Central Bank Assets YoY % with StdDev Bands

Central Bank Assets YoY % with StdDev Bands - Indicator Documentation

Overview

This indicator tracks the year-over-year (YoY) percentage change in combined central bank assets using a custom formula. It displays the annual growth rate along with statistical bands showing when the growth is significantly above or below historical norms.

Formula Components
The indicator is based on a custom symbol combining multiple central bank balance sheets:

Federal Reserve balance sheet (FRED)
Bank of Japan assets converted to USD (FX_IDC*FRED)
European Central Bank assets converted to USD (FX_IDC*FRED)
Subtracting Fed reverse repo operations (FRED)
Subtracting Treasury General Account (FRED)

Calculations

Year-over-Year Percentage Change: Calculates the percentage change between the current value and the value from exactly one year ago (252 trading days).

Formula: ((current - year_ago) / year_ago) * 100

Statistical Measures:

Mean (Average): The 252-day simple moving average of the YoY percentage changes
Standard Deviation: The 252-day standard deviation of YoY percentage changes

Display Components
The indicator displays:

Main Line: YoY percentage change (green when positive, red when negative)
Zero Line: Reference line at 0% (gray dashed)
Mean Line: Average YoY change over the past 252 days (blue)
Standard Deviation Bands: Shows +/- 1 standard deviation from the mean

Upper band (+1 StdDev): Green, line with breaks style
Lower band (-1 StdDev): Red, line with breaks style

Interpretation

Values above zero indicate YoY growth in central bank assets
Values below zero indicate YoY contraction
Values above the +1 StdDev line indicate unusually strong growth
Values below the -1 StdDev line indicate unusually severe contraction
Crossing above/below the mean line can signal shifts in central bank policy trends

Usage
This indicator is useful for:

Monitoring global central bank liquidity trends
Identifying unusual periods of balance sheet expansion/contraction
Analyzing correlations between central bank activity and market performance
Anticipating potential market impacts from changes in central bank policy

The 252-day lookback period (approximately one trading year) provides a balance between statistical stability and responsiveness to changing trends in central bank behavior.