Keep track of Bonds In ThinkOrSwim

[johns52]

Lots of talk about bonds lately. Sell-off in bonds has made the interest rates rise. Surges in Bonds make SPX rise. SPX and Bonds seem to be highly correlated these days. This is a lower study. Hope this is useful to someone.

I have attached a day chart for /ES and a 15 minute chart for SPX. Note the moving average lag problem doesn't show up with SPX - don't know why. Note, with the 15 minute SPX chart that a rise in bonds can push up SPX and a drop in bonds can presage a big daily drop in SPX. Bonds are not the only force guiding the market but are an important consideration.

#JS_TLT_Comparison
#plots the TLT with three averages
#be sure to set it up on the Left Axis if overlaying price

declare lower;

input Period1 = 21;
input Period2 = 55;
input Period3 = 233;

plot tlt = Close("TLT");

tlt.SetPaintingStrategy(paintingStrategy.Line);
tlt.SetLineWeight(1);
tlt.SetDefaultColor(Color.white);

plot TltAvg1 = Average(tlt, Period1);

TltAvg1.SetPaintingStrategy(paintingStrategy.Line);
TltAvg1.SetLineWeight(2);
TltAvg1.SetDefaultColor(Color.magenta);

plot TltAvg2 = Average(tlt, Period2);

TltAvg2.SetPaintingStrategy(paintingStrategy.Line);
TltAvg2.SetLineWeight(2);
TltAvg2.SetDefaultColor(Color.cyan);

plot TltAvg3 = Average(tlt, Period3);

TltAvg3.SetPaintingStrategy(paintingStrategy.Line);
TltAvg3.SetLineWeight(2);
TltAvg3.SetDefaultColor(Color.magenta);

def rising = tlt > TltAvg1 and TltAvg1 > TltAvg2 and TltAvg2 > TltAvg3;

def falling = tlt < TltAvg1 and TltAvg1 < TltAvg2 and TltAvg2 < TltAvg3;

AddLabel(yes, "TLT Trend", if rising then color.light_green else if falling then color.light_red else color.yellow);

 

[netarchitech]

@johns52 : Thanks for sharing the Bonds Tracker...Given the current volatility in the Markets, this is a timely addition to uTS, especially since there are few studies available related specifically to Bonds...

As a result of incorporating the study into my workspace I noticed the Average Lines are breaking up for some unknown reason...I've attached a screenshot to give you an idea of what I'm looking at...

Please advise...

 

[johns52]

@johns52 : Thanks for sharing the Bonds Tracker...Given the current volatility in the Markets, this is a timely addition to uTS, especially since there are few studies available related specifically to Bonds...

As a result of incorporating the study into my workspace I noticed the Average Lines are breaking up for some unknown reason...I've attached a screenshot to give you an idea of what I'm looking at...

Please advise...

I speculate that this happens because TLT is not trading 24 hours a day. TLT restarts each day, then the shorter period moving average gets picked up first, followed by the slower moving averages. /ZN could be substituted for TLT since it trades 5/23 but I don't think it correlates as well as TLT. Your thoughts?

 

[netarchitech]

I speculate that this happens because TLT is not trading 24 hours a day. TLT restarts each day, then the shorter period moving average gets picked up first, followed by the slower moving averages. /ZN could be substituted for TLT since it trades 5/23 but I don't think it correlates as well as TLT. Your thoughts?

@johns52 : Thanks for your reply...Your points are well taken...I plugged in /ZN for TLT and that fixed the issue... I attached a screenshot for your review...

I then started thinking since /ZN represents the 10-Year and TLT reflects 20 years maybe it would be better to plug in /ZB (30-Year), but /ZN and /ZB turned out to be comparable, so /ZN it is...plus the 10-Year has significantly more volume, which always helps...

I updated your script to reflect /ZN and altered the color scheme a bit...I hope I'm not stepping on any toes...

