OPEN-SOURCE SCRIPT
Credit Stress (HY OAS Z-Score)
中文說明
信用壓力指標(Credit Stress – HY OAS Z-Score)
本指標追蹤美國高收益債(垃圾債)信用利差的標準化程度,用以觀察信用市場對違約風險的定價變化,是判斷市場風險偏好的重要總經指標之一。
計算方式
資料來源為 FRED 公布的 ICE BofA 美國高收益債期權調整利差(BAMLH0A0HYM2),每日更新。將原始利差數值轉換成過去約一年(252個交易日)的 z-score,標準化後的數值代表目前利差偏離自身近一年平均值的程度(以標準差為單位),而非原始的基點數字。
如何使用
紅色區域(z-score > 1.5):利差顯著擴大,代表信用市場正在為違約風險要求更高補償,是市場風險意識升高的訊號,歷史上常與股市轉弱同步或稍微領先出現。
綠色區域(z-score < -1):利差異常收窄,代表信用市場對風險的定價過度寬鬆,這不是「安全」訊號,而是提醒風險偏好可能已經過熱,是留意泡沫跡象的參考,而非進場依據。
建議關注穿越0軸的方向(利差轉為擴大或收窄的轉折點),比單看目前處於哪個顏色區間更有參考價值。
圖表下方的灰色背景代表 NBER 官方認定的美國經濟衰退期,取自 FRED:USREC。
注意事項
本指標更新頻率雖為每日,但反映的是總經層級的風險情緒轉變,不適合當作短線進出場的精確訊號,較適合搭配保證金負債、淨流動性等指標一起觀察,綜合判斷市場所處的槓桿-流動性-信用週期階段。
z-score 的滾動窗口(252日)為固定值,未經過歷史事件的參數最佳化,選擇這個長度是基於避免對少數幾次歷史危機過度擬合的考量,而非「回測表現最好」的結果。使用者可依自己想觀察的時間尺度自行調整。
本指標為簡化模型,僅反映信用市場單一面向,不構成投資建議。
English Description
Credit Stress Indicator (HY OAS Z-Score)
This indicator tracks the standardized level of U.S. high-yield (junk bond) credit spreads, used to observe how credit markets are pricing default risk — a key macro gauge of overall market risk appetite.
Methodology
Data is sourced from FRED's ICE BofA US High Yield Index Option-Adjusted Spread (BAMLH0A0HYM2), updated daily. The raw spread is converted into a z-score using a roughly one-year (252 trading day) rolling window, expressing how far the current spread deviates from its own recent average, measured in standard deviations rather than raw basis points.
How to use it
Red zone (z-score > 1.5): Spreads are widening significantly — credit markets are demanding greater compensation for default risk. This signals rising risk aversion and has historically tended to move in tandem with, or slightly ahead of, equity market weakness.
Green zone (z-score < -1): Spreads are unusually tight — credit markets are pricing risk with unusual complacency. This is not a "safe" signal; rather, it's a warning that risk appetite may be overheated, useful for spotting potential bubble conditions rather than as an entry signal.
Focus on directional crossovers through the zero line (the point where spreads start widening or tightening) — this tends to carry more information than the current absolute zone.
The gray background marks official NBER-designated U.S. recession periods, sourced from FRED:USREC.
Notes
Although the underlying data updates daily, this indicator reflects macro-level shifts in risk sentiment and is not intended for precise short-term trade timing. It's best used alongside margin debt and net liquidity indicators to build a fuller picture of where the market sits in the leverage-liquidity-credit cycle.
The 252-day rolling window is a fixed value, deliberately not optimized against historical crisis events, in order to avoid overfitting to a small number of past episodes. Users can adjust it to match their own preferred time horizon.
This is a simplified model reflecting a single dimension of credit markets; it does not constitute investment advice.
