VXZ trading strategies, backtested
iPath Series B S&P 500 VIX Mid-Term Futures ETN — mid-curve VIX futures in ETN form. Every DeployQuant template run on VXZ over 5.5 years of minute data, same engine, same window, sorted by return.
| Strategy | CAGR | max DD | Sharpe | trades | win rate | final value |
|---|---|---|---|---|---|---|
| Golden Cross (SMA 50/200) | −1.2% | −19.9% | 0.00 | 3 | 33% | $9,360 |
| RSI(2) Dip Snapback | −6.2% | −54.9% | -0.29 | 150 | 57% | $7,002 |
| RSI(14) Mean Reversion | −6.5% | −49.9% | -0.25 | 14 | 64% | $6,899 |
| SMA-200 Trend + 15% Trailing Stop | −9.9% | −47.3% | -0.43 | 10 | 10% | $5,607 |
| First-to-Last Day of Month | −11.5% | −59.1% | -0.32 | 67 | 46% | $5,086 |
| EMA 12/26 Trend | −11.7% | −53.7% | -0.47 | 29 | 17% | $5,037 |
| 200-Day SMA Regime Filter | −11.8% | −53.5% | -0.61 | 31 | 26% | $4,984 |
| SMA 10/50 Trend | −12.5% | −55.0% | -0.56 | 25 | 24% | $4,774 |
| Weekly Entry + 7% Target | −12.9% | −64.3% | -0.39 | 22 | 59% | $4,663 |
| Drawdown Dip Buyer + 8% Target | −14.6% | −61.1% | -0.45 | 0 | — | $4,174 |
| 3-Month Momentum Switch | −14.7% | −58.9% | -0.80 | 22 | 14% | $4,153 |
| 20-Day Momentum + Trailing Stop | −17.9% | −67.9% | -1.15 | 18 | 6% | $3,366 |
| Buy & hold VXZ | −13.9% | −64.7% | -0.43 | — | — | $4,361 |
Build it from blocks (or type it in English), backtest it on 5.5 years of minute data in seconds, tweak any parameter, then paper trade it on live data. No card, no broker needed to start.
Frequently asked questions
What was the best strategy for VXZ?
Of the 12 templates tested on VXZ over 2021-01-04–2026-07-17, the strongest by CAGR was golden cross at −1.2% (max drawdown 19.9%), versus −13.9% for buy-and-hold. Best-in-hindsight is not a forecast — check drawdowns and trade counts before drawing conclusions.
Did any strategy beat buying and holding VXZ?
9 of 12 templates beat VXZ buy-and-hold (−13.9% CAGR) on this window; 11 of 12 had a shallower maximum drawdown than holding (64.7%).
Other volatility products
Backtests are hypothetical, computed by DeployQuant's engine on minute-resolution consolidated US market data (2021-01-04 to 2026-07-17, $10,000 starting capital, no margin, fees and slippage not modeled) and do not guarantee future results. Nothing on this page is investment advice. Live trading involves risk of loss.