Rather than using one pair of treasuries, this indicator weighs them all in an overlapping fashion, to produce a composite yield curve that indicates the level of stress in the bond market.
Draft release: This indicator shows the comparative returns from US bonds vs BTC.
I was inspired by this Twitter thread: twitter.com
If you compare the price action of Bitcoin against bond returns over the last year, there's an extraordinary degree of correlation. This may give insights into what's coming next for BTC , but at some point the relationship will...
Draft release: This indicator shows the US 10year bond returns.
I was inspired by this Twitter thread: twitter.com
If you compare the price action of Bitcoin against bond returns over the last year, there's an extraordinary degree of correlation. This may give insights into what's coming next for BTC, but at some point the relationship will inevitably break...
My intention was to create 1 script for the Commitment of Traders report but I wasn't not aware there is a limit on how many instrument calls can be made in PineScript so I had no choice but to divide the script into instrument categories. So far I have created 4 of them: Forex, Indexes & Metals/ Commodities & Treasuries which is the one presented here. If you are...
Rather than picking a benchmark pair of treasuries to express a yield curve, this indicator weighs all (excluding the new 20 Year) durations, each against the next, and weights that against the FEDFUNDS rate.
Deutsch:
Die Zinsstrukturkurve ist ein wichtiges Prognosetool für Finanzakteure und dient unter anderem als Konjunkturindikator.
Es handelt sich hierbei um eine grafische Darstellung der Zinssätze von Anleihen mit unterschiedlicher Laufzeit.
3 Ansichtsmöglichkeiten sind verfügbar:
Linien Modus
Histogramm Modus
Verlaufs Modus
Sobald Teile der...
Many know of the VIX for equity trading. Yet, many are unaware that there is the same kind of volatility measure for trading bonds, called the MOVE Index.
"The Merrill Lynch Option Volatility Estimate (MOVE) Index is a yield curve weighted index of the normalized implied volatility on 1-month Treasury options which are weighted on the 2, 5, 10, and 30 year...
This script combines two simple concepts, stop running and short term momentum, into a simple visual signal that can be applied to any market and any timeframe with some adjustment. It looks for price to violate a prior extreme within a certain lookback window, followed by price triggering a momentum filter that helps put the proverbial 'wind at your back' for...
This strategy measures and creates a signal when an asset is moving out of a correlation with high yield bonds or the CBOE VIX into an inverse correlation, as well as when an asset is losing correlation with a top corporate bonds ETF. When this signal is triggered, the simulation has the portfolio asset go long.
Additionally, exits are based on a 2% stop loss...
Identifies when the US Treasury Yield Curve inverts (2 and 10 year bond rates).
When they ‘invert’ long-term bonds have a lower interest rate than short-term bonds. In other words, the bond market is pricing in a significant drop in future interest rates (which might be caused by the US Fed fighting off a recession in the future).
In the last 50 years, every...
This script displays relative data changes occurring in the adjustable period and/or adaptive automatic period in MSCI Emerging Countries against U.S Dollar.
Concept and design were inspired by the data terminals used by commercial traders.
Period selection can be set in the menu.
This script uses the adaptive period algorithm used by Autonomous LSTM and...
This script displays relative data changes occurring in the adjustable period and/or adaptive automatic period in G10 Developed Countries against U.S Dollar.
Concept and design were inspired by the data terminals used by commercial traders.
Period selection can be set in the menu.
This script uses the adaptive period algorithm used by Autonomous LSTM and...
Stability Max Overload was created in another script I have been working on found below.
I have broken the code down to only display the Stability features.
What this is:
I was trying to find a way that could in some form display the Stability or Instability of the US Treasuries Bond Market. To try and help me do that, I came up with 3...
Welcome to Yield Curve Version 2.55.2
US10Y-US02Y
* Please read description to help understand the information displayed.
* NOTE - This script requires 1 real time update before accurate information is displayed, therefore WILL NOT display the correct information if the Bond Market is Closed over the Weekend.
* NOTE - When values are changed Via Input...
Welcome to Yield Curve Version 2.41
* Please read description to help understand the information displayed.
* NOTE - This script requires 1 real time update before accurate information is displayed, therefore WILL NOT display the correct information if the Bond Market is Closed over the Weekend.
* NOTE - When values are changed Via Input setting they do take...
