Celestial-Eye

CE - 42MACRO Fixed Income and Macro

Celestial-Eye 已更新   
This is Part 2 of 2 from the 42MACRO Recreation Series
However, there will be a bonus Indicator coming soon!

The CE - 42MACRO Fixed Income and Macro Table is a next level Macroeconomic and market analysis indicator.
It aims to provide a probabilistic insight into the market realized GRID Macro regimes,
track a multiplex of important Assets, Indices, Bonds and ETF's to derive extra market insights by showing the most important aggregates and their performance over multiple timeframes... and what that might mean for the whole market direction.
For traders and especially investors, the unique functionalities will be of high value.

Quick guide on how to use it:
https://docs.google.com/document/d/1b-ZVyQghSqDETX_GF_-OSIBCa4e0CBGqENbdfId9I-s/edit?usp=sharing

WARNING
By the nature of the macro regimes, the outcomes are more accurate over longer Chart Timeframes (Week to Months).
However, it is also a valuable tool to form an advanced,
market realized, short to medium term bias.

NOTE
This Indicator is intended to be used alongside the 1nd part "CE - 42MACRO Equity Factor"
for a more wholistic approach and higher accuracy.


Methodology:
The Equity Factor Table tracks specifically chosen Assets to identify their performance and add the combined performances together to visualize 42MACRO's GRID Equity Model.
For this it uses the below Assets:
  • Convertibles ( CWB )
  • Leveraged Loans ( BKLN )
  • High Yield Credit ( HYG )
  • Preferreds ( PFF )
  • Emerging Market US$ Bonds ( EMB )
  • Long Bond ( TLT )
  • 5-10yr Treasurys ( IEF )
  • 5-10yr TIPS ( TIP )
  • 0-5yr TIPS ( STIP )
  • EM Local Currency Bonds ( EMLC )
  • BDCs ( BIZD )
  • Barclays Agg ( AGG )
  • Investment Grade Credit ( LQD )
  • MBS ( MBB )
  • 1-3yr Treasurys ( SHY )

  • Bitcoin ( BITO )
  • Industrial Metals ( DBB )
  • Commodities ( DBC )
  • Gold ( GLD )
  • Equity Volatility ( VIXM )
  • Interest Rate Volatility ( PFIX )
  • Energy ( USO )
  • Precious Metals ( DBP )
  • Agriculture ( DBA )
  • US Dollar ( UUP )
  • Inverse US Dollar ( UDN )
    Functionalities:

    Fixed Income and Macro Table
  • Shows relative market Asset performance
  • Comes with different Calculation options like RoC,
    Sharpe ratio, Sortino ratio, Omega ratio and Normalization
  • Allows for advanced market (health) performance
  • Provides the calculated, realized GRID market regimes
  • Informs about "Risk ON" and "Risk OFF" market states

    Visuals - for your best experience only use one (+ BarColoring) at a time:
    You can visualize all important metrics:
    - GRID regimes of the currently chosen calculation type
    - Risk On/Risk Off with background colouring and additional +1/-1 values
    - a smoother GRID model
    - a smoother Risk On/ Risk Off metric
    - Barcoloring for enabled metric of the above
    If you have more suggestions, please write me


    Fixed Income and Macro:
    The visualisation of the relative performance of the different assets provides valuable information about the current market environment and the actual market performance.
    It furthermore makes it possible to obtain a deeper understanding of how the interconnected market works and makes it simple to identify the actual market direction,
    thus also providing all the information to derive overall market health, market strength or weakness.

    Utility:
    The Fixed Income and Macro Table is divided in 4 Columns which are the GRID regimes:

    Economic Growth:
    • Goldilocks
    • Reflation

    Economic Contraction:
    • Inflation
    • Deflation

    Top 5 Fixed Income/ Macro Factors:
    Are the values green for a specific Column?
    If so then the market reflects the corresponding GRID behavior.

    Bottom 5 Fixed Income/ Macro Factors:
    Are the values red for a specific Column?
    If so then the market reflects the corresponding GRID behavior.

    So if we have Goldilocks as current regime we would see green values in the Top 5 Goldilocks Cells and red values in the Bottom 5 Goldilocks Cells.
    You will find that Reflation will look similar, as it is also a sign of Economic Growth.
    Same is the case for the two Contraction regimes.

    ******
    This Indicator again is based to a majority on 42MACRO's models.
    I only brought them into TV and added things on top of it.

    If you have questions or need a more in-depth guide DM me.

    GM

版本注释:
slight optimization
版本注释:
Added another useful function:

The ability to calculate the performance metrics relative to each other/ relative to the average performance of the other Assets of the same class to decide on the significance of that Assets performance.

Gives a more accurate representation of the actual market realized performance and regimes.
开源脚本

本着真正的TradingView精神,该脚本的作者将其开源发布,以便交易者可以理解和验证它。为作者喝彩!您可以免费使用它,但在出版物中重复使用此代码受网站规则的约束。 您可以收藏它以在图表上使用。

免责声明

这些信息和出版物并不意味着也不构成TradingView提供或认可的金融、投资、交易或其它类型的建议或背书。请在使用条款阅读更多信息。

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