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Thanks,
As you probably know I am taking an interest in all things quant.
I presume you are OK with standard Z scores etc?
Treliff
Thanks for the HAS function - good stuff.
Re Ami's maths capabilities.
I am sitting on the fence, not having enough experience to decide.
I do want the analytical powers of Xcel or possibly more and wonder
should they be inside of AB or outside?
I wonder if it is a bit like fdata, with such a wide range of
possibilities and applications that it is better to just leave a
flexible arrangement so that users can customise or put it all into
AB in a one stop shop approach.
I empathise with you in the desire for some more maths grunt though.
Brian.
--- In amibroker@xxxxxxxxxxxxxxx, "sebastiandanconia"
<sebastiandanconia@xxx> wrote:
>
>
> This is a good plain-English description, and you can follow the
links
> to learn more.
>
> http://www.econbrowser.com/archives/2006/04/the_yield_curve.html
> <http://www.econbrowser.com/archives/2006/04/the_yield_curve.html>
>
> Do you see the two equations on the page preceded by an "F"? In
Excel,
> if you plug in NORMSDIST for the "F" along with the values for the
> spread and Fed Funds rate it will give you the probability, as in:
>
> =NORMSDIST(-2.17-.76*-.22+.35*5.25)
>
> Using current spread (^TNX-^IRX) and Fed Funds values the reading
will
> be 43.44%.
>
>
>
> S.
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian.z123" <brian.z123@> wrote:
> >
> > 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@ 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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