Indicator
Yield Curve MonitorWhat you see in the preview image
The chart displays the complete US Treasury yield curve as a smooth log-scaled polyline drawn to the right of the last bar, with all eleven maturities from 1-month T-bills to 30-year bonds plotted at their actual yield values. The solid line shows today's curve; the dashed line shows the curve from 21 trading days ago for direct visual comparison. Each tenor is labeled with its name and yield in percent. To the right, a comprehensive dashboard table lists every maturity with current yield, the change in basis points versus the historical reference date, and a relative magnitude bar. Below the maturity rows the four most-watched yield-curve spreads are shown (2s10s, 3m10y, 2s30s, 5s30s) with their current value, change versus history, and inversion status. The footer classifies both the current and historical curves into one of five regimes — Steep, Normal, Flat, Inverted, or Humped — using a user-selectable slope metric.
What this indicator does
This is a complete US Treasury yield-curve workstation built into a single PulseWire pane. It solves a problem that ordinary time-series indicators cannot: the yield curve is fundamentally a cross-sectional object — yield as a function of maturity at a single moment — but standard charts plot variables against time. By rendering the curve as a polyline anchored to the right of the last bar, with maturity on a logarithmic x-axis and yield on the price axis, the indicator gives you a real, geometrically faithful view of curve shape, alongside a complete data table and historical comparison.
Eleven maturities are pulled from PulseWire's TVC feed at daily resolution: US01MY, US03MY, US06MY, US01Y, US02Y, US03Y, US05Y, US07Y, US10Y, US20Y, US30Y. Each tenor is requested twice — once for the current bar and once for a user-defined lookback offset — giving the indicator a paired snapshot that drives every visualization and metric. If a specific tenor is unavailable on your data plan (US20Y is the most common gap), that point silently drops from the curve and shows an em dash in the table — no errors are raised.
Settings explained
Display group
Curves geplottet (Curves to plot) — choose which yield curves are drawn to the right of the last bar: , , or . The dashboard table always shows both datasets regardless of this setting; this toggle controls only the visual polyline. The tenor labels next to the points always reflect the curve being plotted (or the current curve when both are shown).Current onlyHistoric onlyBoth
Slope-Metrik (Shape-Klassifikation) — selects which spread drives the Steep / Normal / Flat / Inverted / Humped classification shown in the dashboard footer. Six options are available: (the default, broadest possible measure), (classic NBER recession lead-indicator), (the Federal Reserve's preferred recession signal), (long-end steepness), (pure long-end term-premium proxy), and (full-spectrum slope excluding T-bills). Each metric has its own empirically calibrated thresholds (see the Methodology section), so the classification remains meaningful regardless of which spread you choose. Alerts also fire on the selected spread.30y - 3m10y - 2y (2s10s)10y - 3m (3m10y)30y - 5y (5s30s)30y - 10y (10s30s)30y - 2y (2s30s)
Dashboard anzeigen — show or hide the data table.
Tabellen-Position — five anchor points for the dashboard: top-left, top-right, middle-right, bottom-right, bottom-left.
Historic Lookback (Daily Bars) — the number of trading days back used for the historical comparison. Default is 21, which approximates one trading month. Useful presets: 21 ≈ 1 month, 63 ≈ 1 quarter, 126 ≈ 6 months, 252 ≈ 1 year. Maximum 504 bars (≈ 2 years).
Style group
Five customizable colors mapped to semantic roles (Bull/Steep/Current, Bear/Inversion, Neutral/Normal, Warning/Flat/Hump, Historic). One additional input controls the polyline line width (1 to 5). All defaults match a dark theme; the colors can be repointed to fit any chart style.
Alerts group
Two alert toggles: one fires when the user-selected slope metric crosses below zero (inversion event), the other when it crosses back above zero (re-steepening event). Both alerts trigger on confirmed daily-bar closes only — there is no intrabar repainting.
What the dashboard shows
The table is divided into three blocks.
Maturity block (eleven rows) — one row per tenor showing the current yield to three decimal places, the change in basis points versus the lookback date with directional color (green up, red down), and a magnitude bar built from filled and empty Unicode block characters that visualizes the yield's size relative to the highest yield in the curve. This block lets you read absolute levels and recent moves at a glance.
Key Spreads block (four rows) — the four most-watched curve spreads (2s10s, 3m10y, 2s30s, 5s30s), each with current value, change in basis points versus the lookback date, and an OK / INVERTED status flag. These four are shown unconditionally regardless of which slope metric you selected for shape classification, so you always have the full institutional toolkit visible.
Curve Shape block (one or two rows) — one row per plotted curve (Current and/or Historic, depending on the curve toggle). Each row shows the regime label (STEEP, NORMAL, FLAT, INVERTED, or HUMPED) on a colored background matching the regime, the current slope value of the selected metric, and the metric's name. This lets you compare regime states between today and the lookback date directly: the curve may have shifted from FLAT to STEEP, for example, even if both versions are visible on the chart.
Methodology — shape classification
The indicator uses the user-selected spread as its primary slope input, with four absolute thresholds calibrated empirically from US Treasury data since 1990:
30y - 3m Steep : +1.5% Normal > +0.3% Flat > -0.3% Inverted ≤ -0.3%
10y - 2y (2s10s) +1.0% +0.2% -0.2% -0.2%
10y - 3m (3m10y) +1.5% +0.3% -0.3% -0.3%
30y - 5y (5s30s) +0.7% +0.15% -0.15% -0.15%
30y - 10y (10s30s) +0.5% +0.1% -0.1% -0.1%
30y - 2y (2s30s) +1.0% +0.2% -0.2% -0.2%
The thresholds reflect each spread's historical distribution: the long-end spreads (5s30s, 10s30s) have far narrower ranges than the broad measures (30y-3m, 3m10y), so applying a single global threshold would over-classify the long-end as STEEP at almost every reading. By calibrating per metric, the classification stays meaningful no matter which spread the user selects.
A separate Hump detection runs alongside: if the maximum yield in the curve falls in the belly (2Y, 3Y, 5Y, or 7Y) and the overall slope is below twice the Normal threshold, the curve is classified as HUMPED. This identifies the canonical inverted-belly shape that often signals a near-term policy-rate peak followed by expected easing.
How to read the curve
A Steep curve typically associates with early-cycle expansions, accommodative monetary policy, or rising inflation expectations — investors demand higher compensation to lend further out. A Normal curve is the long-term default state of healthy bond markets. A Flat curve indicates near-equality of short and long expectations, typically near cyclical turning points. An Inverted curve, where long yields trade below short yields, has preceded every US recession since the 1960s with an average lead time of roughly 12 to 18 months — this is the signal to watch for. A Humped shape, where the belly trades above both ends, typically reflects market pricing of a near-term hiking cycle followed by expected cuts.
The dashed historical curve makes regime transitions visually obvious. If the solid current curve sits below the dashed reference across all tenors, yields have fallen broadly (a bond rally). If the curves cross — for example, the short end is up but the long end is down — the curve has flattened or inverted further during the lookback window. If the spread between them widens at the long end, term premium is expanding.
Repainting and data behavior
All calls use . Alerts trigger only on confirmed daily-bar closes. There is no repainting on confirmed bars.request.securitylookahead = barmerge.lookahead_off
When the chart is on an intraday timeframe, the displayed yields reflect the most recent closed daily bar — during the US trading session this means yesterday's settlement until the new daily close prints. This is correct, non-repainting behavior and is consistent with how all daily-resolution data is served on PulseWire.
The pane scales automatically to the yield range using two invisible anchor plots (min and max across both current and historical curves). This ensures the polyline always uses the full vertical space without manual axis adjustment, regardless of the absolute level of yields.
Limitations
The classification thresholds are static absolutes, not adaptive. In persistent low-rate regimes (such as 2010-2021) the STEEP threshold may register slightly too generously; in high-rate regimes the FLAT threshold may understate compression. The numerical slope value is always shown alongside the label, so you can apply your own judgment when the regime label feels off.
