Comparing returns
Overview Using analysis and formulas compare aggregated returns for different periods of time. Examples Comparing returns for S&P500 Let’s compare cumulated returns for S&P 500 starting on two different dates.
Tag: analyses
Golden Cross pattern
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 Golden Cross for S&P500 Here we have calculated Golden Cross for S&P 500 series.
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 Rikshog See previous market expectation for Sweden’s Policy Rate (prev. Repo Rate). 10-year US bond yield 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 MACD – simple and exponential 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 Election time Let’s see how USD per EUR exchange rate looks like around US presidential elections. Rate is going up How to find specific turning points in … Continue reading “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 Months’ mean for 10 years There are a few ways to calculate months’ mean – in this file you can compare them. File presents method … Continue reading “Months’ mean”
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 Recession bands with formulas Combine analysis and formulas to calculate … Continue reading “Recession bands (with formulas)”
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 Drawdown – historical drawdown Historical drawdown from each peak to bottom. Our drawdown() formula is defined as 100*(peak – value)/peak. Drawdown – as a number or percentage From … Continue reading “Drawdown”
Forward Swaps & 5y5y
Overview Calculate swaps with Zero coupon rate analysis and/or with formulas. Examples Forward swaps SEK Calculate from SEK swap rates (1 year-10 year) from SEB (Skandinaviska Enskilda Banken). Forward swaps EUR Calculate from EUR swap rates (1 year-10 year) from SEB (Skandinaviska Enskilda Banken). Euro Area & US 5Y5Y Inflation Swap Rate (requires ICAP) With … Continue reading “Forward Swaps & 5y5y”
Diffusion Index
Overview Creating a diffusion index with a combination of analyses and formulas. Examples Diffusion index – 50 as a base Check general tendency of a selection of series with value ’50’ as a base. Diffusion index – number or percentage (with Lists) See the number/percentage of countries with rising unemployment.