This is a simple recession tracker that I've started using with my algorithms. It uses the treasury yield curve to predict when we might be in a recession.
Hi. I have a few questions.
Q1. The unit of date had be capitalized when I ran the code. ex> 'Mo' -> 'MO', 'Yr' -> 'YR'
Q2. I'd appreciated if you could add some comments about the logic. For example, when 3 Mo > 10 Yr, you define recession period as 365-180 days from today to 365+180days from today. (if I understood correctly). Is it common sense? If not, can you provide any references?
Q3. Is there any reason why you added US treasury data in 'SPY', rather than defining it as a separate data?
Q4. Can that treasuries data also be used to calculate beta (then dynamically do more/less shorting to target beta zero).
The order canceling won't work there, use one of these instead.
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