信用壓力指標(Credit Stress – HY OAS Z-Score)
本指標追蹤美國高收益債(垃圾債)信用利差的標準化程度,用以觀察信用市場對違約風險的定價變化,是判斷市場風險偏好的重要總經指標之一。
計算方式
資料來源為 FRED 公布的 ICE BofA 美國高收益債期權調整利差(BAMLH0A0HYM2),每日更新。將原始利差數值轉換成過去約一年(252個交易日)的 z-score,標準化後的數值代表目前利差偏離自身近一年平均值的程度(以標準差為單位),而非原始的基點數字。
如何使用
紅色區域(z-score > 1.5):利差顯著擴大,代表信用市場正在為違約風險要求更高補償,是市場風險意識升高的訊號,歷史上常與股市轉弱同步或稍微領先出現。
綠色區域(z-score < -1):利差異常收窄,代表信用市場對風險的定價過度寬鬆,這不是「安全」訊號,而是提醒風險偏好可能已經過熱,是留意泡沫跡象的參考,而非進場依據。
建議關注穿越0軸的方向(利差轉為擴大或收窄的轉折點),比單看目前處於哪個顏色區間更有參考價值。
圖表下方的灰色背景代表 NBER 官方認定的美國經濟衰退期,取自 FRED:USREC。
注意事項
本指標更新頻率雖為每日,但反映的是總經層級的風險情緒轉變,不適合當作短線進出場的精確訊號,較適合搭配保證金負債、淨流動性等指標一起觀察,綜合判斷市場所處的槓桿-流動性-信用週期階段。
z-score 的滾動窗口(252日)為固定值,未經過歷史事件的參數最佳化,選擇這個長度是基於避免對少數幾次歷史危機過度擬合的考量,而非「回測表現最好」的結果。使用者可依自己想觀察的時間尺度自行調整。
本指標為簡化模型,僅反映信用市場單一面向,不構成投資建議。
English Description
Credit Stress Indicator (HY OAS Z-Score)
This indicator tracks the standardized level of U.S. high-yield (junk bond) credit spreads, used to observe how credit markets are pricing default risk — a key macro gauge of overall market risk appetite.
Methodology
Data is sourced from FRED's ICE BofA US High Yield Index Option-Adjusted Spread (BAMLH0A0HYM2), updated daily. The raw spread is converted into a z-score using a roughly one-year (252 trading day) rolling window, expressing how far the current spread deviates from its own recent average, measured in standard deviations rather than raw basis points.
How to use it
Red zone (z-score > 1.5): Spreads are widening significantly — credit markets are demanding greater compensation for default risk. This signals rising risk aversion and has historically tended to move in tandem with, or slightly ahead of, equity market weakness.
Green zone (z-score < -1): Spreads are unusually tight — credit markets are pricing risk with unusual complacency. This is not a "safe" signal; rather, it's a warning that risk appetite may be overheated, useful for spotting potential bubble conditions rather than as an entry signal.
Focus on directional crossovers through the zero line (the point where spreads start widening or tightening) — this tends to carry more information than the current absolute zone.
The gray background marks official NBER-designated U.S. recession periods, sourced from FRED:USREC.
Notes
Although the underlying data updates daily, this indicator reflects macro-level shifts in risk sentiment and is not intended for precise short-term trade timing. It's best used alongside margin debt and net liquidity indicators to build a fuller picture of where the market sits in the leverage-liquidity-credit cycle.
The 252-day rolling window is a fixed value, deliberately not optimized against historical crisis events, in order to avoid overfitting to a small number of past episodes. Users can adjust it to match their own preferred time horizon.
This is a simplified model reflecting a single dimension of credit markets; it does not constitute investment advice.
Skrypt open-source
W zgodzie z duchem TradingView twórca tego skryptu udostępnił go jako open-source, aby użytkownicy mogli przejrzeć i zweryfikować jego działanie. Ukłony dla autora. Korzystanie jest bezpłatne, jednak ponowna publikacja kodu podlega naszym Zasadom serwisu.
Wyłączenie odpowiedzialności
Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.
Skrypt open-source
W zgodzie z duchem TradingView twórca tego skryptu udostępnił go jako open-source, aby użytkownicy mogli przejrzeć i zweryfikować jego działanie. Ukłony dla autora. Korzystanie jest bezpłatne, jednak ponowna publikacja kodu podlega naszym Zasadom serwisu.
Wyłączenie odpowiedzialności
Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.