Algo-Risk Monitor
Overview
Algo-Risk Monitor is an automated quantitative analysis suite that blends technical momentum signals with multi-layered risk analytics to turn raw market data into actionable insight. Highlights: - Logarithmic Returns and 21-day Annualized Volatility for risk standardization - RSI/SMA momentum overlays and candlestick dashboards - Parametric (Normal/Hull) and Historical VaR for single tickers and portfolios - Mean-Variance Optimization (MPT), Efficient Frontier search, and Monte Carlo for maximum Sharpe - Geometric Brownian Motion (GBM) scenario engine to simulate forward portfolio values - Interactive Streamlit web app with multi-page navigation and exportable CSV outputs
Supports auto-adjusted OHLCV via yfinance, including all 503 S&P 500 constituents. Built for notebook analysis and real-time web dashboards.
Key Features
- Automated OHLCV data pipeline (yfinance)
- Momentum & Trend: RSI, SMA-20/50 crossovers
- Volatility & VaR: annualized vols, parametric (Hull) and historical VaR
- Portfolio analytics: expected returns, covariance, efficient frontier
- Optimization engine: 10,000+ Monte Carlo simulations, max Sharpe & min vol
- Scenario engine: GBM with percentile bands (500+ paths)
- Visual outputs: Plotly dashboards, Matplotlib/Seaborn distributions
- Streamlit web app: interactive multi-page analysis
- Smart weight input and validation (equal-weight option)
- Correlation heatmap & performance pages