[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,

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