Gaetano Di Prima & Fabio Baruffa, PhD's article, “Market Regime Identification Using Trend, Volatility, And Credit Conditions”, introduced a new method to dynamically adjust equity exposure based on a market risk assessment.  The formula for the assessment appears below: Regime Indicator:

{Market Regime Indentification}
{by Gaetano Di Prima & Fabio Baruffa, PhD}
{Interpretation:
  3 = Risk On
  2 = Caution
  1 OR 0 = Risk Off
  
! Requires data access to all listing instruments 
}
spy:= security("ONLINE:SPY", C);
vix:= security("ONLINE:.VIX", C);
vix3m:= security("ONLINE:.VIX3M", C);
hyg:= security("ONLINE:HYG", C);
ief:= security("ONLINE:IEF.O", C);
Trend:= spy > Mov(spy, 200, S);
volatile:= (vix / vix3m) < 1;
zData:= hyg / ief;
zScore:= (zData - Mov(zData, 100, S))/Stdev(zData, 100);
credit:= zScore > -2;
Trend + volatile + credit

Please note that the formula references online data from other instruments. The user must have access to that data for the formula to work.  The user can also choose to direct the formula to use local data by changing the "ONLINE:" part of the code to the local data format and directory path.  For example, if the user wanted to use our MSLocal data format and stored the data of the SPY in C:\My Data, they would change this line:

spy:= security("ONLINE:SPY", C);

To this:

spy:= security("MSLOCAL: C:\My Data \SPY", C);