Dynamic Equity Allocation from Regime, Risk, Valuation, Sentiment, and Macro Signals

Summary

This indicator estimates a recommended stock-versus-cash allocation for an S&P 500 portfolio. It combines five weighted inputs: market regime, portfolio risk, valuation, sentiment, and macro conditions. The regime score uses moving-average trends, volatility, and drawdown; additional inputs include volatility measures, fundamental metrics, credit spreads, yield curves, and safe-haven assets. The model can also apply portfolio volatility and drawdown limits, smooth the allocation signal, and reduce exposure when crisis conditions are detected.

Users can adjust component weights, risk targets, crisis thresholds, and model style, and can view component scores and receive alerts for allocation changes, regime shifts, and risk breaches. The document describes the indicator’s data sources and configurable logic, but gives no backtest results or evidence that its recommendations improve returns. It is designed for SPY or S&P 500 allocation, and its outputs depend on TradingView data availability and fallback values for some fundamentals. The signal should therefore be treated as a framework for analysis rather than a validated allocation rule.

Key ideas

• The model combines regime, risk, valuation, sentiment, and macro scores into an equity allocation recommendation.
• Trend, volatility, and drawdown determine the market regime score.
• Portfolio risk scaling adjusts equity exposure against target volatility and drawdown limits.
• Crisis thresholds and alerts can prompt defensive allocation changes.
• The document provides no performance validation, and some fundamental inputs use fallback values.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.