The Hump detection uses a simple argmax check on the belly tenors rather than a full curvature metric (such as the 2 × 5Y minus 2Y minus 10Y butterfly). It is most reliable when the selected slope metric spans the full curve (30y-3m, 3m10y, 2s10s); for narrow long-end metrics (5s30s, 10s30s) the belly lies outside the metric's span and Hump classification can be misleading. When in doubt, switch the slope metric to for the most robust shape reading.30y - 3m
Only US Treasuries are supported in this version. The architecture leaves headroom in the request.security budget (22 of 40 calls used) for adding additional sovereign curves (Bunds, Gilts, JGBs) in future updates.
Two alert conditions are exposed for the user-selected slope metric:
Selected Spread Inversion — fires when the chosen spread crosses below zero (e.g., from positive to negative 2s10s). Useful as an early-warning trigger in macro frameworks.
Selected Spread Re-Steepening — fires when the chosen spread crosses back above zero. The bull-versus-bear-steepener distinction (which end of the curve is moving) requires looking at the individual yields in the dashboard at the moment the alert fires.
Alerts respect the user's slope-metric selection — switching from 2s10s to 3m10y in the settings will redirect the alerts to the new spread automatically.
Recommended use
Place the indicator on a daily chart of a broad US equity index (SPX, ES1!, SPY) to visualize how historical yield-curve regimes have aligned with equity-market phases — the inversion shading and shape labels make prior recession signals immediately visible. For fixed-income traders, place it directly on a Treasury futures chart (ZN1!, ZB1!) to use the live curve view as a directional input alongside the underlying price action. For macro discretionary traders, the configurable slope metric lets you align the shape classification with whichever spread your framework prioritizes — Fed-watchers typically use 3m10y, recession-modelers use 2s10s, term-premium analysts use 5s30s or 10s30s.
Originality
This indicator combines three distinct visualizations of the same dataset — a cross-sectional polyline curve drawn to the right of the last bar, a comprehensive numerical dashboard with eleven tenors and four spreads, and a configurable shape classification with per-metric calibrated thresholds — into a single, self-contained workspace. The log-scaled cross-sectional curve drawing using Pine v6's polyline objects, the historical comparison overlay, and the user-selectable slope metric with empirically calibrated thresholds per spread are not, to my knowledge, available in this combination in other public yield-curve scripts on the platform.
Indicator
Global Liquidity Index (Z-Score)Global Liquidity Index (Quant Normalized Edition)
Overview
The Global Liquidity Index (Quant Normalized Edition) is a professional-grade macro indicator designed to track the "lifeblood" of financial markets: Fiat Liquidity. Unlike retail-focused momentum oscillators, this tool dives deep into the Market Plumbing of the world’s major central banks to provide a lead-lag perspective on asset prices.
The Core Logic
Liquidity is not a single number; it is a flow. This indicator aggregates data from the Federal Reserve (FED), ECB, PBoC, BoJ, BoE, and SNB.
It offers two distinct calculation modes:
-Net Central Banks: Focuses on the "true" spendable liquidity by calculating: (Balance Sheet - RRP - TGA) for the US, plus major global central bank assets.
-Global M2: Tracks the broad money supply growth across the world's largest economies.
Key Features
-Z-Score Normalization Layer: The breakthrough feature of this version. By applying a Z-score normalization to the liquidity Rate of Change (ROC), the script standardizes the different magnitudes of central bank balance sheets. This ensures that a massive move in the PBoC is weighted correctly against the FED, providing a balanced signal.
-4-Phase Liquidity Engine: The indicator categorizes the market regime into four distinct stages:
Phase 1: IGNITION (Blue) – Liquidity is beginning to accelerate, often preceding a major breakout.
Phase 2: FULL THRUST (Green) – Maximum liquidity momentum; the "Golden Window" for trend-following.
Phase 3: ROTATION (Orange) – Liquidity is decelerating. Momentum is fading, suggesting risk-off or distribution.
Phase 4: DROUGHT (Red) – Net liquidity is contracting.Historically associated with increased volatility and "rug pulls".
-X-Ray Projection (Offset): Includes a time-shifting engine that allows users to project the liquidity signal forward (or backward) to identify lead-lag correlations with price action.
-Dynamic Correlation: An integrated dashboard shows the real-time correlation between the liquidity flow and the current chart's price action.
How to Use
-Bullish Environments: Look for Phase 1 (Ignition) transitions into Phase 2 (Full Thrust).
-Risk Mitigation: Be cautious when the signal enters Phase 3 (Rotation), as this often marks the "topping out" of the liquidity cycle.
-Divergence: Watch for "Price vs. Liquidity" divergences, where price moves higher while liquidity (GLI) is making lower highs.
Credits & Disclaimer
Credits: The foundational macro-data fetching logic was inspired by the original work of QuantitativeAlpha. This version has been deeply modified and independently developed to include a proprietary Z-Score normalization layer, a time-shifting engine, and a 4-phase algorithmic regime filter.
Disclaimer: This indicator is for educational and informational purposes only. It does not constitute financial or investment advice. Indicator
Central Bank Liquidity Gap IndicatorThis indicator measures the gap between global liquidity growth and stock market growth to identify potential buying opportunities.
Liquidity drives markets. When central banks print money, that liquidity eventually flows into stocks and other assets. If we spot when liquidity growth is outpacing market growth, we can spot moments when the market is "due" to catch up.
I like this quote:
Earnings don't move the overall market; it's the Federal Reserve Board... focus on the central banks and focus on the movement of liquidity."
- Stanley Druckenmiller
How Central Bank Liquidity Gap Indicator Works
The indicator calculates a simple divergence:
Divergence = Liquidity Growth % − S&P 500 Growth %
Green bars = Liquidity is growing faster than the market (bullish)
Red bars = Market is growing faster than liquidity (less bullish)
Multi-Country M2 Money Supply
Unlike basic M2 indicators, this one lets you combine money supply data from multiple economies, including US, UK, Canada, China, Eurozone, Switzerland and Japan.
Each country's M2 is automatically weighted by its actual size (converted to USD). Larger economies have more influence on the global liquidity picture.
I've added a discount for China. China's M2 weight is reduced by 50% to account for capital controls that limit how much Chinese liquidity flows into global markets and into the US market.
Fed Net Liquidity
You can also blend in Fed Net Liquidity for a more precise US liquidity measure:
Net Liquidity = Fed Balance Sheet − Treasury General Account − Reverse Repo
This captures the actual liquidity the Fed has injected into financial markets, not just the broad money supply.
How To Read It
The Buy Zone (5%+ Divergence)
When the divergence exceeds +5%, the indicator enters the "Buy Zone" (highlighted with green background). This means liquidity is significantly outpacing market growth — historically a good buy signal.
The Support Table
The info table shows:
Component weights: How much each country's M2 contributes
Corr w/ SPX: Current correlation between liquidity and SPX (are they moving together?)
Leads SPX by X: Does past liquidity predict future SPX moves? (higher = more predictive)
Divergence %: Current divergence value
Signal
Correlation Stats
Corr w/ SPX: Measures if liquidity and SPX are moving in sync right now
Leads SPX: Measures if liquidity changes predict future SPX moves. A positive value here suggests liquidity is a leading indicator.
Potential Use Cases
Long-term investing: Wait for 5%+ divergence (buy zone) to accumulate index funds, ETFs, or stocks
Leveraged ETFs: Use buy zone signals to time entries into UPRO, TQQQ, SSO (higher risk, higher reward)
Crypto: Bitcoin and crypto markets also correlate with global liquidity — use this for BTC accumulation timing
Risk management: Avoid adding positions when divergence is deeply negative
Important Notes
This is a long-term indicator and not for daytrading. It works best used on Daily/Weekly timeframes
It identifies accumulation zones and not precise bottoms
Truly yours, Henrique Centieiro
Inspired by the relationship between M2 money supply and market performance, enhanced with multi-country liquidity tracking and Fed balance sheet analysis.
Let me know if you have questions/suggestions.
