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



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Sebastian,

Any chance of a reference to the Wright source(s) or better still a 
doc of the relevant page or chapter?

Brian.


--- In amibroker@xxxxxxxxxxxxxxx, "sebastiandanconia" 
<sebastiandanconia@xxx> wrote:
>
> 
> Thanks for the response, but I've already put together an indicator
> based on your idea.  It looks just like a regular yield spread (10-
Year
> yield minus 3-month yield), only with the zero line adjusted for 
the Fed
> Funds rate as per the Wright Model formula.
> 
> The problem is that at the 50% probability level (the zero line on 
the
> indicator) there are too many false-positive signals, it's not 
until the
> probability gets up into the mid-60% range that recession becomes a 
real
> threat.  That's why I'd like to be able to calculate the actual
> probability percentages.
> 
> In looking at the math more closely, though, I have to say that I
> honestly didn't understand how difficult a problem this was when I 
asked
> for assistance.  I assumed that it was just a question of combining 
the
> two formulas I provided and I just needed a little conceptual help 
to
> get over the hump, but it's far more involved and I know now that 
it was
> too much to ask.
> 
> There are two simpler workarounds, though.  One, calculate the
> probabilities in Excel, import them into AB as a fake ticker and 
refer
> to them using Foreign() when creating buy/sell rules.  And two, 
optimize
> the zero line or the levels on the indicator I already have.
> 
> 
> 
> Luck,
> 
> Sebastian
> 
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "Ton Sieverding" <ton.sieverding@>
> wrote:
> >
> > Sorry for the Dutch language Sebastian but this is more or less 
how I
> see it. Perhaps something for an AFL formula. On the Y-axis the
> difference between 10 Year Treasury and 3 month T-Bill. On the X-
axis
> the FED rate. Plots above the blue line have a probability of less 
than
> 50% and below the blue line are higher than 50%. Of course you can 
try
> to calculate the probability of a recession but ...
> >
> > Ton.
> >
> >
> >
> >
> > ----- Original Message -----
> > From: sebastiandanconia
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Wednesday, February 07, 2007 7:20 PM
> > Subject: [amibroker] Need some math help to code NORMSDIST into 
AB.
> >
> >
> >
> > 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
> >
>



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