Z-score Regime

This indicator compares equity behaviour and credit behaviour by converting both into z-scores. It calculates the z-score of SPX and the z-score of a credit proxy based on the HYG divided by LQD ratio.

SPX z-score shows how far the S&P 500 is from its rolling average.
Credit z-score shows how risk-seeking or risk-averse credit markets are by comparing high-yield bonds to investment-grade bonds.

When both z-scores move together, the market is aligned in either risk-on or risk-off conditions.
When SPX z-score is strong but credit z-score is weak, this may signal equity strength that is not supported by credit markets.
When credit z-score is stronger than SPX z-score, credit markets may be leading risk appetite.

The indicator plots the two z-scores as simple lines for clear regime comparison.