Indicator
Indicator
Fed Balance Sheet (Candles)Fed Balance Sheet (Candles) - PulseWire Description
📊 OVERVIEW
Fed Balance Sheet (Candles) transforms the Federal Reserve's total assets into an intuitive candlestick visualization, allowing you to track monetary policy changes with the same visual language you use for price action.
This indicator pulls real-time data directly from FRED (Federal Reserve Economic Data) and displays the Total Assets of All Federal Reserve Banks as dynamic candles on your chart, making it effortless to correlate central bank liquidity with market movements.
🎯 WHY THIS MATTERS
The Federal Reserve's balance sheet is one of the most powerful leading indicators in global markets. When the Fed expands its balance sheet (Quantitative Easing), it injects liquidity into the financial system, historically correlating with:
Rising asset prices (stocks, crypto, commodities)
Lower volatility
Risk-on sentiment
Currency devaluation
When the Fed contracts its balance sheet (Quantitative Tightening), liquidity drains from markets, often leading to:
Asset price pressure
Increased volatility
Risk-off sentiment
Dollar strength
By visualizing this as candles, you can instantly see:
The pace of change (candle size)
The direction (green = expansion, red = contraction)
Acceleration or deceleration (consecutive candles in same direction)
Pivots in monetary policy (color changes from green to red or vice versa)
🔧 HOW IT WORKS
Data Source
Source: Federal Reserve Economic Data (FRED)
Metric: Total Assets of All Federal Reserve Banks
Unit: Displayed in Trillions of USD for easy reading
Frequency: Weekly updates (every Wednesday)
Candlestick Construction
Since balance sheet data is reported as a single number each week (not traditional open-high-low-close), this indicator creates candles by comparing each period to the previous one:
Open = Last week's balance sheet value
Close = This week's balance sheet value
High = The higher of the two values
Low = The lower of the two values
This captures directional movement and magnitude of change, making it intuitive for traders accustomed to candlestick analysis.
Color Scheme
🟢 GREEN CANDLES (Expanding Balance Sheet)
When this week's value is higher than last week's
Interpretation: Fed is adding liquidity (Quantitative Easing)
Historically bullish for risk assets
🔴 RED CANDLES (Contracting Balance Sheet)
When this week's value is lower than last week's
Interpretation: Fed is removing liquidity (Quantitative Tightening)
Historically bearish or neutral for risk assets
Value Label
A floating label displays the current balance sheet value in trillions (e.g., "$8.75T") so you always know the exact figure at a glance.
📈 PRACTICAL APPLICATIONS
1. Market Regime Identification
Strings of green candles = Liquidity-driven bull markets
Strings of red candles = Tightening-induced bear markets or corrections
Color transitions = Potential market inflection points
2. Correlation Analysis
Overlay on stock indices (SPY, QQQ, IWM)
Overlay on crypto (BTC, ETH)
Overlay on commodities (Gold, Silver)
Observe how asset prices react to Fed liquidity changes in real-time
3. Macro Timing
Large green candles = Aggressive easing (crisis response)
Large red candles = Aggressive tightening (inflation fighting)
Small candles = Neutral policy (Fed on hold)
4. Risk Management
Shift portfolio allocation based on liquidity environment
Reduce leverage during red candle trends
Increase exposure during green candle trends
Use as confirmation for other technical signals
5. Multi-Timeframe Context
Daily charts: See how daily price action relates to weekly Fed data
Weekly charts: Perfect alignment with data release frequency
Monthly charts: Visualize long-term monetary cycles spanning years
⚙️ SETTINGS
Zero configuration needed. Simply add the indicator to any chart and it works immediately.
The indicator automatically:
Overlays on your main chart
Uses the left price scale (won't interfere with asset prices)
Updates with the latest Fed data
Displays values in trillions for clean readability
🎨 VISUAL DESIGN PHILOSOPHY
The indicator uses semi-transparent candle bodies with vibrant borders to maintain visibility without obscuring your price action. The color scheme follows universal chart conventions where green represents growth/expansion and red represents decline/contraction.
It's designed to blend seamlessly into any chart theme while providing immediate visual clarity about the Fed's monetary stance.
📚 WHAT YOU NEED TO KNOW
Data Availability
Historical data available from December 2002 (over 20 years of Fed policy)
Updates every Wednesday (Federal Reserve's reporting schedule)
Typically published with a 1-week lag
How the Data Appears
On weekdays: Shows the most recent Wednesday's data
On weekends: Shows Friday's data (which is the prior Wednesday's figure)
Updates automatically when new data is released
Scale Considerations
The Fed's balance sheet is measured in trillions, while most assets are priced much lower. The indicator uses the left price scale by default to avoid conflicts with your main asset's price scale. You can easily move it to a separate pane if you prefer.
🧠 INTERPRETATION GUIDE
Historical QE Phases (Green Candles)
2008-2014: Financial Crisis Response
The Fed's balance sheet expanded from under $1T to ~$4.5T to stabilize markets after the mortgage crisis.
2020: COVID-19 Response
Rapid expansion to ~$7T as the Fed stepped in during pandemic lockdowns.
2020-2022: Extended Support
Balance sheet reached historic peak of ~$9T.
Historical QT Phases (Red Candles)
2017-2019: First Modern QT Attempt
The Fed tried to normalize its balance sheet, reducing it from ~$4.5T to ~$3.8T before pivoting.
2022-Present: Inflation-Fighting QT
The Fed began shrinking its balance sheet to combat inflation, letting bonds mature without replacement.
Key Insights
Size matters, but rate of change matters MORE.
A $9T balance sheet growing slowly has different implications than a $5T balance sheet growing rapidly.
Watch for acceleration.
Increasingly large candles (up or down) signal a policy shift that markets will notice.
Plateaus mean "wait and see."
Tiny candles indicate the Fed is holding steady and watching economic data.
Reversals are major events.
When candles switch from green to red (or vice versa), the Fed has changed course—these are critical market turning points.
🎓 EDUCATIONAL VALUE
This indicator helps you understand:
The mechanics of monetary policy through visual learning
The lag between Fed actions and market reactions by observing temporal correlation
The scale of modern central banking (trillions put into perspective)
The relationship between liquidity and asset prices (cause and effect in action)
Many traders talk about "don't fight the Fed" but never actually track what the Fed is doing. Now you can see it as clearly as you see price action.
🔗 RELATED CONCEPTS
For comprehensive macro analysis, consider also tracking:
Fed Funds Rate (short-term interest rates)
M2 Money Supply (broader measure of money in circulation)
Treasury Yield Curves (bond market expectations)
Dollar Index (DXY) (currency strength)
VIX (market fear/volatility)
The Fed's balance sheet is just one piece of the puzzle, but it's arguably the most important one for understanding liquidity conditions.
⚠️ DISCLAIMER
This indicator displays publicly available economic data from the Federal Reserve. It is for informational and educational purposes only and does not constitute financial advice.
Important considerations:
Past monetary policy does not guarantee future market outcomes
Correlation does not equal causation
Asset prices are influenced by many factors beyond Fed liquidity
Always use proper risk management
Consult with qualified financial professionals before making investment decisions
Trading involves substantial risk of loss and is not suitable for everyone.
📜 VERSION HISTORY
Version 1.0 - Initial Release
Fed balance sheet visualized as candlesticks
Real-time FRED data integration
Automatic display in trillions
Dynamic color coding (green/red)
Current value label with exact figure
💡 WHY CANDLES?
You might wonder: "Why show the Fed's balance sheet as candles instead of a line?"
Because candles tell stories that lines can't.
A line shows you where we are
Candles show you how we got here, how fast we're moving, and what momentum looks like
Candles make the Fed's actions feel immediate and tangible
Candles connect macro data to the chart language you already speak
When you see three big green candles in a row on the Fed balance sheet while your crypto or stock portfolio is rallying, you feel the connection. When you see the candles turn red and shrink, you understand the headwinds forming.
It transforms dry economic data into actionable market intelligence.
📞 SUPPORT & FEEDBACK
If you find this indicator valuable:
⭐ Like and favorite to help others discover it
📝 Comment with your use cases and insights
🔔 Follow for updates and new macro indicators
Your feedback drives improvements and helps build better tools for the trading community.
