[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

[amibroker] Need some math help to code NORMSDIST into AB.



PureBytes Links

Trading Reference Links

I came across what I consider to be a valuable stock market/economic
indicator, the Wright Model "B" yield-curve indicator.  Using this
formula in Excel:


Probability = NORMSDIST(-2.17 - 0.76 x S + 0.35 x R)

where "S" is the spread (10-Year Treasury yield minus 3-month T-Bill
yield) and "R" is the Fed Funds rate, it gives the probability of
economic recession within the next 4 quarters.  (Only about 44% right
now, so there's some good news.  I envision using this as a market-exit 
indicator, warning when conditions are about to turn really ugly for
both the stock market and the economy. )

This formula:


Z(x) = (1/(sqrt(2*pi()))*exp(-x^2/2))

appears to be the actual math represented by the NORMSDIST function.  I
believe AB supports all the operations in this formula.

My problem is that I'm not math-savvy enough to make the leap from here
to turn this into a complete AB formula.   I don't know what operation
the NORMSDIST formula performs on the Wright Model part, I don't know
what the "x" variable is supposed to be...there's no end to what I don't
know.:)

Any help from my superiors in the math field (undoubtedly a VERY large
club) would be greatly appreciated.



Luck to all,

Sebastian










Content-Description: "AVG certification"
No virus found in this incoming message.
Checked by AVG Free Edition.
Version: 7.5.432 / Virus Database: 268.17.30/674 - Release Date: 2/7/2007 3:33 PM