[amibroker] Re: OT: Making $$ in today's Economic Crisis

["areehoi" <areehoi@xxxxxxxxx>]

Interesting and timely! I found the following AB formula covering this
subject:(This formula Involves the Fed Rate and Libor.)
Where would one get the Libor data.  I find that ^IRX (Yahoo symbol is
for the 13 week Tres Bill. How would one identify "Foreign( "H15_FF_O"
in the formula? 

"FedFund    = Foreign( "H15_FF_O","C" ); 
Plot(FedFund,"FED Fund Rate",colorBlue, styleLine); 
Libor1      = Foreign( "H15_ED_M1","C" ); 
Plot(Libor1,"Libor 1 Month",colorRed, styleLine); 
PerLin    = Param("Lineair Regr.", 15, 2, 200, 1, 10 ); 
Plot( LinearReg( Libor1-FedFund, PerLin ), _DEFAULT_NAME(), ParamColor
       ( "Color Lineair Regr.", colorCycle ), ParamStyle("Style")); 

function HullMaFunction( P, Periods, Delay ) 
{ 
   X = 2 * WMA(P,round(Periods/2)) - WMA(P,Periods); 
   HullMA = WMA(X,round(sqrt(Periods))); 
   HullMA = Ref(HullMA,-Delay); 
   return HullMa; 
} 

PerHull  = Param("Hull MA", 15, 2, 200, 0.2, 10 ); 
Delay    = Param("Delay", 0, -100, 100, 1 ); 
HullMA   = HullMaFunction( Libor1-FedFund, PerHull, Delay ); 
Plot( HullMA, "Hull Moving Average (2LR)", ParamColor( "Color Hull
MA", colorCycle ),ParamStyle("Style") );"



Dick H


--- In amibroker@xxxxxxxxxxxxxxx, "Tim" <raven4ns@xxx> wrote:
>
> That is correct TJ. Here is some additional discussion on the TED
> spread. 
> http://events.startcast.com/events/199/B0002/code/eventframe.asp . Mr.
> Coxe is the Global Portfolio strategist for Bank of Montreal Financial
> Group. He gives more background on the TED and it's implications.
> 
> Best regards,
> 
> Tim
>



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