🚀 THE BOTTOM LINE
The Fed's balance sheet is the tide that lifts or lowers all boats.
Whether you're trading stocks, crypto, forex, or commodities—whether you're a day trader or long-term investor—understanding the Fed's liquidity operations gives you an edge.
This indicator makes that understanding visual, immediate, and actionable.
Stop guessing about macro conditions. Start seeing them.
"Don't fight the Fed" - Wall Street Wisdom
Now you can see exactly what they're doing—in the same language you use to read price action.
May your trades ride the tide of liquidity. 🌊📈 Indicator
[KF] Multi-Duration Rate Expectations IndicatorAfter last fed cut in Oct then following jump in rates, I was frustrated at not having access to good rate expectations vs actual because the market usually prices in prior to fed action. This indicator was developed to make futures market rate expectations accessible and interpretable without requiring professional bond analytics systems.
Summary
This Pine Script indicator reveals what the futures market expects for interest rates across three key durations: Fed Funds (overnight), 2-Year, and 10-Year Treasury yields. By comparing futures-implied rates against current spot yields, it provides a clear visual signal of whether the market expects rates to rise, fall, or remain steady.
Understanding Rate Futures
Fed Funds futures (ZQ1!) use a simple design where the expected rate equals 100 minus the futures price. If ZQ1! trades at 96.12, the market expects a 3.88% Fed Funds rate. Treasury futures work differently - they trade as bond prices (typically 102-115) that move inversely to yields. Converting Treasury futures to implied yields requires complex bond mathematics involving duration and conversion factors.
This indicator solves the Treasury futures complexity by implementing a self-calibrating sensitivity model. It observes the historical relationship between futures prices and yields, then uses this to project rate expectations. The model also compares front-month to next-month contracts to detect expected rate direction, automatically adapting as market conditions change.
How to Use
Add the indicator to any chart and select your desired duration in the settings. The display shows the futures-implied rate, current yield, and the difference between them. Green indicates the market expects higher rates, red means lower expectations, and gray shows expectations in line with current rates.
The indicator excels at identifying divergences between market expectations and current rates, which often precede rate movements or futures repricing. Comparing expectations across different durations reveals insights about yield curve positioning and Fed policy anticipation.
Technical Note
While Fed Funds futures provide exact rate expectations, Treasury futures conversions are sophisticated approximations that provide reliable directional signals and reasonable magnitude estimates sufficient for most trading applications. Indicator
NFCI National Financial Conditions IndexChicago Fed National Financial Conditions Index (NFCI)
This indicator plots the Chicago Fed’s National Financial Conditions Index (NFCI).
The NFCI updates weekly, and its latest value is displayed across all chart intervals.
The NFCI measures how tight or loose overall U.S. financial conditions are. It combines over 100 weekly indicators from the money, bond, and equity markets—along with credit and leverage data—into a single composite index.
The NFCI has three key subcomponents, each of which can be independently selected within the indicator:
Risk: Captures volatility, credit spreads, and overall market stress.
Credit: Tracks how easy or difficult it is to borrow across households and businesses.
Leverage: Reflects the level of debt and balance-sheet strength in the financial system.
When the NFCI rises, financial conditions are tightening — liquidity is contracting, borrowing costs are climbing, and investors tend to reduce risk.
When the NFCI falls, conditions are loosening — liquidity expands, credit flows more freely, and markets generally become more risk-seeking.
Traders often use the NFCI as a macro backdrop for risk appetite: rising values signal growing stress and defensive positioning, while falling values indicate improving liquidity and a more supportive market environment. Indicator
PCE Inflation Monitor (Change YoY & MoM)📊 PCE Inflation Monitor - The Fed's Most Important Metric
Personal Consumption Expenditures (PCE) is the Federal Reserve's preferred inflation measure and THE metric they target for their 2% inflation goal. If you want to predict Fed policy, you need to watch PCE.
🎯 KEY FEATURES:
- Dual Perspective Analysis:
- Year-over-Year (YoY): Histogram bars showing annual PCE inflation
- Month-over-Month (MoM): Line overlay showing monthly consumption price changes
- Visual Reference System:
- Dashed line at 2% (Fed's official PCE inflation target)
- Dotted line at 0.17% (equivalent monthly target)
- Color-coded bars: Red above Fed target, Green below target
- Real-Time Data Table:
- Current PCE Index value
- YoY inflation rate vs. Fed's 2% target
- MoM inflation rate with color coding
- Exact deviation from Fed target (critical for policy predictions)
- Automated Alerts:
- PCE crosses Fed's 2% target (major policy signal!)
- MoM crosses monthly target
- Stay informed of Fed-relevant inflation changes
📈 WHY PCE IS DIFFERENT (AND MORE IMPORTANT):
PCE vs. CPI differences:
- Flexible basket: PCE adjusts for substitution (beef → chicken if prices rise)
- Broader coverage: Includes healthcare paid by insurance/government
- Lower readings: Typically 0.2-0.4% below CPI
- Fed's choice: Explicitly stated as their target metric
Most importantly: When Powell speaks about "our 2% target," he means PCE, not CPI!
🔍 TRADING IMPLICATIONS:
PCE Above 2% (Red Zone):
→ Fed under pressure to maintain/raise rates
→ Hawkish policy stance likely
→ Negative for growth stocks, crypto
→ Positive for USD, bearish for gold
PCE Below 2% (Green Zone):
→ Fed has flexibility to cut rates
→ Dovish policy stance possible
→ Positive for risk assets, growth stocks
→ Negative for USD, bullish for commodities
PCE Approaching 2% from Above:
→ Fed "mission accomplished" narrative
→ Rate cut cycle becomes possible
→ Major bullish signal for equities/crypto
💡 ADVANCED STRATEGIES:
1. Fed Meeting Preparation: Check PCE before FOMC meetings for policy clues
2. Dot Plot Predictions: PCE trend determines Fed's rate forecast updates
3. Pivot Timing: When PCE MoM turns negative, Fed pivot becomes realistic
4. Press Conference Analysis: Compare Powell's comments to PCE deviation
🎯 KEY LEVELS TO WATCH:
- 2.0% YoY: Fed's official target - crossing this level is major news
- 2.5% YoY: "Uncomfortably high" - Fed forced to stay restrictive
- 3.0% YoY: "Crisis mode" - Fed turns very hawkish
- 1.5% YoY: "Below target" - Rate cuts become likely
🔄 COMBINE WITH:
- CPI: Public perception vs. Fed's metric (often diverge)
- Core PCE: Even more important (excludes food/energy volatility)
- Fed Funds Rate: Is Fed responding appropriately to PCE?
📊 DATA SOURCE:
Official PCE data from FRED (Federal Reserve Economic Data), updated monthly typically in the last week of each month (after CPI/PPI releases).
🎨 CUSTOMIZATION:
Fully customizable:
- Toggle YoY/MoM displays
- Adjust Fed target if needed
- Customize colors
- Show/hide absolute PCE values
Perfect for: Fed watchers, macro traders, policy analysts, and serious investors who want to predict monetary policy changes before they happen.
⚠️ CRITICAL INSIGHT: While media focuses on CPI, the Fed focuses on PCE. Trade what the Fed trades, not what the headlines say.
🎓 Pro Tip: Fed members often mention "Core PCE" (excluding food/energy). Consider adding that indicator alongside this one for complete Fed policy analysis. Indicator
CPI Inflation Monitor (Change YoY & MoM)📊 CPI Inflation Monitor - Complete Macro Analysis Tool
This indicator provides a comprehensive view of Consumer Price Index (CPI) inflation trends, essential for understanding monetary policy, market conditions, and making informed trading decisions.
