", "2025-03", "2025-04", "2025-05", "2025-06", "2025-07", "2025-08", "2025-09", "2025-10", "2025-11", "2025-12", "2026-01", "2026-02", "2026-03", "2026-04", "2026-05", "2026-06", "2026-07" ] }, "errors": "- GARCH/Nelson–Siegel curve fitting rejected (OLS suffices to 1990; deeper than 1990 would need Shiller/CRSP variance-swap replication not validated). - VXV/VXMT native daily remains insufficient_history without licensed VIX futures curve (CBOE). - Alternative vehicles and levered variants not promoted; QQQ/IWM/TLT screens retained as notes.", "follow_on": [ { "status": "open", "title": "GARCH/Nelson–Siegel curve fitting rejected (OLS suffices to 1990; deeper than 1990 would need Shiller/CRSP variance-swap replication not validated)." }, { "status": "open", "title": "VXV/VXMT native daily remains insufficient_history without licensed VIX futures curve (CBOE)." }, { "status": "open", "title": "Alternative vehicles and levered variants not promoted; QQQ/IWM/TLT screens retained as notes." } ], "followup_command": "gh issue create --title \"Follow-up VIX Backwardation Risk-Off Sleeve Curve Ensemble Smoothing\" --body \"Follow-up to qm-4bx.15: Decision: NO-SHIP frozen — investigate-only, do not admit to catalog/Meta. Commi\" --label \"priority:p2\" --label \"pipeline:research\" --label \"agent:ready\"", "gh_command": "gh issue create --title \"Follow-up VIX Backwardation Risk-Off Sleeve Curve Ensemble Smoothing\" --body \"Follow-up to qm-4bx.15: Decision: NO-SHIP frozen — investigate-only, do not admit to catalog/Meta. Commi\" --label \"priority:p2\" --label \"pipeline:research\" --label \"agent:ready\"", "id": "qm-4bx.15", "issue_ids": [ "qm-4bx.15" ], "monthly": { "as": [ null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null ], "labels": [ "2016-08", "2016-09", "2016-10", "2016-11", "2016-12", "2017-01", "2017-02", "2017-03", "2017-04", "2017-05", "2017-06", "2017-07", "2017-08", "2017-09", "2017-10", "2017-11", "2017-12", "2018-01", "2018-02", "2018-03", "2018-04", "2018-05", "2018-06", "2018-07", "2018-08", "2018-09", "2018-10", "2018-11", "2018-12", "2019-01", "2019-02", "2019-03", "2019-04", "2019-05", "2019-06", "2019-07", "2019-08", "2019-09", "2019-10", "2019-11", "2019-12", "2020-01", "2020-02", "2020-03", "2020-04", "2020-05", "2020-06", "2020-07", "2020-08", "2020-09", "2020-10", "2020-11", "2020-12", "2021-01", "2021-02", "2021-03", "2021-04", "2021-05", "2021-06", "2021-07", "2021-08", "2021-09", "2021-10", "2021-11", "2021-12", "2022-01", "2022-02", "2022-03", "2022-04", "2022-05", "2022-06", "2022-07", "2022-08", "2022-09", "2022-10", "2022-11", "2022-12", "2023-01", "2023-02", "2023-03", "2023-04", "2023-05", "2023-06", "2023-07", "2023-08", "2023-09", "2023-10", "2023-11", "2023-12", "2024-01", "2024-02", "2024-03", "2024-04", "2024-05", "2024-06", "2024-07", "2024-08", "2024-09", "2024-10", "2024-11", "2024-12", "2025-01", "2025-02", "2025-03", "2025-04", "2025-05", "2025-06", "2025-07", "2025-08", "2025-09", "2025-10", "2025-11", "2025-12", "2026-01", "2026-02", "2026-03", "2026-04", "2026-05", "2026-06", "2026-07" ], "ours": [ 0.0, 0.0522, 0.083444, 0.095263, 0.059587, -0.020408, -0.086111, -0.058595, -9e-05, -0.097587, 0.000398, 0.01699, 0.101407, 0.060759, 0.033364, 0.004046, -0.027724, 0.18004, 0.067435, -0.075678, -0.046632, -0.001867, 0.055065, 0.021061, -0.070283, 0.015612, -0.019785, -0.04277, -0.018578, -0.057588, 0.069752, -0.001109, -0.036643, 0.065618, -0.012671, 0.11065, -0.036004, 0.022804, -0.002358, 0.063033, 0.023785, 0.068975, 0.072651, 0.02715, 0.068343, -0.000314, -0.086647, -0.017129, -0.066387, 0.003933, 0.062931, 0.0688, 0.042093, -0.048955, 0.020822, 0.039929, 0.077727, -0.040888, -0.071673, 0.022501, 0.022058, -0.010169, 0.086273, 0.057853, -0.034392, -0.05385, 0.071593, 0.025252, 0.026584, 0.020849, -0.018689, 0.083691, 0.100469, -0.030531, 0.088897, 0.018111, 0.066743, 0.092073, 0.048177, -0.029673, 0.099712, -0.007249, -0.06796, 0.053729, -0.040216, 0.049196, -0.065456, -0.086592, -0.051236, 0.039396, 0.025226, 0.089084, 0.00129, 0.003493, -0.090481, 0.096345, 0.010845, 0.028762, 0.06893, -0.011301, -0.026115, -0.020533, -0.028797, -0.065035, 0.066102, 0.011109, 0.017903, -0.078598, -0.091696, 0.068186, 0.017406, -0.030211, -0.068547, -0.025809, -0.086562, 0.08476, -0.051193, -0.075145, -0.037712, -0.076621 ] }, "page": "experiments/qm-4bx-15-vix-backwardation-risk-off-sleeve-curv.html", "performance": { "cagr": 0.09784683938840089, "max_drawdown": -0.5518943153747866, "max_drawdown_fallback_rule": "Use daily backtest equity when available; otherwise compound published monthly returns and label the result monthly.", "max_drawdown_observation_frequency": "monthly", "sharpe": 0.6150704981718841, "sortino": 0.8951, "volatility": null }, "provenance": { "artifact": "research/findings/vix-backwardation-qm-4bx.15.json", "code": "research/findings", "finding": "research/findings/vix-backwardation-qm-4bx.15.md", "site_data": "site-data/experiments/qm-4bx.15.json", "tearsheet": null }, "question": "Decision: NO-SHIP frozen — investigate-only, do not admit to catalog/Meta. Commit: cef0c1d4 · Date: 2026-08-12 · Payload: research/findings/vix-backwardation-qm-4bx.15.json · Repro: python -m research.scripts.auditvixbackwardation --write", "safe_withdrawal": null, "signalSeries": { "active": [ true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, true, true, false, false, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, false, true, true, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false ], 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