|
PureBytes Links
Trading Reference Links
|
Treliff, am I doing something wrong or does HAS have a weakness with
limits? NORMSDIST() only generates probabilities between 0% and 100%,
but HAS is generating numbers outside of that range and some of them are
clearly wrong. (Mathematically correct, I'm sure, but clearly wrong in
terms of what it's supposed to be indicating. )
Luck,
Sebastian
--- In amibroker@xxxxxxxxxxxxxxx, "treliff" <treliff@xxx> wrote:
>
> 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@ 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
> > > >
> > >
> >
>
Content-Description: "AVG certification"
No virus found in this incoming message.
Checked by AVG Free Edition.
Version: 7.5.441 / Virus Database: 268.17.34/679 - Release Date: 2/10/2007 4:08 PM
|