🎯 KEY FEATURES:
- Dual Perspective Analysis:
- Year-over-Year (YoY): Histogram bars showing annual inflation rate
- Month-over-Month (MoM): Line overlay showing monthly price changes
- Visual Reference System:
- Dashed line at 2% (Fed's official inflation target for YoY)
- Dotted line at 0.17% (equivalent monthly target for MoM)
- Color-coded bars: Red above target, Green below target
- Real-Time Data Table:
- Current CPI Index value
- YoY inflation rate with color coding
- MoM inflation rate with color coding
- Deviation from Fed target
- Automated Alerts:
- YoY crosses above/below 2% target
- MoM crosses above/below 0.17% target
- Perfect for staying informed without constant monitoring
📈 WHY THIS MATTERS FOR TRADERS:
CPI is the most widely reported inflation metric and directly influences:
- Federal Reserve interest rate decisions
- Bond yields and currency valuations
- Stock market sentiment (especially growth vs. value rotation)
- Cryptocurrency and risk asset performance
Rising inflation (red bars) typically leads to:
→ Higher interest rates → Negative for growth stocks, crypto
→ Stronger USD → Pressure on commodities
Falling inflation (green bars) typically leads to:
→ Rate cut expectations → Positive for growth stocks, crypto
→ Weaker USD → Support for commodities
🔍 HOW TO USE:
1. Strategic Positioning: Use YoY trend (thick bars) for long-term asset allocation
2. Tactical Timing: Use MoM trend (thin line) to identify turning points early
3. Divergence Trading: When MoM falls but YoY remains high, anticipate trend reversal
4. Fed Policy Prediction: Distance from 2% target indicates Fed's likely hawkishness
💡 PRO TIPS:
- Multiple months of MoM above 0.3% = Accelerating inflation → Fed turns hawkish
- MoM turning negative while YoY still elevated = Peak inflation → Position for pivot
- Compare with PPI and PCE indicators for complete inflation picture
- Use alerts to catch important threshold crossings automatically
📊 DATA SOURCE:
Official CPI data from FRED (Federal Reserve Economic Data), updated monthly mid-month when new data releases occur.
🎨 CUSTOMIZATION:
Fully customizable through settings:
- Toggle YoY/MoM displays
- Adjust target levels
- Customize colors for visual preference
- Show/hide absolute CPI values
Perfect for: Macro traders, swing traders, long-term investors, and anyone wanting to understand the inflation environment affecting their portfolio.
Note: This indicator works on any chart timeframe as it loads external monthly economic data. Indicator
Recession Warning Model [BackQuant]Recession Warning Model
Overview
The Recession Warning Model (RWM) is a Pine Script® indicator designed to estimate the probability of an economic recession by integrating multiple macroeconomic, market sentiment, and labor market indicators. It combines over a dozen data series into a transparent, adaptive, and actionable tool for traders, portfolio managers, and researchers. The model provides customizable complexity levels, display modes, and data processing options to accommodate various analytical requirements while ensuring robustness through dynamic weighting and regime-aware adjustments.
Purpose
The RWM fulfills the need for a concise yet comprehensive tool to monitor recession risk. Unlike approaches relying on a single metric, such as yield-curve inversion, or extensive economic reports, it consolidates multiple data sources into a single probability output. The model identifies active indicators, their confidence levels, and the current economic regime, enabling users to anticipate downturns and adjust strategies accordingly.
Core Features
- Indicator Families : Incorporates 13 indicators across five categories: Yield, Labor, Sentiment, Production, and Financial Stress.
- Dynamic Weighting : Adjusts indicator weights based on recent predictive accuracy, constrained within user-defined boundaries.
- Leading and Coincident Split : Separates early-warning (leading) and confirmatory (coincident) signals, with adjustable weighting (default 60/40 mix).
- Economic Regime Sensitivity : Modulates output sensitivity based on market conditions (Expansion, Late-Cycle, Stress, Crisis), using a composite of VIX, yield-curve, financial conditions, and credit spreads.
- Display Options : Supports four modes—Probability (0-100%), Binary (four risk bins), Lead/Coincident, and Ensemble (blended probability).
- Confidence Intervals : Reflects model stability, widening during high volatility or conflicting signals.
- Alerts : Configurable thresholds (Watch, Caution, Warning, Alert) with persistence filters to minimize false signals.
- Data Export : Enables CSV output for probabilities, signals, and regimes, facilitating external analysis in Python or R.
Model Complexity Levels
Users can select from four tiers to balance simplicity and depth:
1. Essential : Focuses on three core indicators—yield-curve spread, jobless claims, and unemployment change—for minimalistic monitoring.
2. Standard : Expands to nine indicators, adding consumer confidence, PMI, VIX, S&P 500 trend, money supply vs. GDP, and the Sahm Rule.
3. Professional : Includes all 13 indicators, incorporating financial conditions, credit spreads, JOLTS vacancies, and wage growth.
4. Research : Unlocks all indicators plus experimental settings for advanced users.
Key Indicators
Below is a summary of the 13 indicators, their data sources, and economic significance:
- Yield-Curve Spread : Difference between 10-year and 3-month Treasury yields. Negative spreads signal banking sector stress.
- Jobless Claims : Four-week moving average of unemployment claims. Sustained increases indicate rising layoffs.
- Unemployment Change : Three-month change in unemployment rate. Sharp rises often precede recessions.
- Sahm Rule : Triggers when unemployment rises 0.5% above its 12-month low, a reliable recession indicator.
- Consumer Confidence : University of Michigan survey. Declines reflect household pessimism, impacting spending.
- PMI : Purchasing Managers’ Index. Values below 50 indicate manufacturing contraction.
- VIX : CBOE Volatility Index. Elevated levels suggest market anticipation of economic distress.
- S&P 500 Growth : Weekly moving average trend. Declines reduce wealth effects, curbing consumption.
- M2 + GDP Trend : Monitors money supply and real GDP. Simultaneous declines signal credit contraction.
- NFCI : Chicago Fed’s National Financial Conditions Index. Positive values indicate tighter conditions.
- Credit Spreads : Proxy for corporate bond spreads using 10-year vs. 2-year Treasury yields. Widening spreads reflect stress.
- JOLTS Vacancies : Job openings data. Significant drops precede hiring slowdowns.
- Wage Growth : Year-over-year change in average hourly earnings. Late-cycle spikes often signal economic overheating.
Data Processing
- Rate of Change (ROC) : Optionally applied to capture momentum in data series (default: 21-bar period).
- Z-Score Normalization : Standardizes indicators to a common scale (default: 252-bar lookback).
- Smoothing : Applies a short moving average to final signals (default: 5-bar period) to reduce noise.
- Binary Signals : Generated for each indicator (e.g., yield-curve inverted or PMI below 50) based on thresholds or Z-score deviations.
Probability Calculation
1. Each indicator’s binary signal is weighted according to user settings or dynamic performance.
2. Weights are normalized to sum to 100% across active indicators.
3. Leading and coincident signals are aggregated separately (if split mode is enabled) and combined using the specified mix.
4. The probability is adjusted by a regime multiplier, amplifying risk during Stress or Crisis regimes.
5. Optional smoothing ensures stable outputs.
Display and Visualization
- Probability Mode : Plots a continuous 0-100% recession probability with color gradients and confidence bands.
- Binary Mode : Categorizes risk into four levels (Minimal, Watch, Caution, Alert) for simplified dashboards.
- Lead/Coincident Mode : Displays leading and coincident probabilities separately to track signal divergence.
- Ensemble Mode : Averages traditional and split probabilities for a balanced view.
- Regime Background : Color-coded overlays (green for Expansion, orange for Late-Cycle, amber for Stress, red for Crisis).
- Analytics Table : Optional dashboard showing probability, confidence, regime, and top indicator statuses.
Practical Applications
- Asset Allocation : Adjust equity or bond exposures based on sustained probability increases.
- Risk Management : Hedge portfolios with VIX futures or options during regime shifts to Stress or Crisis.
- Sector Rotation : Shift toward defensive sectors when coincident signals rise above 50%.
- Trading Filters : Disable short-term strategies during high-risk regimes.
- Event Timing : Scale positions ahead of high-impact data releases when probability and VIX are elevated.
Configuration Guidelines
- Enable ROC and Z-score for consistent indicator comparison unless raw data is preferred.
