The Chicago Fed National Activity Index is a weighted average of 85 monthly series covering production, employment, consumption and sales. Zero is trend growth; the three-month average is the version the Chicago Fed uses for recession signals.

Threshold source: Chicago Fed: a three-month average below −0.70 after an expansion has signalled every recession since 1967. How thresholds are chosen

Published with a one-month lag and revised as its inputs are revised. The −0.70 rule has produced signals late in recessions rather than before them.