Buy SPY in a volatility burst: 399 trades, 10.3% a year, and a drawdown that depends on when you look.

The idea worth investigating

A strategy that only trades in stress is easy to like and hard to hold. The entries arrive on the worst days of the year, the position is levered, and the equity curve looks smooth only if you sample it at month-ends.

This week we rebuilt "A Profitable Strategy for Short-Term Traders" from Concretum Research, published June 25, 2026. The rule: buy SPY during unusually sharp volatility stress, defined by a short-term VIX band and SPY weakness, scale exposure in discrete steps up to three times capital, and exit on the rebound. The source specifies a signal read shortly before the closing auction and explicitly warns that using the later daily VIX close for that order introduces at least a 15-minute look-ahead.

The desk question: can a daily-data reconstruction reproduce the headline, and does reproducing a return curve establish that the information was available when the order had to be submitted?

Here's the plan:

• 1. Rerun the SPY/VIX construction from January 2007 through June 26, 2026 on daily closes, with a per-share commission on changes in exposure, no financing cost and no modelled auction slippage.
• 2. Measure the same simulated equity path two ways: daily and month-end.
• 3. Shift the signal clock: previous-day VIX, then a one-day execution delay.
• 4. State what daily data can and cannot tell us about the pre-close signal.

Two results we can share here. The headline run contains 399 trades, a compound annual growth rate of 10.3% and an annualized Sharpe ratio of 0.57, under the assumptions above and therefore not fully net. On that same equity path, maximum drawdown is 39.1% measured daily and 20.7% measured at month-ends. Neither calculation changes a single trade; month-end sampling misses losses that occur and recover between observations. These are measurements of our reconstruction, not a claim about how any other publisher computed its figure.

Subscribers get the two timing sensitivities and what each one can and cannot tell you about the actual intraday signal, the leverage and marking discussion, the reason we call this a daily-data adaptation rather than a verified replication, and the list of data that would settle it.

Let's get started.

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