OPEN-SOURCE SCRIPT
Tomas' Financial Conditions Z Score

"The indicator is a composite z-score comprised of the following four components (equally-weighted):
Credit spreads - ICE BofA High Yield Option Adjusted Spread (BAMLH0A0HYM2) and ICE BofA Corporate Index Option Adjusted Spread (BAMLC0A0CM)
Volatility indexes - VIX (S&P 500 implied volatility) and MOVE (US Treasury bond implied volatility)
I've got it set to a 160-day lookback period, which I think is roughly the best setting after some tinkering.
When the z-score is above zero, it throws a red signal - and when the z-score is below zero, it throws a green signal.
This indicator is a follow-on from the "traffic light financial conditions indicator" that I wrote a thread about a couple of months ago.
I moved on from that previous indicator because it is based on the Federal Reserve's NFCI, which is regularly revised, but I didn't take that into account at the time.
So not a great real-time indicator, if the signal can be subsequently revised in the opposite direction weeks later.
This new indicator is based on real-time market data, so there's no revisions, and it also updates daily, as opposed to weekly for the NFCI"
Credit spreads - ICE BofA High Yield Option Adjusted Spread (BAMLH0A0HYM2) and ICE BofA Corporate Index Option Adjusted Spread (BAMLC0A0CM)
Volatility indexes - VIX (S&P 500 implied volatility) and MOVE (US Treasury bond implied volatility)
I've got it set to a 160-day lookback period, which I think is roughly the best setting after some tinkering.
When the z-score is above zero, it throws a red signal - and when the z-score is below zero, it throws a green signal.
This indicator is a follow-on from the "traffic light financial conditions indicator" that I wrote a thread about a couple of months ago.
I moved on from that previous indicator because it is based on the Federal Reserve's NFCI, which is regularly revised, but I didn't take that into account at the time.
So not a great real-time indicator, if the signal can be subsequently revised in the opposite direction weeks later.
This new indicator is based on real-time market data, so there's no revisions, and it also updates daily, as opposed to weekly for the NFCI"
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Exención de responsabilidad
La información y las publicaciones que ofrecemos, no implican ni constituyen un asesoramiento financiero, ni de inversión, trading o cualquier otro tipo de consejo o recomendación emitida o respaldada por TradingView. Puede obtener información adicional en las Condiciones de uso.
Script de código abierto
Siguiendo fielmente el espíritu de TradingView, el creador de este script lo ha publicado en código abierto, permitiendo que otros traders puedan revisar y verificar su funcionalidad. ¡Enhorabuena al autor! Puede utilizarlo de forma gratuita, pero tenga en cuenta que la publicación de este código está sujeta a nuestras Normas internas.
Exención de responsabilidad
La información y las publicaciones que ofrecemos, no implican ni constituyen un asesoramiento financiero, ni de inversión, trading o cualquier otro tipo de consejo o recomendación emitida o respaldada por TradingView. Puede obtener información adicional en las Condiciones de uso.