Macro Sentiment Index

The Macro Sentiment Index (MSI) is a multi-asset, rules-based indicator designed to quantify global market risk appetite by aggregating signals from a diversified basket of financial instruments across equities, fixed income, commodities, currencies, volatility, and macroeconomic data.

Developed under the CandelaCharts framework, MSI transforms complex intermarket dynamics into a single, interpretable sentiment score. It reflects the collective behavior of institutional and retail investors, central bank policies, liquidity conditions, and macroeconomic trends.

Rather than relying on a single data source, the index combines over 30 components grouped into five core categories:

• Risk-On Assets

• Risk-Off / Defensive Assets

• Macro & Interest Rate Indicators

• Central Bank & Policy Proxies

• Sentiment Ratios & Cross-Asset Signals

Each component is standardized using z-score normalization over a user-defined lookback period, weighted based on empirical significance, and aggregated into a composite sentiment score.

The final output oscillates around a neutral baseline (0), with positive values indicating risk-on conditions and negative values signaling risk-off sentiment.