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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 );
>
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