Thanks, Frank; I have also been wondering if VIX above or below a certain level would act as a further refinement to the QT systems.
Having said that, it would probably mean exiting a strategy on a non-rebalance day. If such an approach reduced drawdown, then it might have merit.
A further refinement to consider would be exiting certain individual positions within a strategy that are in danger of becoming losing positions and retaining profitable positions until the month end/rebalance date. That would make the strategies more ‘active’ which may or may not suit some or most subscribers.