|
PureBytes Links
Trading Reference Links
|
Sebastian,
Thanks for pulling this all together.
Is the Fed Fund file in question the "Treasury Constant Maturities"
data file provided at the following address?
http://www.federalreserve.gov/datadownload/Choose.aspx?rel=H.15
Thanks,
Wayne
--- 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: 268.17.35/680 - Release Date: 2/10/2007 9:15 PM
|