Yesterday I was trying to find out how to revisit OPR breakout strategy on US indices (5 first minutes) and I've found an interesting insight and would love to hear your thoughts on this (if any had prior experience using that type of market regime filter) :
When VIX daily ATR(14) is declining over the last 2-3 days, that strategy is profitable (basic version, buy first 5 min high break). And average trade is much more appealing for an intraday strategy with a lot of MFE compared to MAE(stop at low of first 5 minutes).
More restrictive ATR filters also provide good short side results (of course much less trades).
Has anybody clues and ideas around the role and use of using VIX as a strategy filter (in all strategy types) ?
Side note : another interesting aspect : YM and RTY do not work well with this strat using the same CME RTH US equities template on NT8, even using the VIX filter.