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You're welcome. Rest assured I didn't figure out the numbers myself :)
Essence is that NORMSDIST is an integral that cannot be coded in AB.
HAS is a polynomial that does a very good approximation.
A while ago I submitted to TJ suggestion to include NORMSDIST and
NORMSINV (its inverse) as native AB functions. These are essential
functions for any statistical approach.
I don't know how Tomasz would code 'm, but in any case it would speed
up things, I assume. So far no luck.
So Sebastian, or anyone using these functions, feel free to endorse
this effort by submitting a similar request at the feedback center.
http://www.amibroker.com/feedback/
Thanks :)
-treliff
--- In amibroker@xxxxxxxxxxxxxxx, "sebastiandanconia"
<sebastiandanconia@xxx> wrote:
>
>
> A sincere thank-you for the response, I know it's a pretty arcane
> subject. This is the nearly unintelligible math part I was talking
> about when I said in a subsequent post that I didn't realize how
much I
> was asking for, LOL! I don't understand this enough to apply it to
> what I want to do. I assume it's just a formula where I plug in the
> values, but the "where", "how" and "why" plumb evade me.:) I'll
work
> on it, though.
>
>
>
> Luck
>
> Sebastian
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "treliff" <treliff@> wrote:
> >
> > Sebastian,
> >
> > The HAS function below (based on Hasting's polynomial
approximation)
> > gives 7-decimal accuracy of NORMSDIST.
> >
> > function t(x)
> > { return 1 / (1+0.2316419*x); }
> >
> > function HAS(x)
> > { return 1 - (exp(-0.5*x^2)/sqrt(2*3.141592654))*(0.31938153*t(x)-
> > 0.356563782*t(x)^2+1.781477937*t(x)^3-1.821255978*t(x)
> > ^4+1.330274429*t(x)^5); }
> >
> > -treliff
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "sebastiandanconia"
> > sebastiandanconia@ wrote:
> > >
> > >
> > > 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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