Overview
Using analysis and formulas calculate when Golden Cross pattern appears in a series and how long the periods between Golden Cross and Death Cross are.
Examples
Here we have calculated Golden Cross for S&P 500 series.
Category: Mix analyses & formulas
Previous market expectations (Hedgehog chart)
Overview
Due to its nature (many shorter series with one long) chart showing previous market expectations sometimes resembles a hedgehog.
Examples
See previous market expectation for Sweden's Policy Rate (prev. Repo Rate).
Using custom formula we have created market expectations lines.
Moving average convergence/divergence (MACD)
Overview
Our built-in formulas:
SMACD(series, short, long, signal)
FMACD(series, short, long)
utilizes the exponential method. The simple one can be replicated using difference in arithmetic means.
Example
Comparison of two methods of calculating Moving average convergence/divergence (MACD).
Absolute change
Overview
Calculating absolute change (new value − reference value), other than a simple subtraction, can be used to show how the series evolves around specific reference points.
Examples
Let's see how USD per EUR exchange rate looks like around US presidential elections.
How to find specific turning points in a series and then use those points to calculate absolute change.
Months’ mean
Overview
Macrobond has easy-to-use tools for calculating rolling mean, but what to do when you want to calculate mean from all Januaries, Februaries, etc.? See below for a solution.
Example
There are a few ways to calculate months' mean - in this file you can compare them. File presents method with outcomes as a category series or time series.
Recession bands (with formulas)
Overview
We have a Recession bands (Fill range) functionality with pre-made bands of different types. You can also set 0/1 series as Fill range graph type in Graph layout. Below you will find an example how to create recession band from a 'normal' series.
Examples
Combine analysis and formulas to calculate 2 consecutive quarters of decline and turn series into recession band.
Drawdown
Overview
You can calculate Drawdown with the Drawdown formula. There are ways of constructing it differently to fit your desired output – please see examples below.
Examples
Historical drawdown from each peak to bottom. Our drawdown() formula is defined as 100*(peak - value)/peak.
From our formula Drawdown() the outcome is in percentage. Here we change it into a number.
See how to calculate length of a simple drawdown and length of drawdown from certain value to local peak.
Calculate maximum value for each year including current one.
See drawdowns, but only when there is a recession.
Forward Swaps & 5y5y
Overview
Calculate swaps with Zero coupon rate analysis and/or with formulas.
Examples
Calculate from SEK swap rates (1 year-10 year) from SEB (Skandinaviska Enskilda Banken).
Calculate from EUR swap rates (1 year-10 year) from SEB (Skandinaviska Enskilda Banken).
With formulas calculate 5y5y from inflation swaps for EUR and USD. This chart requires series from ICAP database which is outside core package.
EUR 5y5y Forward Inflation Swap - Bloomberg Method (requires ICAP)
With formulas calculate 5y5y from inflation swaps for EUR. Method used here is based on Bloomberg's method of calculating 5y5y. This chart requires series from ICAP database which is outside core package.
Diffusion Index
Overview
Creating a diffusion index with a combination of analyses and formulas.
Examples
Check general tendency of a selection of series with value '50' as a base.
See the number/percentage of countries with rising unemployment.
Futures (connecting them into curve)
Overview
See below examples how to connect Position-series with each other, creating a curve. Then it can be connected to the main-series.
Examples
Create curve, but only from 1st Position to 24th Position series.
Create curve from all Position series - for current date and for 1 year before.
Create curve for Gas futures and connect it to 1st Position series.
Create futures curve for a currency (latest and selected date).
Create futures curve for a currency (latest and selected date). It's the same file as above but currency is flipped from USD/ILS to ILS/USD.
Create Yield curve (with analysis) or through formulas & analyses.