This question is mainly targeted at fellow systematic traders, esp those that rely heavily on historical data via backtesting and optimization to create and vet their automated trading strategies, and doubly especially those running several strategies simultaneously on an ongoing basis. . . have you noticed any broad-level correlation of your trading success with the rise/fall in VIX?
I had a hunch for some time that this was the case, on my end, so recently submitted it to analysis (still ongoing), and our own trading success over a large number of strategies seems to correlate quite heavily. . and this is over a relatively large data pool, so it's not a correlation that can be easily dismissed or written off. . . and the implementation of a strategy-scaling mechanism incorporating VIX as a determining factor seems to have helped our trading, significantly. .
Curious as to whether others have noticed same, discretionary traders as well.