OPEN-SOURCE SCRIPT
Cập nhật US Recession Indicator
The US Recession Indicator is designed to identify recessions as they happen, using two reputable indicators that have accurately foreseen all past recessions since 1969. Unlike the National Bureau of Economic Research (NBER) which determines recession dates after the fact, this indicator seeks to spot recessions in real-time. When both of these distinct metrics meet certain criteria, the chart's background becomes shaded, signifying a strong likelihood that the economy is in a recession. Furthermore, a built-in alert system keeps users updated without constant monitoring.
The first metric is the Smoothed Recession Probabilities developed by Marcelle Chauvet. It is based on a dynamic-factor markov-switching model that assesses four monthly coincident variables: non-farm payroll employment, the index of industrial production, real personal income excluding transfer payments and real manufacturing and trade sales. It offers a mathematical analysis of how recessions deviate from expansions. In essence, this index mirrors the probability of the prevailing true economic situation being a recession, grounded on the current GDP data.
The second metric is the Sahm Rule Recession Indicator developed by Claudia Sahm. It operates on the principle that changes in the unemployment rate can be used to identify the onset of a recession. According to this rule, if the three-month moving average of the unemployment rate rises by 0.5 percentage points or more above its lowest point from the preceding year, it flags a potential recession.
For this combined indicator, the thresholds are intentionally set lower than when each metric is used individually. Both metrics must simultaneously suggest a potential recession in order to send a signal. This stems from the realisation that neither metric is infallible and has, on occasion, sent false signals in the past. By requiring both to align, the likelihood of a false positive is reduced. However, it's crucial to understand that past performance does not guarantee future results, leaving the door open for potential false alerts which may not be confirmed by the NBER.
The first metric is the Smoothed Recession Probabilities developed by Marcelle Chauvet. It is based on a dynamic-factor markov-switching model that assesses four monthly coincident variables: non-farm payroll employment, the index of industrial production, real personal income excluding transfer payments and real manufacturing and trade sales. It offers a mathematical analysis of how recessions deviate from expansions. In essence, this index mirrors the probability of the prevailing true economic situation being a recession, grounded on the current GDP data.
The second metric is the Sahm Rule Recession Indicator developed by Claudia Sahm. It operates on the principle that changes in the unemployment rate can be used to identify the onset of a recession. According to this rule, if the three-month moving average of the unemployment rate rises by 0.5 percentage points or more above its lowest point from the preceding year, it flags a potential recession.
For this combined indicator, the thresholds are intentionally set lower than when each metric is used individually. Both metrics must simultaneously suggest a potential recession in order to send a signal. This stems from the realisation that neither metric is infallible and has, on occasion, sent false signals in the past. By requiring both to align, the likelihood of a false positive is reduced. However, it's crucial to understand that past performance does not guarantee future results, leaving the door open for potential false alerts which may not be confirmed by the NBER.
Phát hành các Ghi chú
- Fixed a bug with the shadow that made the entire background green.
- Added the option to display the US Composite Leading Indicator (CLI) and the US Unemployment rate to better assess the likelihood of a recession.
- Added the option to display the spread between the 3-month and 10-year US government yield to identify yield curve inversions, which are historical indicators of potential recessions.
Phát hành các Ghi chú
- Upgraded to Pine Script v6 for improved performance and compatibility.
- Replaced the US Composite Leading Indicator (CLI) and US Unemployment Rate (UR) plots with a table that displays their monthly changes.
- Added the option to smooth the monthly changes in the CLI and UR by applying a Simple Moving Average (SMA).
Phát hành các Ghi chú
Added an optional recession score dashboard that evaluates 10 leading and coincident US economic indicators and aggregates them into a single composite recession risk score. All economic indicators are delta-adjusted and scored using a combination of historical percentile ranking and the selected fast and slow SMA trend. The upward arrow (↑) represents improving economic conditions, while the downward arrow (↓) represents deteriorating economic conditions. For the composite recession risk score, the arrow represents the change relative to the selected lookback period. The dashboard includes the following indicators:- CLI = OECD Composite Leading Indicator
- U3 = U-3 Civilian Unemployment Rate
- PMI = ISM Purchasing Managers' Index
- HYS = High Yield Index Option-Adjusted Spread
- CCSA = Continued Claims / Civilian Labor Force
- MNO = Manufacturers' New Orders Nondefense
- THS = All Employees Temporary Help Services
- BP = New Privately-Owned Housing Permits
- IPI = Total Industrial Production Index
- RMTS = Real Manufacturing and Trade Sales
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Mã nguồn mở
Theo đúng tinh thần TradingView, tác giả của tập lệnh này đã công bố nó dưới dạng mã nguồn mở, để các nhà giao dịch có thể xem xét và xác minh chức năng. Chúc mừng tác giả! Mặc dù bạn có thể sử dụng miễn phí, hãy nhớ rằng việc công bố lại mã phải tuân theo Nội quy.
Thông báo miễn trừ trách nhiệm
Thông tin và các ấn phẩm này không nhằm mục đích, và không cấu thành, lời khuyên hoặc khuyến nghị về tài chính, đầu tư, giao dịch hay các loại khác do TradingView cung cấp hoặc xác nhận. Đọc thêm tại Điều khoản Sử dụng.