OPEN-SOURCE SCRIPT
Macro Regime: Market mood + Regime detector
1. The Core Idea
Everything in this indicator is just measuring that preference, then checking whether fear is rising fast enough to matter.
2. The Engine: SPHB / SPLV
What these ETFs represent
SPHB = high-beta stocks (move more than the market)
SPLV = low-volatility stocks (move less than the market)
What the ratio means
This ratio is your risk appetite heartbeat.
3. Trend Filters (Separating Noise from Regimes)
The moving averages
How they’re used
This avoids reacting to every wiggle.
4. RSI: Detecting Overconfidence & Exhaustion
Why RSI is applied to the ratio
You’re not asking “are stocks overbought?”
You’re asking: “Is risk preference itself becoming stretched?”
Interpretation
RSI helps separate:
Healthy expansion from Speculative euphoria
5. Stress Filter: Volatility (VIX or VIXY/SPY)
Why this matters
Risk can fall in two very different ways:
The stress filter answers: “Is fear becoming systemic?”
How it’s measured
Either
VIX, or VIXY / SPY (volatility vs equities)
Converted into a Z-score so spikes stand out clearly.
Interpretation
6. Credit & Breadth (Confirmation, Not Drivers)
These don’t create signals — they confirm them.
Credit: HYG / TLT
Breadth: RSP / SPY
If high beta weakens + credit & breadth roll, regime shifts are far more reliable.
7. The Four Regimes (This Is the Payoff)
🟢 Early Expansion
What’s happening:
On the chart
How to think: “Risk is being rewarded.”
🟡 Late Cycle / Euphoria
What’s happening
On the chart
How to think: “Upside exists, but fragility is building.”
🟠 Slowdown
What’s happening
On the chart
How to think: “Protect gains, reduce beta.”
🔴 Crisis
What’s happening
On the chart
How to think: “Capital preservation > return.”
8. Binary Mode: Risk-ON vs Risk-OFF
The script also simplifies everything into a single switch:
Risk-ON
Risk-OFF
This is what you’d use for:
- When investors feel confident, they buy high-beta stocks.
*When they feel nervous, they hide in low-volatility stocks.
Everything in this indicator is just measuring that preference, then checking whether fear is rising fast enough to matter.
2. The Engine: SPHB / SPLV
What these ETFs represent
SPHB = high-beta stocks (move more than the market)
SPLV = low-volatility stocks (move less than the market)
What the ratio means
- SPHB / SPLV rising → investors prefer risk
- SPHB / SPLV falling → investors prefer safety
This ratio is your risk appetite heartbeat.
3. Trend Filters (Separating Noise from Regimes)
The moving averages
- Fast MA (50) → short-term risk momentum
- Slow MA (200) → long-term risk regime
How they’re used
- Ratio above the 200 MA → risk-on environment
- Ratio below the 200 MA → risk-off environment
- Fast MA crossing slow MA → regime transition
This avoids reacting to every wiggle.
4. RSI: Detecting Overconfidence & Exhaustion
Why RSI is applied to the ratio
You’re not asking “are stocks overbought?”
You’re asking: “Is risk preference itself becoming stretched?”
Interpretation
- RSI > 70 → investors are crowding into risk
- Lower RSI highs while ratio makes higher highs → enthusiasm is fading (classic late-cycle behavior)
- RSI < 30 → panic / forced de-risking
RSI helps separate:
Healthy expansion from Speculative euphoria
5. Stress Filter: Volatility (VIX or VIXY/SPY)
Why this matters
Risk can fall in two very different ways:
- Orderly slowdown (volatility stays calm)
- Crisis (volatility explodes)
The stress filter answers: “Is fear becoming systemic?”
How it’s measured
Either
VIX, or VIXY / SPY (volatility vs equities)Converted into a Z-score so spikes stand out clearly.
Interpretation
- Low stress → normal market functioning
- High stress → forced selling, margin calls, policy response territory
6. Credit & Breadth (Confirmation, Not Drivers)
These don’t create signals — they confirm them.
Credit: HYG / TLT
- Junk bonds vs Treasuries
- Falling → credit risk rising (often leads equities)
Breadth: RSP / SPY
- Equal-weight vs cap-weight
- Falling → narrowing leadership, fragile market
If high beta weakens + credit & breadth roll, regime shifts are far more reliable.
7. The Four Regimes (This Is the Payoff)
🟢 Early Expansion
What’s happening:
- Investors steadily increase risk
- Credit and breadth cooperate
- Volatility stays muted
On the chart
- SPHB/SPLV above 200 MA
- RSI rising but < 70
- Green background
How to think: “Risk is being rewarded.”
🟡 Late Cycle / Euphoria
What’s happening
- Everyone already owns risk
- Momentum slows under the surface
- Complacency is high
On the chart
- Ratio still rising
- RSI > 70 or divergence
- Orange background
How to think: “Upside exists, but fragility is building.”
🟠 Slowdown
What’s happening
- Investors quietly reduce exposure
- No panic yet
- Often policy-sensitive phase
On the chart
- Ratio below fast MA
- Still above or near slow MA
- Stress remains low
- Yellow background
How to think: “Protect gains, reduce beta.”
🔴 Crisis
What’s happening
- Forced de-risking
- Liquidity stress
- Correlations go to 1
On the chart
- SPHB/SPLV collapses below 200 MA
- RSI < 30
- Stress Z-score spikes
- Red background
How to think: “Capital preservation > return.”
8. Binary Mode: Risk-ON vs Risk-OFF
The script also simplifies everything into a single switch:
Risk-ON
- High beta trending up
- Confirmations OK
- Stress contained
Risk-OFF
- High beta trending down
- Stress elevated
This is what you’d use for:
- Position sizing
- Exposure limits
- Asset rotation
开源脚本
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这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。
开源脚本
秉承TradingView的精神，该脚本的作者将其开源，以便交易者可以查看和验证其功能。向作者致敬！您可以免费使用该脚本，但请记住，重新发布代码须遵守我们的网站规则。
Live Youtube - youtube.com/@SignalCentre/streams
免责声明
这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。