VIX and threshold trading - above a level, avoid stocks

Many have looked at the VIX as risk indicator that can help with determining equity exposure. A recent paper looked at the VIX indicator through a threshold lens. If the VIX exceeds a threshold level, then cut the equity risk and switch to bonds. If the VX stays below the threshold, hold the risky asset. See "Using the volatility index (VIX) as a Trading Indicator". 

The question with this type of signal is determining where to set the threshold. One way to solve the problem is to look at a wide set of thresholds and determine the value-added at each level. The authors look at combining a threshold and moving average and find that the 30-59 range will generate positive alpha and the 40-59 range will generate excess Sharpe. 

I am not completely convinced of the methodology, but the intuition is sound. At low levels of volatility trying to trade the VIX as an equity signal is limited but there is a threshold bel over which you want to avoid equity risk.