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Wayne, I use the Fed Funds data from here:
http://www.federalreserve.gov/RELEASES/h15/data/Weekly_Wednesday_/H15_FF\
_O.txt
<http://www.federalreserve.gov/RELEASES/h15/data/Weekly_Wednesday_/H15_F\
F_O.txt>
and the ^TNX-^IRX from Yahoo! for convenience more than anything else,
but any data source that represents the T-bill, 10-Year Treasury and Fed
Funds rates should work. I think the model is pretty "robust" (not
prone to minor data errors), and I used long EMAs to smooth it about
like Wright did in his original research.
S.
--- In amibroker@xxxxxxxxxxxxxxx, "wlandry01" <wlandry01@xxx> wrote:
>
> 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@ 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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