RISK-ON/RISK-OFF.

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CONCEPT

RISK-ON/RISK-OFF is a quantitatively based, frequent activity strategy designed to profit from daily movements in the stock and bond markets by taking long positions in the S&P500 and the 30 year US Treasury Bond.

The strategy is based on the concept of risk-appetite and risk-aversion where market participants tend to flock toward risk assets (stocks) during bullish sentiment and toward 'safety' assets (government bonds) during bearish sentiment.

The strategy uses several short term market driven indicators to gauge the near term market sentiment (risk-on or risk-off?) and will take long positions in the S&P500 or the US Treasury Bond or both. Below is a chart illustrating how the positions can frequently change in this system:

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