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

[amibroker] Re: Collaborative success on NORMSDIST(), here's the completed code.



PureBytes Links

Trading Reference Links

Sebastian, I happened to pick up your earlier msg. Appreciate the 
Wright explanation. If this indicator can liberate me from Fed- and 
interest rate-talk for good I'd be eternally obliged :) I'll download 
some data and check it out, it's interesting.

The Wright concept reminds me somewhat of a piece called Sign of the 
Bear that received the 2001 Dow award. But more TA oriented if I 
remember. Just in case here's the link:

https://www.mta.org/EWEB/docs/2001DowAwarda.pdf

I did "polish" the code a bit, this may clarify the use of custom HAS 
function.

// code start

// First define HAS function

function t(x)
{ return 1 / (1+0.2316419*x); }

function HASpre(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); }

function HAS(x)
{ return IIf(x<-6, 0, IIf(x>6, 1, IIf( x>0, HASpre(x), 1 - HASpre(-
x)))) ; }

// Now once HAS function is defined use it like any normal AB function

SetBarsRequired( 100000, 100000 );

FedFunds=EMA(Foreign("^FedFundsWkly","C",1),12);

TNX=EMA(Foreign("^TNX","C",1),60);

IRX=EMA(Foreign("^IRX","C",1),60);

Spread= TNX - IRX;

WrightModelA = 0.28 - 0.74*Spread ;

WrightModelB = -2.17 - 0.76*Spread + 0.35*FedFunds ;

Plot( HAS(WrightModelA), "WrightModA", colorRed );
Plot( HAS(WrightModelB), "WrightModB", colorBlue );

// code end

-treliff


--- In amibroker@xxxxxxxxxxxxxxx, "sebastiandanconia" 
<sebastiandanconia@xxx> wrote:
>
> 
> The data inputs ^TNX and ^IRX can be pulled in from Yahoo! as normal
> symbols, but you will have to get weekly Fed Funds data (available 
for
> free online from the Federal Reserve, a Google search on Fed Funds
> historical data should get you there).  Save as a csv. file and 
import
> into AB.
> 
> 
> 
> Sebastian
> 
> 
> 
> SetBarsRequired( 100000, 100000 );
> 
> FedFunds=EMA(Foreign("^FedFundsWkly","C",1),12);
> 
> TNX=EMA(Foreign("^TNX","C",1),60);
> 
> IRX=EMA(Foreign("^IRX","C",1),60);
> 
> Spread= TNX-IRX;
> 
> x=-2.17-0.76*Spread+0.35*FedFunds;
> 
> Tx=1/(1+0.2316419*x);
> 
> HASx=1-(exp(-0.5*x^2)/sqrt(2*3.141592654))*(0.31938153*Tx-
0.356563782*Tx\
> ^2+1.781477937*Tx^3-1.821255978*Tx^4+1.330274429*Tx^5);
> 
> function t(x)
> 
> { return 1 / (1+0.2316419*x); }
> 
> function HASpre(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); }
> 
> function HAS(x)
> 
> { return IIf(x<-6, 0, IIf(x>6, 1, IIf( x>0, HASpre(x), 1 - HASpre(-
> 
> x)))) ; }
> 
> Plot( HAS(x), "Trend line", colorBlue );
>



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