Risk Environment Inputs

Equity Risk Appetite (ERA) combines custom factor ratios/values with your sign convention and weights.

Benchmark

Start Date

High ERA Threshold

Low ERA Threshold

Rolling Correlation Window

Factor Definitions

Format per line: Name,mode,numerator,denominator,direction,weight (mode: ratio|value|expr, direction: + or -, denominator blank uses benchmark). Examples: GrowthMix,expr,(TSLA+AMZN)/IWM,,+,1 ; Geopolitical,expr,(VOL(GLD)+VOL(USO))/2,,+,1

Show ERA threshold background coloring

Diagnostics

Collinearity (VIF) PCA Lasso

Enable diagnostics to isolate high-signal factors (VIF pruning, PCA variance, Lasso selection).

Core Formulas

Factor(ratio) = log(CumReturn(numerator) / CumReturn(denominator)); Factor(value) = log(CumReturn(numerator)); ERA = sum(direction_i * normalized_weight_i * factor_i); ERA Index scales ERA to 0-100 from lower/upper quantile anchors.