- Use dynamic weighting with at least one economic cycle of data for optimal performance.
- Monitor stress composite scores above 80 alongside probabilities above 70 for critical risk signals.
- Adjust adaptation speed (default: 0.1) to 0.2 during Crisis regimes for faster indicator prioritization.
- Combine RWM with complementary tools (e.g., liquidity metrics) for intraday or short-term trading.
Limitations
- Macro indicators lag intraday market moves, making RWM better suited for strategic rather than tactical trading.
- Historical data availability may constrain dynamic weighting on shorter timeframes.
- Model accuracy depends on the quality and timeliness of economic data feeds.
Final Note
The Recession Warning Model provides a disciplined framework for monitoring economic downturn risks. By integrating diverse indicators with transparent weighting and regime-aware adjustments, it empowers users to make informed decisions in portfolio management, risk hedging, or macroeconomic research. Regular review of model outputs alongside market-specific tools ensures its effective application across varying market conditions. Indicator
FEDFUNDS Rate Divergence Oscillator [BackQuant]FEDFUNDS Rate Divergence Oscillator
1. Concept and Rationale
The United States Federal Funds Rate is the anchor around which global dollar liquidity and risk-free yield expectations revolve. When the Fed hikes, borrowing costs rise, liquidity tightens and most risk assets encounter head-winds. When it cuts, liquidity expands, speculative appetite often recovers. Bitcoin, a 24-hour permissionless asset sometimes described as “digital gold with venture-capital-like convexity,” is particularly sensitive to macro-liquidity swings.
The FED Divergence Oscillator quantifies the behavioural gap between short-term monetary policy (proxied by the effective Fed Funds Rate) and Bitcoin’s own percentage price change. By converting each series into identical rate-of-change units, subtracting them, then optionally smoothing the result, the script produces a single bounded-yet-dynamic line that tells you, at a glance, whether Bitcoin is outperforming or underperforming the policy backdrop—and by how much.
2. Data Pipeline
• Fed Funds Rate – Pulled directly from the FRED database via the ticker “FRED:FEDFUNDS,” sampled at daily frequency to synchronise with crypto closes.
• Bitcoin Price – By default the script forces a daily timeframe so that both series share time alignment, although you can disable that and plot the oscillator on intraday charts if you prefer.
• User Source Flexibility – The BTC series is not hard-wired; you can select any exchange-specific symbol or even swap BTC for another crypto or risk asset whose interaction with the Fed rate you wish to study.
3. Math under the Hood
(1) Rate of Change (ROC) – Both the Fed rate and BTC close are converted to percent return over a user-chosen lookback (default 30 bars). This means a cut from 5.25 percent to 5.00 percent feeds in as –4.76 percent, while a climb from 25 000 to 30 000 USD in BTC over the same window converts to +20 percent.
(2) Divergence Construction – The script subtracts the Fed ROC from the BTC ROC. Positive values show BTC appreciating faster than policy is tightening (or falling slower than the rate is cutting); negative values show the opposite.
(3) Optional Smoothing – Macro series are noisy. Toggle “Apply Smoothing” to calm the line with your preferred moving-average flavour: SMA, EMA, DEMA, TEMA, RMA, WMA or Hull. The default EMA-25 removes day-to-day whips while keeping turning points alive.
(4) Dynamic Colour Mapping – Rather than using a single hue, the oscillator line employs a gradient where deep greens represent strong bullish divergence and dark reds flag sharp bearish divergence. This heat-map approach lets you gauge intensity without squinting at numbers.
(5) Threshold Grid – Five horizontal guides create a structured regime map:
• Lower Extreme (–50 pct) and Upper Extreme (+50 pct) identify panic capitulations and euphoria blow-offs.
• Oversold (–20 pct) and Overbought (+20 pct) act as early warning alarms.
• Zero Line demarcates neutral alignment.
4. Chart Furniture and User Interface
• Oscillator fill with a secondary DEMA-30 “shader” offers depth perception: fat ribbons often precede high-volatility macro shifts.
• Optional bar-colouring paints candles green when the oscillator is above zero and red below, handy for visual correlation.
• Background tints when the line breaches extreme zones, making macro inflection weeks pop out in the replay bar.
• Everything—line width, thresholds, colours—can be customised so the indicator blends into any template.
5. Interpretation Guide
Macro Liquidity Pulse
• When the oscillator spends weeks above +20 while the Fed is still raising rates, Bitcoin is signalling liquidity tolerance or an anticipatory pivot view. That condition often marks the embryonic phase of major bull cycles (e.g., March 2020 rebound).
• Sustained prints below –20 while the Fed is already dovish indicate risk aversion or idiosyncratic crypto stress—think exchange scandals or broad flight to safety.
Regime Transition Signals
• Bullish cross through zero after a long sub-zero stint shows Bitcoin regaining upward escape velocity versus policy.
• Bearish cross under zero during a hiking cycle tells you monetary tightening has finally started to bite.
Momentum Exhaustion and Mean-Reversion
• Touches of +50 (or –50) come rarely; they are statistically stretched events. Fade strategies either taking profits or hedging have historically enjoyed positive expectancy.
• Inside-bar candlestick patterns or lower-timeframe bearish engulfings simultaneously with an extreme overbought print make high-probability short scalp setups, especially near weekly resistance. The same logic mirrors for oversold.
Pair Trading / Relative Value
• Combine the oscillator with spreads like BTC versus Nasdaq 100. When both the FED Divergence oscillator and the BTC–NDQ relative-strength line roll south together, the cross-asset confirmation amplifies conviction in a mean-reversion short.
• Swap BTC for miners, altcoins or high-beta equities to test who is the divergence leader.
Event-Driven Tactics
• FOMC days: plot the oscillator on an hourly chart (disable ‘Force Daily TF’). Watch for micro-structural spikes that resolve in the first hour after the statement; rapid flips across zero can front-run post-FOMC swings.
• CPI and NFP prints: extremes reached into the release often mean positioning is one-sided. A reversion toward neutral in the first 24 hours is common.
6. Alerts Suite
Pre-bundled conditions let you automate workflows:
• Bullish / Bearish zero crosses – queue spot or futures entries.
• Standard OB / OS – notify for first contact with actionable zones.
• Extreme OB / OS – prime time to review hedges, take profits or build contrarian swing positions.
7. Parameter Playground
• Shorten ROC Lookback to 14 for tactical traders; lengthen to 90 for macro investors.
• Raise extreme thresholds (for example ±80) when plotting on altcoins that exhibit higher volatility than BTC.
• Try HMA smoothing for responsive yet smooth curves on intraday charts.
• Colour-blind users can easily swap bull and bear palette selections for preferred contrasts.
8. Limitations and Best Practices
• The Fed Funds series is step-wise; it only changes on meeting days. Rapid BTC oscillations in between may dominate the calculation. Keep that perspective when interpreting very high-frequency signals.
• Divergence does not equal causation. Crypto-native catalysts (ETF approvals, hack headlines) can overwhelm macro links temporarily.
• Use in conjunction with classical confirmation tools—order-flow footprints, market-profile ledges, or simple price action to avoid “pure-indicator” traps.
9. Final Thoughts
The FEDFUNDS Rate Divergence Oscillator distills an entire macro narrative monetary policy versus risk sentiment into a single colourful heartbeat. It will not magically predict every pivot, yet it excels at framing market context, spotting stretches and timing regime changes. Treat it as a strategic compass rather than a tactical sniper scope, combine it with sound risk management and multi-factor confirmation, and you will possess a robust edge anchored in the world’s most influential interest-rate benchmark.
Trade consciously, stay adaptive, and let the policy-price tension guide your roadmap. Indicator
My-Indicator - Global Liquidity & Money Supply M2 + Time OffsetThis script is designed to visualize a global liquidity and money supply index by combining data from various regions and, optionally, central bank activity. Visualizing this data on a chart allows you to see how central banks are intervening in the financial system and how the total amount of money in the economy is changing. Let’s take a look at how it works:
Central Bank Liquidity
Shows the actions of central banks (e.g. FED, ECB) providing short-term cash to commercial banks. If you see spikes or a steady increase in these indicators, it may suggest that liquidity is being increased through intervention, which often stimulates the market.
