Check these new monthly updated economic indicators.
https://imarketsignals.com/2020/recession-forecasting-federal-reserve-bank-chicagos-newly-released-brave-butters-kelley-indexes/
Thank you Georg, I checked it out!
Interesting! Whenever their leading index gets up my flagship modell has usually a very good time.
Problem is, the lag time is too high, their data right now is from november.
But, if we had data like this neartime, this would be a great alpha generator, think about building something like this on my own.
What would be needed: get about 30 Data Series in a Month and estimate, backtest the impact on inflation and gdp and nearcast both.
hmm…
Best Regards
Andreas
Have you ever looked at the OECD Composite Leading Indicator (do a web search for OECD CLI)? It’s a 6 month leading indicator but has a two month lag from 6 month lead. It’s not the level of the indicator but the change (falling or rising and whether accelerating or decelerating) that matters.
Jeff
Andreas, good observation on the BBK-LEI.
We will have a better LEI on iMarketSignals as soon as I have time to write up the description. Attached is the weekly data file and picture of the iM-LEI. Have a look at the weekly level and see whether you can use it to improve your models’ returns. It has a 4-5 months lead time (real-time) to recession starts.
One can also see that there is very little chance of a recession this year, despite what one hears from many financial pundits. So stocks should be ok for some time still.
iM-LEI 1968-2020.csv (47.9 KB)
Georg,
great work.
Looks like you could overcome the lag time of this indicator to make it work in almost “real time”.
Looking forward to see it on your site.
Thanks.
Werner
It is in real-time. All the input is only used from the week onward when it is published.
Also because the plot is relatively smooth, one can make this a co-incident indicator by merely lowering the recession warning line.
Thank you Georg, will try it out!!!
Andreas
Hi Georg, Hi All,
Got a video on GDP and Inflation and how it affects you trading strats.
https://www.youtube.com/watch?v=IKnBslUboQ0
Have not tested the Data Georg yet, but I am convinced that if you time GDP and Inflation and the fed right, it can add
alpha to your modells.
Cool would really be, if we get a service which is as near time as possible, I would spend 50 Bucks for this a month.
Hedgeye has this, but would be great if I could support that adventure even more…
Best Regards
Andreas
Andreas,
50 bucks a month? Are you kidding?
I pay over $1000 a month for Reuters Eikon and it doesnt even have this index!
I think what Georg is doing is great for the P123 community.
Regards
James
James,
From what I understand is, that https://imarketsignals.com/bci/ (Georgs Service) does cost nothing so far.
So my aim was to give Georg the understanding, that I would love to pay for a service like this in the future to him instead to hedgeye.
The equivalent Service from hedgeye.com is 37$ a Month and they nearcast GDP and Inflation, therefore my price sugestion.
I am fine with the hedgeye service, just wanted to give a hint to Georg, that there might be a good opportunity (could
be incooperated in a R2G).
Best Regards
Andreas
Andreas,
I just checked and confirms that imarketsignals if not a free service for all of it lists. It is not expensive and cost only $80 per month for Gold membership. You can check the link for the coverage of its services.
Regards
James
https://imarketsignals.com/pmp/levels/
Hi James, got it 
Best Regards
Andreas
Georg,
I don’t really agree with the signal but the Invesco Russell Dynamic Multfactor ETF (OMFL) just rotated to a “contraction” mode last Fri and subsequently moved the majorty of its assets to focus on quality, low volatility and momentum from the “recovery” mode (since September 2019) that overweights on pro-cyclical factors such as value and size.
The rotation is ruled-based (with no human influence) and apparently due to a combination of the US Leading Indicator (LEI) staying below its long term trend and global risk appetite decelerating.
Pls share with us what the leading indicators at IMarketSignals are showing right now and whether the US economy is in fact heading for a contraction.
Regards
James
James, please wait to Feb-20 when the Conference Boars LEI will be updated. So far no recession indicator that I am aware of is signaling recession. But things may change fast, especially with the corona virus’ impact on the economy not accounted so far.
However, Dr. Ed Yardeni, monitoring the key indicators, has this conclusion:
The markets must figure that the coronavirus outbreak will be contained soon and go into remission, as did SARS, MERS, and Ebola. If that doesn’t happen, then there will be a vaccine that will make us feel better. It won’t be a miracle cure coming from a drug company. Rather, it will be injections of more liquidity into the global financial markets by the major central banks.
As long as the fed injects liquidity the market won’t care. The real concern is inflation surprise. Then the Fed will be stuck between easing into higher inflation or tightening into a recession. An inflation surprise is a real possibility if supply chains become disrupted enough.
Looks as if inflation is trending higher. Estimates are based on trend.
CPI … … Month … %change
Level … … … … … for year
256.759 … for Sep … 1.711
257.346 … for Oct … 1.764
257.208 … for Nov … 2.051
256.970 … for Dec … 2.284
257.971 … for Jan … 2.487
259.973 … estim Feb … 2.847
263.977 … estim Mar … 3.845
Robust Recession Forecasting With The Fed’s Brave-Butters-Kelley Indexes ─ February 4, 2020 Update
https://seekingalpha.com/article/4321815-robust-recession-forecasting-feds-brave-butters-kelley-indexes-february-4-2020-update