Statistics for assisting with intraday bond trading, using five minute periods and one hour ranges. There are two tables, a volatility table and a correlation table. The correlation table shows the correlation of five minute returns (absolute) between the four different bond contracts that trade on the CME. The volatility table shows for each contract: - The...
I've updated my US Treasury All Yield Curve indicator to use the new FRED:IORB (interest on reserve balances), instead of the FRED:FEDFUNDS which is only updated monthly. The new IORB doesn't provide very long lookback for data, so I'm publishing this as a new version and not an update, making it possible for users to choose which version best suits their needs.
Bond Yeild Curve A bond yeild curve is a line that plot the interest rate of bonds of each maturity dates. The slope of the curve give the future of economy cycle. if the slope could be normal (positive), flat or even inverted. This indicator aquired data of bond yeild provided by TradingView. How to use it. Select the country of the bond / another...
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...
Gov Bonds Real Rates 10/05Y, FED RATEs, CPI。美国经济数据10年债和5年债实际收益率,美国目标利率和实际利率,CPI消费者物价指数
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...
Interest rate spread between 10yr and 3yr Korean Gov. Bonds
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...
Basic utility script to keep track of key dates & expiries.
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...