# filename: _Bonds_Tracker_
# source: https://usethinkscript.com/threads/keep-track-of-bonds.17003/post-133253

#JS_ZN_Comparison
#plots /ZN (10-Year US Treasury Note Futures) with three averages
#be sure to set it up on the Left Axis if overlaying price

declare lower;

input Period1 = 21;
input Period2 = 55;
input Period3 = 233;

plot ZN = Close("/ZN");

ZN.SetPaintingStrategy(PaintingStrategy.LINE);
ZN.SetLineWeight(1);
ZN.SetDefaultColor(Color.WHITE);

plot ZNAvg1 = Average(ZN, Period1);

ZNAvg1.SetPaintingStrategy(PaintingStrategy.LINE);
ZNAvg1.SetLineWeight(2);
ZNAvg1.SetDefaultColor(Color.GREEN);

plot ZNAvg2 = Average(ZN, Period2);

ZNAvg2.SetPaintingStrategy(PaintingStrategy.LINE);
ZNAvg2.SetLineWeight(2);
ZNAvg2.SetDefaultColor(Color.ORANGE);

plot ZNAvg3 = Average(ZN, Period3);

ZNAvg3.SetPaintingStrategy(PaintingStrategy.LINE);
ZNAvg3.SetLineWeight(2);
ZNAvg3.SetDefaultColor(Color.RED);

def rising = ZN > ZNAvg1 and ZNAvg1 > ZNAvg2 and ZNAvg2 > ZNAvg3;

def falling = ZN < ZNAvg1 and ZNAvg1 < ZNAvg2 and ZNAvg2 < ZNAvg3;

AddLabel(yes, "ZN Trend", if rising then color.GREEN else if falling then color.RED else color.YELLOW);

Thanks again for assembling and posting this study...It is much appreciated...

Good Luck and Good Trading...

 

[johns52]

@johns52 : Thanks for your reply...Your points are well taken...I plugged in /ZN for TLT and that fixed the issue... I attached a screenshot for your review...

I then started thinking since /ZN represents the 10-Year and TLT reflects 20 years maybe it would be better to plug in /ZB (30-Year), but /ZN and /ZB turned out to be comparable, so /ZN it is...plus the 10-Year has significantly more volume, which always helps...

I updated your script to reflect /ZN and altered the color scheme a bit...I hope I'm not stepping on any toes...

# filename: _Bonds_Tracker_
# source: https://usethinkscript.com/threads/keep-track-of-bonds.17003/post-133253

#JS_ZN_Comparison
#plots /ZN (10-Year US Treasury Note Futures) with three averages
#be sure to set it up on the Left Axis if overlaying price

declare lower;

input Period1 = 21;
input Period2 = 55;
input Period3 = 233;

plot ZN = Close("/ZN");

ZN.SetPaintingStrategy(PaintingStrategy.LINE);
ZN.SetLineWeight(1);
ZN.SetDefaultColor(Color.WHITE);

plot ZNAvg1 = Average(ZN, Period1);

ZNAvg1.SetPaintingStrategy(PaintingStrategy.LINE);
ZNAvg1.SetLineWeight(2);
ZNAvg1.SetDefaultColor(Color.GREEN);

plot ZNAvg2 = Average(ZN, Period2);

ZNAvg2.SetPaintingStrategy(PaintingStrategy.LINE);
ZNAvg2.SetLineWeight(2);
ZNAvg2.SetDefaultColor(Color.ORANGE);

plot ZNAvg3 = Average(ZN, Period3);

ZNAvg3.SetPaintingStrategy(PaintingStrategy.LINE);
ZNAvg3.SetLineWeight(2);
ZNAvg3.SetDefaultColor(Color.RED);

def rising = ZN > ZNAvg1 and ZNAvg1 > ZNAvg2 and ZNAvg2 > ZNAvg3;

def falling = ZN < ZNAvg1 and ZNAvg1 < ZNAvg2 and ZNAvg2 < ZNAvg3;

AddLabel(yes, "ZN Trend", if rising then color.GREEN else if falling then color.RED else color.YELLOW);

Thanks again for assembling and posting this study...It is much appreciated...

Good Luck and Good Trading...

Very nice. Glad you like this. A simple indicator but very useful. I will try the /ZN version and compare it to the TLT version.