Backtest which weekday produces the best overnight short returns on leveraged ETFs.
Short at the selected weekday’s close, cover at the next trading day’s open.
Friday covers the full Fri → Mon three-day weekend hold, weekend gap included.
Filters trades by the VIX regime on the day of entry.
< 20: calm regime — often tough for shorts as trends grind upward.
20-30: elevated, choppier tape where shorts can find edge.
> 30: crisis regime — sharpest drawdowns but snap-back rallies can whipsaw.
Scans every weekday (Mon–Fri) under the current VIX Regime and selects the day with the highest CAGR.
Requires a minimum trade count to avoid picking a day with too few samples.