Yen Carry Composite Index + Macro Flow Gauge

What This Indicator Does

This chart visualizes the strength, trend, and macro conditions supporting or weakening the yen carry trade a strategy where investors borrow in low yielding yen to invest in higher yielding assets

How It Works: Core Components
Composite Index (Blue Line):

A weighted blend of z-scores from:
USD/JPY (strength of USD vs JPY)
10Y yield spread (US – Japan)
AUD/JPY (risk proxy for carry appetite)
VIX (global risk sentiment, inverted)

Z-scores normalize each input to show how far it deviates from recent history (not raw values).

Positive composite trend ⬅️ strong carry environment
Negative composite trend ➡️ signs of unwind or stress

Individual Z-Score Lines:

🟥 USD/JPY
🟩 Yield Spread (US10Y − JP10Y)
🟪 FX Proxy (AUD/JPY)
🟦 VIX (risk sentiment)

Threshold Lines & Signal Markers:

Green 🟢⬅️🟢🟢 “carry active” threshold (+1.5 std dev)
Red dashed line 🔴➡️🔴🔴→ “carry unwind risk” (−1.5 std dev)

Carry Trade Strength Gauge (Horizontal Bar, Bottom-Right)https://www.tradingview.com/chart/YVbZwNez/
Slots:

🟢 = strong carry inflow conditions
⚪ = neutral midpoint
🔴 = outflow / unwind pressure

A directional arrow (⬅️ or ➡️) shows momentum:
➡️ = composite rising → improving carry environment
⬅️ = composite falling → deteriorating carry conditions

Arrow is placed at the current strength level, visually combining position + momentum

Labels “Inflows” and “Outflows” flank the bar for clarity


Use Case Summary

Macro risk overlay for JPY pairs, EM FX, bond carry strategies

Detect early unwind phases (e.g. if arrow ⬅️ appears in red zone)

Confirm entry/exit in directional JPY trades or expected liquidity to enter the markets