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Treasury Yield Curve Spreads Indicator

by QuantShare, 2344 days ago
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The next chart display different treasury yield curves for different maturities:




Notice how the distance between these curves increase and decrease regularly during previous years.

The trading indicator you are about to download calculates the sum of treasury yield spreads. It calculates the yield spread of different treasury pairs (Example: 30Y/20Y or 20Y/10Y..) then sums up the result.

Note that here; the term yield spread refers to the difference between two treasury bonds. It is an important indicator used by investors and economists to gauge the economy. For example, on economic fears, treasury yield spreads usually narrow. This is also the case when short rates rise.

By measuring the sum of the different yield spreads, we are creating a single measure of the different treasury yield curves. This measure can be used as a buy or sell rule in your trading systems. For example, you may notice that an increase in the yield spreads is often accompanied by a decrease in the S&P 500 index.

The indicator name is "TYCurveSpreads". It requires treasury rates data in order to return the treasury yield curve spreads measure. This data can be downloaded using the following item:
Market Yield on U.S. Treasury Securities


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Type: Trading Indicator

Object ID: 1302


Country:
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Market: All

Style:
Technical Analysis

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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.