wehub-resource-sync
105 lines
2.8 KiB
YAML
105 lines
2.8 KiB
YAML
# ML4T Macro Data Configuration
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# ============================
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# Macro indicators for regime filtering and cross-asset analysis
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# FRED provider (requires free FRED_API_KEY)
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#
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# Products: Treasury yields, rates, volatility, labor, inflation, growth
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# Date range: 2000-01-01 to 2025-12-31 (26 years)
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# Estimated cost: Free (requires FRED API key from https://fred.stlouisfed.org)
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#
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# Usage:
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# from ml4t.data.macro.downloader import MacroDataManager
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#
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# # Initialize with config
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# manager = MacroDataManager.from_config("config/macro.yaml")
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#
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# # Download all data
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# manager.download_treasury_yields()
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#
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# # Load data for analysis
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# yields = manager.load_treasury_yields()
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macro:
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provider: fred
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start: '2000-01-01'
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end: '2025-12-31'
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storage_path: macro
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generate_profile: true
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outputs:
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aligned_file: fred_macro.parquet
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raw_file: fred_macro_raw.parquet
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metadata_file: fred_macro_metadata.parquet
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series:
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daily:
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description: "Daily rates and volatility indicators"
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symbols:
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- DFF
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- DGS1
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- DGS2
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- DGS3
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- DGS5
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- DGS7
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- DGS10
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- DGS20
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- DGS30
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- T10Y2Y
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- VIXCLS
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weekly:
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description: "Weekly labor and Federal Reserve balance sheet indicators"
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symbols:
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- ICSA
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- WALCL
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monthly:
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description: "Monthly inflation, labor, production, and money supply indicators"
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symbols:
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- CPIAUCSL
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- CPILFESL
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- PCEPI
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- UNRATE
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- PAYEMS
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- CIVPART
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- INDPRO
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- M2SL
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quarterly:
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description: "Quarterly growth indicators"
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symbols:
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- GDP
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- GDPC1
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descriptions:
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DFF: "Fed Funds Rate"
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DGS1: "1-Year Treasury Constant Maturity"
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DGS2: "2-Year Treasury Constant Maturity"
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DGS3: "3-Year Treasury Constant Maturity"
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DGS5: "5-Year Treasury Constant Maturity"
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DGS7: "7-Year Treasury Constant Maturity"
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DGS10: "10-Year Treasury Constant Maturity"
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DGS20: "20-Year Treasury Constant Maturity"
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DGS30: "30-Year Treasury Constant Maturity"
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T10Y2Y: "10Y-2Y Treasury spread"
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VIXCLS: "VIX Volatility Index"
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ICSA: "Initial Jobless Claims"
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WALCL: "Fed Balance Sheet"
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CPIAUCSL: "CPI All Urban Consumers"
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CPILFESL: "Core CPI"
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PCEPI: "PCE Price Index"
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UNRATE: "Unemployment Rate"
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PAYEMS: "Non-Farm Payrolls"
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CIVPART: "Labor Force Participation"
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INDPRO: "Industrial Production"
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M2SL: "M2 Money Stock"
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GDP: "Nominal GDP"
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GDPC1: "Real GDP"
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derived:
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- name: YIELD_CURVE_SLOPE
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formula: DGS10 - DGS2
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description: "10Y-2Y spread for regime detection (>0.5% = risk-on)"
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- name: YIELD_CURVE_5_10
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formula: DGS10 - DGS5
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description: "10Y-5Y spread for additional regime context"
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