Trading System Signals on 03-27-2026, Signal Frustration Index and VIX

Signal Frustation Index (NEW)

As I work to quantify this type of trading environment, I am using a new metric called the Signal Frustration Index.

What is inside the index:

• 15-minute reversal probability

• 4-bar alternation share

• afternoon extension ratio

• afternoon breakout rate

These are exactly the kinds of behaviors that make strategy signals struggle: moves reverse quickly, alternate repeatedly, fail to extend, and breakouts do not hold. Is it more than normal in 2026? Based on this index, so far in January - March of 2026 it is much higher than in previous years. Is this a Q1 issue that will mean revert and move towards more favorable price action? We can not predict that, but we continue to trade smaller, monitor the strategies, and explore new strategies that take advantage of this.

It is difficult to trade too much noise. Liberation NQ was developed to trade a market that goes rangebound in the afternoon. The last two days, the market actually started to extend its range in the afternoon. Liberation NQ had its worse two-day period in the last 11 months. If the Signal Frustration Index remains high, I anticipate that Liberation NQ will perform once again. If the market "breaks" Liberation NQ from this 11 month pattern, then I anticipate that our trend strategies will provide us with better trading performance.

The counter trend and mean reversion strategies have performed pretty well and were near equity peaks and due for a drawdown. Our trend strategies were in a drawdown and due for some performance. The last two days, the counter trend and mean reversion strategies went through a drawdown while the market was noisy enough with "news" to affect the net result of our trend strategies into a further drawdown.

Hypothetical Trading System Signals on 03-27-2026

27 System Portfolio NQ = -$10,030

Diversified Portfolio 57 (NQ Only) = -$18,155

Seven System Portfolio NQ = -$6,575

Stock Index Portfolio 37 = -$13,230

Stock Index Portfolio 18 = -$7,930

Two System Portfolio NQ = -$1,385

Silver Portfolio = -$5,200

50K Portfolio (Micros) = -$519 (without Gold and Silver)

VIX 2026

What makes this VIX move unusual is not simply that volatility crossed back above 20 and eventually reached 30. It is that the move unfolded with unusually large daily ranges, yet still took on the character of a slow grind rather than a panic spike. In the current 2026 episode, the VIX first moved back above 20 on intraday highs in late January and early February, but did not print a 30-plus high until March 9, 2026. Historically, when the VIX starts swinging that widely after breaking back above 20, it tends to reach 30 much faster. Comparable high-range episodes in 2007, 2014, 2020, and 2024 escalated far more quickly. This time, volatility has stayed elevated and persistent, which suggests the market is not experiencing a brief fear event so much as a prolonged repricing of uncertainty.

There is a very bearish case to be made for this type of VIX since the market has failed to relieve stress even after repeated chances to do so.

First, the VIX did not just spike once and collapse. After moving back above 20 on intraday highs in late January and early February, it kept returning to that zone repeatedly, then pushed to a 35.30 high on March 9, 2026, and later still printed 31.04 on March 23 and 31.65 on March 27. That pattern says volatility is being re-bid again and again rather than flushed out.  

Second, even after the March 9 surge, the market did not get a clean volatility reset. Instead of collapsing back toward the teens, the VIX kept closing in the mid-20s to low-30s, including closes of 29.49 on March 6, 27.29 on March 12, 26.78 on March 20, and 31.05 on March 27. That is important because bearish environments often are not defined by one dramatic spike, but by volatility staying structurally elevated after the spike should have faded.

Third, the ranges themselves argue for fragility. On March 9, the VIX traded from 24.76 to 35.30 intraday, which is an exceptionally wide range. Then on March 23, it ranged from 20.28 to 31.04 in a single session. When you see that kind of range expansion but still do not get a durable volatility unwind, it suggests the market is unstable underneath the surface. In other words, the tape may still look tradable, but the risk premium is not going away.

It was a strange week. The Monday pre-market trade made the market look as if there would be a run to new highs. The highs on Monday were the highs of the week as the market rolled over and by the close of Friday's session the Nasdaq futures traded about 600 points below Monday's pre-market surge price.

The Nasdaq 100 index is only about 900 points above the February 2025 highs.

Crude Oil closed above 101, the VIX above 31 while the 30 year bond took out last weeks lows during today's session.