Money Supply
M2 money supply is a monetary aggregate that includes M1 (cash and current deposits) plus savings deposits, small term deposits, and other financial instruments that, while not as liquid as M1, can be quickly converted into cash. As a result, M2 provides a broader picture of the available money in the economy, which is useful for analyzing market conditions and potential economic trends.
How does it help investors?
It allows you to quickly see when central banks are injecting additional liquidity, which could signal higher prices.
It allows you to see trends in the money supply, which informs potential changes in inflation and the economic cycle.
Combining both sets of data provides a more complete picture – both in the short and long term – which makes it easier to predict upcoming price movements.
This allows investors to better respond to changes in central bank policy and broader monetary trends, increasing their chances of making better investment decisions.
Data Collection
The script retrieves money supply data for key markets such as the USA (USM2), Europe (EUM2), China (CNM2), and Japan (JPM2). It also offers additional money supply series for other markets—like Canada (CAM2), Great Britain (GBM2), Russia (RUM2), Brazil (BRM2), Mexico (MXM2), and New Zealand (NZM2)—with extra options (e.g., Australia, India, Korea, Indonesia, Malaysia, Sweden) disabled by default. Moreover, you can enable data for central bank liquidity (such as FED, RRP, TGA, ECB, PBC, BOJ, and other central banks), which are also disabled by default.
Index Calculation
The indicator calculates the index by adding together all the enabled money supply series (and the central bank data if activated) and then scales the sum by dividing it by 1,000,000,000,000 (one trillion). This scaling makes the resulting values more manageable and easier to read on the chart.
Time Offset Feature
A key feature of the script is the time offset. With the input parameter "Time Offset (days)", the user can shift the plotted index line by a specific number of days. The script converts the given offset in days into a number of bars based on the current chart's timeframe. This allows you to adjust for the delay between liquidity changes and their effect on asset prices.
Overall, the indicator plots a line on your chart representing the global liquidity and money supply index, allowing you to visually monitor trends and better understand how liquidity and central bank actions may influence market movements.
What makes this script different from others?
Every supported market—both major regions (USA, Eurozone, China, Japan, etc.) and additional ones—is available. You can toggle each series on or off, so you can view only Money Supply data, only Central Bank Liquidity, or any custom combination.
Separated Data Groups. Inputs are organized into clear groups (“Money Supply”, “Other Money Supply”, “Central Bank Liquidity”), making it easy to focus on just the data you need without clutter.
True Day‑Based Offset. This script converts your chosen “Time Offset (days)” into actual days regardless of timeframe. Whether you’re on a 5‑minute or daily chart, the index is always shifted by exactly the number of days you specify.
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Interest Rate Trading (Manually Added Rate Decisions) [TANHEF]Interest Rate Trading: How Interest Rates Can Guide Your Next Move.
How were interest rate decisions added?
All interest rate decision dates were manually retrieved from the 'Record of Policy Actions' and 'Minutes of Actions' on the Federal Reserve's website due to inconsistent dates from other sources. These were manually added as Pine Script currently only identifies rate changes, not pauses.
█ Simple Explanation:
This script is designed for analyzing and backtesting trading strategies based on U.S. interest rate decisions which occur during Federal Open Market Committee (FOMC) meetings, to make trading decisions. No trading strategy is perfect, and it's important to understand that expectations won't always play out. The script leverages historical interest rate changes, including increases, decreases, and pauses, across multiple economic time periods from 1971 to the present. The tool integrates two key data sources for interest rates—USINTR and FEDFUNDS—to support decision-making around rate-based trades. The focus is on identifying opportunities and tracking trades driven by interest rate movements.
█ Interest Rate Decision Sources:
As noted above, each decision date has been manually added from the 'Record of Policy Actions' and 'Minutes of Actions' documents on the Federal Reserve's website. This includes +50 years of more than 600 rate decisions.
█ Interest Rate Data Sources:
USINTR: Reflects broader U.S. interest rate trends, including Treasury yields and various benchmarks. This is the preferred option as it corresponds well to the rate decision dates.
FEDFUNDS: Tracks the Federal Funds Rate, which is a more specific rate targeted by the Federal Reserve. This does not change on the exact same days as the rate decisions that occur at FOMC meetings.
█ Trade Criteria:
A variety of trading conditions are predefined to suit different trading strategies. These conditions include:
Increase/Decrease: Standard rate increases or decreases.
Double/Triple Increase/Decrease: A series of consecutive changes.
Aggressive Increase/Decrease: Rate changes that exceed recent movements.
Pause: Identification of no changes (pauses) between rate decisions, including double or triple pauses.
Complex Patterns: Combinations of pauses, increases, or decreases, such as "Pause after Increase" or "Pause or Increase."
█ Trade Execution and Exit:
The script allows automated trade execution based on selected criteria:
Auto-Entry: Option to enter trades automatically at the first valid period.
Max Trade Duration: Optional exit of trades after a specified number of bars (candles).
Pause Days: Minimum duration (in days) to validate rate pauses as entry conditions. This is especially useful for earlier periods (prior to the 2000s), where rate decisions often seemed random compared to the consistency we see today.
█ Visualization:
Several visual elements enhance the backtesting experience:
Time Period Highlighting: Economic time periods are visually segmented on the chart, each with a unique color. These periods include historical phases such as "Stagflation (1971-1982)" and "Post-Pandemic Recovery (2021-Present)".
Trade and Holding Results: Displays the profit and loss of trades and holding results directly on the chart.
Interest Rate Plot: Plots the interest rate movements on the chart, allowing for real-time tracking of rate changes.
Trade Status: Highlights active long or short positions on the chart.
█ Statistics and Criteria Display:
Stats Table: Summarizes trade results, including wins, losses, and draw percentages for both long and short trades.
Criteria Table: Lists the selected entry and exit criteria for both long and short positions.
█ Economic Time Periods:
The script organizes interest rate decisions into well-defined economic periods, allowing traders to backtest strategies specific to historical contexts like:
(1971-1982) Stagflation
(1983-1990) Reaganomics and Deregulation
(1991-1994) Early 1990s (Recession and Recovery)
(1995-2001) Dot-Com Bubble
(2001-2006) Housing Boom
(2007-2009) Global Financial Crisis
(2009-2015) Great Recession Recovery
(2015-2019) Normalization Period
(2019-2021) COVID-19 Pandemic
(2021-Present) Post-Pandemic Recovery
█ User-Configurable Inputs:
Rate Source Selection: Choose between USINTR or FEDFUNDS as the primary interest rate source.
Trade Criteria Customization: Users can select the criteria for long and short trades, specifying when to enter or exit based on changes in the interest rate.
Time Period: Select the time period that you want to isolate testing a strategy with.
Auto-Entry and Pause Settings: Options to automatically enter trades and specify the number of days to confirm a rate pause.
Max Trade Duration: Limits how long trades can remain open, defined by the number of bars.
█ Trade Logic:
The script manages entries and exits for both long and short trades. It calculates the profit or loss percentage based on the entry and exit prices. The script tracks ongoing trades, dynamically updating the profit or loss as price changes.
█ Examples:
One of the most popular opinions is that when rate starts begin you should sell, then buy back in when rate cuts stop dropping. However, this can be easily proven to be a difficult task. Predicting the end of a rate cut is very difficult to do with the the exception that assumes rates will not fall below 0.25%.
2001-2009
Trade Result: +29.85%
Holding Result: -27.74%
1971-2024
Trade Result: +533%
Holding Result: +5901%
█ Backtest and Real-Time Use:
This backtester is useful for historical analysis and real-time trading. By setting up various entry and exit rules tied to interest rate movements, traders can test and refine strategies based on real historical data and rate decision trends.
