Hi Guys, How to retrieve current data from yahoo in excel and AFL? eg. ^TNX ^IRX ...
Thank you. --- In [email protected], "sebastiandanconia" <[EMAIL PROTECTED]> wrote: > > > This is a good plain-English description, and you can follow the links > to learn more. > > http://www.econbrowser.com/archives/2006/04/the_yield_curve.html > <http://www.econbrowser.com/archives/2006/04/the_yield_curve.html> > > Do you see the two equations on the page preceded by an "F"? In Excel, > if you plug in NORMSDIST for the "F" along with the values for the > spread and Fed Funds rate it will give you the probability, as in: > > =NORMSDIST(-2.17-.76*-.22+.35*5.25) > > Using current spread (^TNX-^IRX) and Fed Funds values the reading will > be 43.44%. > > > > S. > > > --- In [email protected], "brian.z123" <brian.z123@> wrote: > > > > Sebastian, > > > > Any chance of a reference to the Wright source(s) or better still a > > doc of the relevant page or chapter? > > > > Brian. > > > > > > --- In [email protected], "sebastiandanconia" > > sebastiandanconia@ wrote: > > > > > > > > > Thanks for the response, but I've already put together an indicator > > > based on your idea. It looks just like a regular yield spread (10- > > Year > > > yield minus 3-month yield), only with the zero line adjusted for > > the Fed > > > Funds rate as per the Wright Model formula. > > > > > > The problem is that at the 50% probability level (the zero line on > > the > > > indicator) there are too many false-positive signals, it's not > > until the > > > probability gets up into the mid-60% range that recession becomes a > > real > > > threat. That's why I'd like to be able to calculate the actual > > > probability percentages. > > > > > > In looking at the math more closely, though, I have to say that I > > > honestly didn't understand how difficult a problem this was when I > > asked > > > for assistance. I assumed that it was just a question of combining > > the > > > two formulas I provided and I just needed a little conceptual help > > to > > > get over the hump, but it's far more involved and I know now that > > it was > > > too much to ask. > > > > > > There are two simpler workarounds, though. One, calculate the > > > probabilities in Excel, import them into AB as a fake ticker and > > refer > > > to them using Foreign() when creating buy/sell rules. And two, > > optimize > > > the zero line or the levels on the indicator I already have. > > > > > > > > > > > > Luck, > > > > > > Sebastian > > > > > > > > > --- In [email protected], "Ton Sieverding" <ton.sieverding@> > > > wrote: > > > > > > > > Sorry for the Dutch language Sebastian but this is more or less > > how I > > > see it. Perhaps something for an AFL formula. On the Y-axis the > > > difference between 10 Year Treasury and 3 month T-Bill. On the X- > > axis > > > the FED rate. Plots above the blue line have a probability of less > > than > > > 50% and below the blue line are higher than 50%. Of course you can > > try > > > to calculate the probability of a recession but ... > > > > > > > > Ton. > > > > > > > > > > > > > > > > > > > > ----- Original Message ----- > > > > From: sebastiandanconia > > > > To: [email protected] > > > > Sent: Wednesday, February 07, 2007 7:20 PM > > > > Subject: [amibroker] Need some math help to code NORMSDIST into > > AB. > > > > > > > > > > > > > > > > I came across what I consider to be a valuable stock > > market/economic > > > indicator, the Wright Model "B" yield-curve indicator. Using this > > > formula in Excel: > > > > > > > > Probability = NORMSDIST(-2.17 - 0.76 x S + 0.35 x R) > > > > > > > > where "S" is the spread (10-Year Treasury yield minus 3-month T- > > Bill > > > yield) and "R" is the Fed Funds rate, it gives the probability of > > > economic recession within the next 4 quarters. (Only about 44% right > > > now, so there's some good news. I envision using this as a market- > > exit > > > indicator, warning when conditions are about to turn really ugly for > > > both the stock market and the economy. ) > > > > > > > > This formula: > > > > > > > > Z(x) = (1/(sqrt(2*pi()))*exp(-x^2/2)) > > > > > > > > appears to be the actual math represented by the NORMSDIST > > function. I > > > believe AB supports all the operations in this formula. > > > > > > > > My problem is that I'm not math-savvy enough to make the leap from > > > here to turn this into a complete AB formula. I don't know what > > > operation the NORMSDIST formula performs on the Wright Model part, I > > > don't know what the "x" variable is supposed to be...there's no end > > to > > > what I don't know.:) > > > > > > > > Any help from my superiors in the math field (undoubtedly a VERY > > large > > > club) would be greatly appreciated. > > > > > > > > > > > > > > > > Luck to all, > > > > > > > > Sebastian > > > > > > > > > >
