But, is there an excel function I can use to retrieve data from yahoo server? and where can I find excel OLE ref/guide? I tried some website, but most just show basic samples.
--- In [email protected], "sebastiandanconia" <[EMAIL PROTECTED]> wrote: > > > You can bring ^TNX and ^IRX into AB directly, just download them like > any other stock symbol. With Excel, just go to Yahoo!, type in ^TNX or > ^IRX into a quote box and follow the link to historical data. At the > bottom of that page of historical quotes there's an option that will > allow you to download the data into a spreadsheet, and you go from > there. > > > > S. > > > > > > > --- In [email protected], "eric tao" <erichtao@> wrote: > > > > Hi Guys, > > > > How to retrieve current data from yahoo in excel and AFL? > > eg. > > ^TNX ^IRX ... > > > > Thank you. > > > > --- In [email protected], "sebastiandanconia" > > sebastiandanconia@ 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 > > > > > > > > > > > > > > > > > > > > >
