Aegis: A Dynamic Risk Control Framework

We introduce the Volatility Pressure Index (VPI), defined as the logarithmic change in variance. VPI captures the dynamics of volatility as a cumulative state variable rather than a static level. Based on this framework, we propose Aegis, a dynamic risk control system that continuously adjusts market exposure. A forward test on SPY shows that Aegis reduces drawdowns while improving risk-adjusted returns. This study provides a new perspective on volatility as a dynamic process described by state and change.