This powerful tool allows traders to customize strategies, backtest them through different economic periods, and get visual feedback on their trading performance, helping to make more informed decisions based on interest rate dynamics. The main goal of this indicator is to challenge the belief that future events must mirror the 2001 and 2007 rate cuts. If everyone expects something to happen, it usually doesn’t. Indicator
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US CPIIntroducing "US CPI" Indicator
The "US CPI" indicator, based on the Consumer Price Index (CPI) of the United States, is a valuable tool for analyzing inflation trends in the U.S. economy. This indicator is derived from official data provided by the U.S. Bureau of Labor Statistics (BLS) and is widely recognized as a key measure of inflationary pressures.
What is CPI?
The Consumer Price Index (CPI) is a measure that examines the average change in prices paid by consumers for a basket of goods and services over time. It is an essential economic indicator used to gauge inflationary trends and assess changes in the cost of living.
How is "US CPI" Calculated?
The "US CPI" indicator in this script retrieves CPI data from the Federal Reserve Economic Data (FRED) using the FRED:CPIAUCSL symbol. It calculates the rate of change in CPI over a specified period (typically 12 months) and applies technical analysis tools like moving averages (SMA and EMA) for trend analysis and smoothing.
Why Use "US CPI" Indicator?
1. Inflation Analysis: Monitoring CPI trends provides insights into the rate of inflation, which is crucial for understanding the overall economic health and potential impact on monetary policy.
2. Policy Implications: Changes in CPI influence decisions by policymakers, central banks, and investors regarding interest rates, fiscal policies, and asset allocation.
3. Market Sentiment: CPI data often impacts market sentiment, influencing trading strategies across various asset classes including currencies, bonds, and equities.
Key Features:
1. Customizable Smoothing: The indicator allows users to apply exponential moving average (EMA) smoothing to CPI data for clearer trend identification.
2. Visual Representation: The plotted line visually represents the inflation rate based on CPI data, helping traders and analysts assess inflationary pressures at a glance.
Sources and Data Integrity:
The CPI data used in this indicator is sourced directly from FRED, ensuring reliability and accuracy. The script incorporates robust security protocols to handle data requests and maintain data integrity in a trading environment.
In conclusion, the "US CPI" indicator offers a comprehensive view of inflation dynamics in the U.S. economy, providing traders, economists, and policymakers with valuable insights for informed decision-making and risk management.
Disclaimer: This indicator and accompanying analysis are for informational purposes only and should not be construed as financial advice. Users are encouraged to conduct their own research and consult with professional advisors before making investment decisions. Indicator
Blockunity US Market Liquidity (BML)Get a clear view of US market liquidity and monitor its status at a glance to anticipate movements on risky assets.
The Idea
The BML aggregates and analyzes total USD market liquidity in trillions of dollars. It is used to monitor the liquidity of the USD market. When liquidity is good, all is well. If liquidity is low, the US will maneuver and sell treasury bills (debt) to replenish its treasury, which can lead to bearish pressure on markets, particularly those considered risky, such as Bitcoin.
How to Use
The indicator is very easy to use, there's nothing special about it. This tool is mainly intended to be used as fundamental information, and not for active trading.
Elements
The US Market Liquidity has several distinct components:
FED Balance Sheet
The Fed credits member banks’ Fed accounts with money, and in return, banks sell the Fed US Treasuries and/or US Mortgage-Backed Securities. This is how the Fed “prints” money to juice the financial system.
US Treasury General Account
The US Treasury General Account (TGA) balances with the NY Fed. When it decreases, it means the US Treasury is injecting money into the economy directly and creating activity. When it increases, it means the US Treasury is saving money and not stimulating economic activity. The TGA also increases when the Treasury sells bonds. This action removes liquidity from the market as buyers must pay for their bonds with dollars.
Overnight Reverse Repurchase Agreements
A reverse repurchase agreement (known as Reverse Repo or RRP) is a transaction in which the New York Fed under the authorization and direction of the Federal Open Market Committee sells a security to an eligible counterparty with an agreement to repurchase that same security at a specified price at a specific time in the future.
Earnings Remittances Due to the Treasury
The Federal Reserve Banks remit residual net earnings to the US Treasury after providing for the costs of operations, payment of dividends, and the amount necessary to maintain each Federal Reserve Bank’s allotted surplus cap. Positive amounts represent the estimated weekly remittances due to the US Treasury. Negative amounts represent the cumulative deferred asset position, which is incurred during a period when earnings are not sufficient to provide for the cost of operations, payment of dividends, and maintaining surplus.
Settings
Several parameters can be defined in the indicator configuration. You can:
Choose the smoothing and timeframe to be used in the plot.
Set the EMA lookback period and display it or not. This affects the color of the main plot.
Set the period to be taken into account when calculating the variation rate in the table.
Select the data to be taken into account in the calculation.
Activate or not the barcolor.
Lastly, you can modify all table parameters.
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Market Health MonitorThe Market Health Monitor is a comprehensive tool designed to assess and visualize the economic health of a market, providing traders with vital insights into both current and future market conditions. This script integrates a range of critical economic indicators, including unemployment rates, inflation, Federal Reserve funds rates, consumer confidence, and housing market indices, to form a robust understanding of the overall economic landscape.
Drawing on a variety of data sources, the Market Health Monitor employs moving averages over periods of 3, 12, 36, and 120 months, corresponding to quarterly, annual, three-year, and ten-year economic cycles. This selection of timeframes is specifically chosen to capture the nuances of economic movements across different phases, providing a balanced view that is sensitive to both immediate changes and long-term trends.
Key Features:
Economic Indicators Integration: The script synthesizes crucial economic data such as unemployment rates, inflation levels, and housing market trends, offering a multi-dimensional perspective on market health.
Adaptability to Market Conditions: The inclusion of both short-term and long-term moving averages allows the Market Health Monitor to adapt to varying market conditions, making it a versatile tool for different trading strategies.
Oscillator Thresholds for Recession and Growth: The script sets specific thresholds that, when crossed, indicate either potential economic downturns (recessions) or periods of growth (expansions), allowing traders to anticipate and react to changing market conditions proactively.
Color-Coded Visualization: The Market Health Monitor employs a color-coding system for ease of interpretation:
-- A red background signals unhealthy economic conditions, cautioning traders about potential risks.
-- A bright red background indicates a confirmed recession, as declared by the NBER, signaling a critical time for traders to reassess risk exposure.
-- A green background suggests a healthy market with expected economic expansion, pointing towards growth-oriented opportunities.
Comprehensive Market Analysis: By combining various economic indicators, the script offers a holistic view of the market, enabling traders to make well-informed decisions based on a thorough understanding of the economic environment.
Key Criteria and Parameters:
Economic Indicators:
Labor Market: The unemployment rate is a critical indicator of economic health.
High or rising unemployment indicates reduced consumer spending and economic stress.
Inflation: Key for understanding monetary policy and consumer purchasing power.
Persistent high inflation can lead to economic instability, while deflation can signal weak
demand.
Monetary Policy: Reflected by the Federal Reserve funds rate.
Changes in the rate can influence economic activity, borrowing costs, and investor
sentiment.
Consumer Confidence: A predictor of consumer spending and economic activity.
Reflects the public’s perception of the economy
Housing Market: The housing market often leads the economy into recession and recovery.
Weakness here can signal broader economic problems.
Market Data:
Stock Market Indices: Reflect overall investor sentiment and economic
expectations. No gains in a stock market could potentially indicate that economy is
slowing down.
Credit Conditions: Indicated by the tightness of bank lending, signaling risk
perception.
Commodity Insight:
Crude Oil Prices: A proxy for global economic activity.
Indicator Timeframe:
A default monthly timeframe is chosen to align with the release frequency of many economic indicators, offering a balanced view between timely data and avoiding too much noise from short-term fluctuations. Surely, it can be chosen by trader / analyst.
The Market Health Monitor is more than just a trading tool—it's a comprehensive economic guide. It's designed for traders who value an in-depth understanding of the economic climate. By offering insights into both current conditions and future trends, it encourages traders to navigate the markets with confidence, whether through turbulent times or in periods of growth. This tool doesn't just help you follow the market—it helps you understand it.
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