Dynamic Volatility Signal

The DVS signal uses some statistical measures calculated on VIX or other volatility indices.

As output, it provides an ON/OFF signal on US or other equity markets. Such indicators depend on parameters that have been optimized using our proprietary backtesting module and a “walking-forward” approach. 

Main criteria have been the following:

  • Maximization of annual return
  • Robustness of the performance in various market intervals
  • Few switches ON/OFF per year (approx 2/3)
Dynamic Volatility Signal

The DVS signal is generated every day at 07:30 AM GMT. The user can be access the sg through an email report, a csv file on ftp server or API.

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