It's a bit hard to say exactly, as there are limitations of the website (can only see results when moves above SMA), but seems pretty clear that the risk is higher holding SPY when the VIX is above 7 and 20 day SMA and sharpe ratio and sortino ratio better when VIX is below both. I'm having trouble ascertaining inbetween and just posted a job request on Upworks to help me figure it out.