PINE LIBRARY
已更新 MacroFactorDecomposition_Stagflation
Library "Calc_MacroFactorDecomposition_Stagflation"
Calculates the 6-Factor Macro Regime & Stagflation Decomposition and composite score Parameters:
Rolling bar window for multi-period return and Z-score (e.g., 63 bars)
Weight for Inflation factor (TIP / IEF)
Weight for Growth Deceleration factor (-IWM / SPY)
Weight for Rate Shock factor (-IEF)
Weight for USD Weakness / Debasement factor (-UUP)
Weight for Fiscal Dominance factor (SHY / TLT)
Weight for Supply Bottleneck / Cost-Push factor (DBC / XLI)
Returns: [composite, z_inf, z_growth, z_rate, z_usd, z_fiscal, z_bottleneck]
Calculates the 6-Factor Macro Regime & Stagflation Decomposition and composite score Parameters:
Rolling bar window for multi-period return and Z-score (e.g., 63 bars)
Weight for Inflation factor (TIP / IEF)
Weight for Growth Deceleration factor (-IWM / SPY)
Weight for Rate Shock factor (-IEF)
Weight for USD Weakness / Debasement factor (-UUP)
Weight for Fiscal Dominance factor (SHY / TLT)
Weight for Supply Bottleneck / Cost-Push factor (DBC / XLI)
Returns: [composite, z_inf, z_growth, z_rate, z_usd, z_fiscal, z_bottleneck]
發行說明
Library "Calc_MacroFactorDecomposition_Stagflation"Calculates the 6-Factor Macro Regime & Stagflation Decomposition and composite score Parameters:
Rolling bar window for multi-period return and Z-score (e.g., 63 bars)
Weight for Inflation factor (TIP / IEF)
Weight for Growth Deceleration factor (-IWM / SPY)
Weight for Rate Shock factor (-IEF)
Weight for USD Weakness / Debasement factor (-UUP)
Weight for Fiscal Dominance factor (SHY / TLT)
Weight for Supply Bottleneck / Cost-Push factor (DBC / XLI)
Returns: [composite, z_inf, z_growth, z_rate, z_usd, z_fiscal, z_bottleneck]]
發行說明
Library "Calc_MacroFactorDecomposition_Stagflation"Calculates the 6-Factor Macro Regime & Stagflation Decomposition and composite score Parameters:
Rolling bar window for multi-period return and Z-score (e.g., 63 bars)
Weight for Inflation factor (TIP / IEF)
Weight for Growth Deceleration factor (-IWM / SPY)
Weight for Rate Shock factor (-IEF)
Weight for USD Weakness / Debasement factor (-UUP)
Weight for Fiscal Dominance factor (SHY / TLT)
Weight for Supply Bottleneck / Cost-Push factor (DBC / XLI)
Returns: [composite, z_inf, z_growth, z_rate, z_usd, z_fiscal, z_bottleneck]
發行說明
v4Added:
Calc_vw_omega(rets, vols, L)
Computes the Volume-Weighted Omega Ratio over historical return & volume arrays
Parameters:
rets (array<float>): Array of period returns
vols (array<float>): Array of period volumes (or dollar volume weights)
L (simple float): Threshold/hurdle return (e.g., 0.0 or risk-free rate per period)
Returns: Volume-weighted Omega ratio
Calc_vw_cvar(rets, vols, a)
Computes Volume-Weighted Conditional Value-at-Risk (Expected Shortfall)
Parameters:
rets (array<float>): Array of period returns
vols (array<float>): Array of period volumes (or dollar volume weights)
a (simple float): Tail risk alpha level (e.g., 0.05 for 95% CVaR)
Returns: Volume-weighted average loss in the left alpha tail
Get_history_arrays(sym, len)
Fetches synchronized historical returns and volumes into fixed-length arrays
Parameters:
sym (simple string): Security ticker string (e.g., "AMEX:SPY")
len (simple int): Rolling window length
Returns: [returns_array, volumes_array]
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Pine腳本庫
秉持TradingView一貫精神，作者已將此Pine代碼以開源函式庫形式發佈，方便我們社群中的其他Pine程式設計師重複使用。向作者致敬！您可以在私人專案或其他開源發表中使用此函式庫，但在公開發表中重用此代碼須遵守社群規範。
Enjoy Life - Be Kind - Serve a Bigger Purpose
免責聲明
這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。