Federal Funds Rate and Overnight Bank Fund RateAMEX:SPY
Comparison of the Overnight Bank Fund Rate and the Effective Federal Funds Rate.
The Fed sets a discount rate of 100 basis points above the effective federal funds rate to discourage ("penalize") banks from borrowing from its reserves. If lending banks have excess in their reserves, the borrowing banks have ease in negotiating a lower rate overnight to maintain its requirements. For this reason its a good indicator of the economy. If it becomes more difficult for banks to maintain the required reserve amount they may charge borrowing banks higher rates.
Both the Effective Federal Funds Rate and Overnight Bank Fund Rate use the same data. Except, the OBFR includes overnight Eurodollar transaction data and certain overnight “selected deposit” transactions that are placed at domestic bank branches controlled by a U.S. banking office.
The indicator includes the lower and upper bound target rate set by the Federal Reserve.
An interesting note:
Notice the jump in the Overnight Bank Rate followed by Fed buying to provide liquidity and lower rates in Sept 2019.
Fed
Gov Bonds Real Rates 10/05Y, FED RATEs, CPIGov Bonds Real Rates 10/05Y, FED RATEs, CPI。美国经济数据10年债和5年债实际收益率，美国目标利率和实际利率，CPI消费者物价指数
US Fed Balance SheetThe United States Fed assets by USD value on their publicly available balance sheet.
From: fred.stlouisfed.org
There is an option to show change from the previous period. Not every category from the website is listed in the indicator.
Listed categories:
Total
Treasury Bills
Treasury Notes and Bonds, Nominal
Mortgage-Backed Securities
Repurchase Agreements
Fed Agency Debt Securities (Primary/Secondary/Seasonal Credit + TALF)
Commercial Paper Funding Facility
Commercial Paper Funding Facility II (Post 2020-04-14)
Central Bank Liquidity Swaps
Related reading:
Funding, Credit, Liquidity, and Loan Facilities - www.federalreserve.gov
CPFF - www.federalreserve.gov
TALF - www.federalreserve.gov
Central Bank Liquidity Swaps - www.federalreserve.gov
US Inflation Rate [nb]This is the United States inflation rate, based on the total Consumer Price Index published by the U.S. Bureau of Labor Statistics.
Option to toggle:
A line to display the inflation rate in December. It does not change until the next December.
What the color change to red is indicative of:
According to the Federal Open Market Committee (FOMC) regarding inflation rate, "2% is a bae number to be around". This does not imply a strict 2% inflation for success and allows room for federal rate cuts should they be needed.
Although FOMC declared 2% to be "bae" in 2012, James Bullard, of federal banking fame, claims that started to become the norm in 1995. Therefore the inflation rate line will only turn red 1995 onwards, and serves as a friendly reminder that inflation has been over at or over 2% for more than one month.
Sources:
www.bls.gov
www.federalreserve.gov
www.stlouisfed.org
Macroeconomic Artificial Neural Networks
This script was created by training 20 selected macroeconomic data to construct artificial neural networks on the S&P 500 index.
No technical analysis data were used.
The average error rate is 0.01.
In this respect, there is a strong relationship between the index and macroeconomic data.
Although it affects the whole world,I personally recommend using it under the following conditions: S&P 500 and related ETFs in 1W time-frame (TF = 1W SPX500USD, SP1!, SPY, SPX etc. )
Macroeconomic Parameters
Effective Federal Funds Rate (FEDFUNDS)
Initial Claims (ICSA)
Civilian Unemployment Rate (UNRATE)
10 Year Treasury Constant Maturity Rate (DGS10)
Gross Domestic Product , 1 Decimal (GDP)
Trade Weighted US Dollar Index : Major Currencies (DTWEXM)
Consumer Price Index For All Urban Consumers (CPIAUCSL)
M1 Money Stock (M1)
M2 Money Stock (M2)
2 - Year Treasury Constant Maturity Rate (DGS2)
30 Year Treasury Constant Maturity Rate (DGS30)
Industrial Production Index (INDPRO)
5-Year Treasury Constant Maturity Rate (FRED : DGS5)
Light Weight Vehicle Sales: Autos and Light Trucks (ALTSALES)
Civilian Employment Population Ratio (EMRATIO)
Capacity Utilization (TOTAL INDUSTRY) (TCU)
Average (Mean) Duration Of Unemployment (UEMPMEAN)
Manufacturing Employment Index (MAN_EMPL)
Manufacturers' New Orders (NEWORDER)
ISM Manufacturing Index (MAN : PMI)
Artificial Neural Network (ANN) Training Details :
Learning cycles: 16231
AutoSave cycles: 100
Grid
Input columns: 19
Output columns: 1
Excluded columns: 0
Training example rows: 998
Validating example rows: 0
Querying example rows: 0
Excluded example rows: 0
Duplicated example rows: 0
Network
Input nodes connected: 19
Hidden layer 1 nodes: 2
Hidden layer 2 nodes: 0
Hidden layer 3 nodes: 0
Output nodes: 1
Controls
Learning rate: 0.1000
Momentum: 0.8000 (Optimized)
Target error: 0.0100
Training error: 0.010000
NOTE : Alerts added . The red histogram represents the bear market and the green histogram represents the bull market.
Bars subject to region changes are shown as background colors. (Teal = Bull , Maroon = Bear Market )
I hope it will be useful in your studies and analysis, regards.
[STRATEGY] Follow the Janet YellenIn the era of central bank's helicopter money, the market will always be skyrocketing up and up given enough time.
What's the strategy to profit from indices?
Only short the market when its in a state of euphoria /irrational exuberance bubble, or sell when it is confirmed (20% drawdown). Otherwise, you really have no reason not to long at every chance.
Conclusion:
Follow the printing press like a sheep.
