Risk ON / Risk OFF Signals

Dynamic Volatility Signal (DVS)

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. 

Brain Dynamic Allocation Signal (BDA)

The BDA signal is obtained by combining, using a proprietary algorithm, indicators of financial stress with indicators of macro-economic conditions.

The signal is aimed at capturing information coming from the behaviour of markets volatility, credit risk, sentiment surveys, growth indicators.

Signal Optimization

The signals depend on parameters that have been optimized using our proprietary backtesting module and a “walking-forward” approach. 
The main optimization 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

BRAIN Risk ON / Risk OFF signals are generated every day at 09:00 AM UTC. The user can be access the signals through an email report, a csv file on ftp server or API.
Portfolio strategies based on the signals are implemented.

Brain Copyright


Disclaimer: the content of this web site is not to be intended as investment advice. The material is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory or other services by Brain. Brain makes no guarantees regarding the accuracy and completeness of the information expressed in this web site.