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.
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: