The heatmap below shows 10 minute SPY returns depending on the 20-minute fast stochastic oscillator (called kfast here) applied to 5-second bar closes of SPY(vertical axis) and VIX(horizontal axis). The oscillator measures the current price relative to the price range in the last 20 minutes. So, when it takes on a value of 0 it means a new 20-minute low, whereas 1 would be a new 20 minute high. The color of each bin is the mean divided standard deviation (i.e. sharpe ratio, not annualized) for all the 10 minute returns that fall in it.
We can see that rise in SPY with drop in VIX is generally bullish (bottom left orange corner). Rising VIX along with SPY is bearish (bottom right), and so is falling SPY and dropping VIX (top left).
The data used here is 5-second bars for SPY and VIX for 370 trading days starting on 2008/01/10.
