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nj_guy72
16 Th04 2020 20:28

Yield Curve Percent Inverted 

TVC:DJI1W
Dow Jones Industrial Average IndexTVC

Mô tả

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Yield Curve Percent Inverted Indicator

This indicator will check all fifty-five Treasury Bond Yield spreads - every combination from
1-month up to 30-year - and then graph the percentage of spreads which are inverted.

Yield curve inversion occurs when the longer-duration bond pays a lower yield than the shorter-
duration bond. Longer-dated bonds normally pay a higher yield because the investor's money is
committed for a longer period of time. Inversion occurs when investors have little confidence
in the near-term economy and demand higher rates for short-term investments.

Historically, a few months ahead of a recession this percent-inverted value will spike up into
the 60%-70% range - you can see this behavior in 1989, 2000, 2007, and 2019. (Note that there
is no data available on Trading View prior to 1987.)
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Phát hành các Ghi chú

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Yield Curve Percent Inverted Indicator

This indicator checks all seventy-eight Treasury Bond Yield spreads - every combination from
1-month up to 30-year - and then graph the percentage of spreads which are inverted.

Yield curve inversion occurs when the longer-duration bond pays a lower yield than the shorter-
duration bond. Longer-dated bonds normally pay a higher yield because the investor's money is
committed for a longer period of time. Inversion occurs when investors have little confidence
in the near-term economy and demand higher rates for short-term investments.

Historically, a few months ahead of a recession this percent-inverted value will spike up into
the 60%-70% range - you can see this behavior throughout the 1960's and 1970's, as well as in
1989, 2000, 2007, and 2019/2020. As of 2023-2024 the Yield Curve has been very inverted for
quite a while but no recession yet.

