OPEN-SOURCE SCRIPT
Volatility-adjusted real YoY returns (%)
This indicator shows volatility-adjusted YoY real return.
It uses year-over-year log returns because YoY comparisons help eliminate seasonality. Other timeframes are generally less meaningful for this purpose, as they can be distorted by seasonal patterns, short-term noise, or incomplete economic cycles.
The hurdle rate is the maximum of inflation or the 3-month U.S. Treasury yield. The asset’s YoY return is reduced by this hurdle rate, then divided by annualized volatility.
The result is a risk-adjusted macro return score:
Positive values indicate YoY return is clearing the inflation/rate hurdle after volatility adjustment.
Negative values indicate YoY return is failing to clear that hurdle after volatility adjustment.
Copyright © 2026 @BTCTides. All rights reserved.
For educational and informational purposes only. Not financial advice.
It uses year-over-year log returns because YoY comparisons help eliminate seasonality. Other timeframes are generally less meaningful for this purpose, as they can be distorted by seasonal patterns, short-term noise, or incomplete economic cycles.
The hurdle rate is the maximum of inflation or the 3-month U.S. Treasury yield. The asset’s YoY return is reduced by this hurdle rate, then divided by annualized volatility.
The result is a risk-adjusted macro return score:
Positive values indicate YoY return is clearing the inflation/rate hurdle after volatility adjustment.
Negative values indicate YoY return is failing to clear that hurdle after volatility adjustment.
Copyright © 2026 @BTCTides. All rights reserved.
For educational and informational purposes only. Not financial advice.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.