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:
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.
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:
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)
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.