Jan 2024 update
- Convert to PineScript v5
- Include 4-month and 20-year bonds
- Replace tedious expressions with array and nested for loop
Trend Analysis
Bình luận
PineCoders
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PineCoders
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This publication will be featured in our "Best Scripts of The Month" selection. Thank you for your valuable contribution to the TradingView community, and congrats!
nj_guy72
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@PineCoders, thanks! It's an honor to be included, and I hope this script is helpful to my fellow traders.
danalec
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added
us240 = security("TVC:US20Y", timeframe.period, close)
danalec
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count = (us360 < us240 ? 1 : 0) + (us360 < us120 ? 1 : 0) + (us360 < us084 ? 1 : 0) + (us360 < us060 ? 1 : 0) + (us360 < us036 ? 1 : 0) + (us360 < us024 ? 1 : 0) + (us360 < us012 ? 1 : 0) + (us360 < us006 ? 1 : 0) + (us360 < us003 ? 1 : 0) + (us360 < us002 ? 1 : 0) + (us360 < us001 ? 1 : 0) +
(us240 < us120 ? 1 : 0) + (us240 < us084 ? 1 : 0) + (us240 < us060 ? 1 : 0) + (us240 < us036 ? 1 : 0) + (us240 < us024 ? 1 : 0) + (us240 < us012 ? 1 : 0) + (us240 < us006 ? 1 : 0) + (us240 < us003 ? 1 : 0) + (us240 < us002 ? 1 : 0) + (us240 < us001 ? 1 : 0) +
(us120 < us084 ? 1 : 0) + (us120 < us060 ? 1 : 0) + (us120 < us036 ? 1 : 0) + (us120 < us024 ? 1 : 0) + (us120 < us012 ? 1 : 0) + (us120 < us006 ? 1 : 0) + (us120 < us003 ? 1 : 0) + (us120 < us002 ? 1 : 0) + (us120 < us001 ? 1 : 0) +
(us084 < us060 ? 1 : 0) + (us084 < us036 ? 1 : 0) + (us084 < us024 ? 1 : 0) + (us084 < us012 ? 1 : 0) + (us084 < us006 ? 1 : 0) + (us084 < us003 ? 1 : 0) + (us084 < us002 ? 1 : 0) + (us084 < us001 ? 1 : 0) +
(us060 < us036 ? 1 : 0) + (us060 < us024 ? 1 : 0) + (us060 < us012 ? 1 : 0) + (us060 < us006 ? 1 : 0) + (us060 < us003 ? 1 : 0) + (us060 < us002 ? 1 : 0) + (us060 < us001 ? 1 : 0) +
(us036 < us024 ? 1 : 0) + (us036 < us012 ? 1 : 0) + (us036 < us006 ? 1 : 0) + (us036 < us003 ? 1 : 0) + (us036 < us002 ? 1 : 0) + (us036 < us001 ? 1 : 0) +
(us024 < us012 ? 1 : 0) + (us024 < us006 ? 1 : 0) + (us024 < us003 ? 1 : 0) + (us024 < us002 ? 1 : 0) + (us024 < us001 ? 1 : 0) +
(us012 < us006 ? 1 : 0) + (us012 < us003 ? 1 : 0) + (us012 < us002 ? 1 : 0) + (us012 < us001 ? 1 : 0) +
(us006 < us003 ? 1 : 0) + (us006 < us002 ? 1 : 0) + (us006 < us001 ? 1 : 0) +
(us003 < us002 ? 1 : 0) + (us003 < us001 ? 1 : 0) +
(us002 < us001 ? 1 : 0)
danalec
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total = (na(us360) or na(us240) ? 0 : 1) + (na(us360) or na(us120) ? 0 : 1) + (na(us360) or na(us084) ? 0 : 1) + (na(us360) or na(us060) ? 0 : 1) + (na(us360) or na(us036) ? 0 : 1) + (na(us360) or na(us024) ? 0 : 1) + (na(us360) or na(us012) ? 0 : 1) + (na(us360) or na(us006) ? 0 : 1) + (na(us360) or na(us003) ? 0 : 1) + (na(us360) or na(us002) ? 0 : 1) + (na(us360) or na(us001) ? 0 : 1) +
(na(us240) or na(us120) ? 0 : 1) + (na(us240) or na(us084) ? 0 : 1) + (na(us240) or na(us060) ? 0 : 1) + (na(us240) or na(us036) ? 0 : 1) + (na(us240) or na(us024) ? 0 : 1) + (na(us240) or na(us012) ? 0 : 1) + (na(us240) or na(us006) ? 0 : 1) + (na(us240) or na(us003) ? 0 : 1) + (na(us240) or na(us002) ? 0 : 1) + (na(us240) or na(us001) ? 0 : 1) +
(na(us120) or na(us084) ? 0 : 1) + (na(us120) or na(us060) ? 0 : 1) + (na(us120) or na(us036) ? 0 : 1) + (na(us120) or na(us024) ? 0 : 1) + (na(us120) or na(us012) ? 0 : 1) + (na(us120) or na(us006) ? 0 : 1) + (na(us120) or na(us003) ? 0 : 1) + (na(us120) or na(us002) ? 0 : 1) + (na(us120) or na(us001) ? 0 : 1) +
(na(us084) or na(us060) ? 0 : 1) + (na(us084) or na(us036) ? 0 : 1) + (na(us084) or na(us024) ? 0 : 1) + (na(us084) or na(us012) ? 0 : 1) + (na(us084) or na(us006) ? 0 : 1) + (na(us084) or na(us003) ? 0 : 1) + (na(us084) or na(us002) ? 0 : 1) + (na(us084) or na(us001) ? 0 : 1) +
(na(us060) or na(us036) ? 0 : 1) + (na(us060) or na(us024) ? 0 : 1) + (na(us060) or na(us012) ? 0 : 1) + (na(us060) or na(us006) ? 0 : 1) + (na(us060) or na(us003) ? 0 : 1) + (na(us060) or na(us002) ? 0 : 1) + (na(us060) or na(us001) ? 0 : 1) +
(na(us036) or na(us024) ? 0 : 1) + (na(us036) or na(us012) ? 0 : 1) + (na(us036) or na(us006) ? 0 : 1) + (na(us036) or na(us003) ? 0 : 1) + (na(us036) or na(us002) ? 0 : 1) + (na(us036) or na(us001) ? 0 : 1) +
(na(us024) or na(us012) ? 0 : 1) + (na(us024) or na(us006) ? 0 : 1) + (na(us024) or na(us003) ? 0 : 1) + (na(us024) or na(us002) ? 0 : 1) + (na(us024) or na(us001) ? 0 : 1) +
(na(us012) or na(us006) ? 0 : 1) + (na(us012) or na(us003) ? 0 : 1) + (na(us012) or na(us002) ? 0 : 1) + (na(us012) or na(us001) ? 0 : 1) +
(na(us006) or na(us003) ? 0 : 1) + (na(us006) or na(us002) ? 0 : 1) + (na(us006) or na(us001) ? 0 : 1) +
(na(us003) or na(us002) ? 0 : 1) + (na(us003) or na(us001) ? 0 : 1) +
(na(us002) or na(us001) ? 0 : 1)
fullpkg
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Excellent!
blackcat1402
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thanks for sharing this
EconomicsGlobal
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@nj_guy72 This script is grossly "undervalued" :)
Thank you for all your hard work on this - it is a very handy tool!
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