We cleaned up things related to accessing and using times series. The main changes are the following:
You no longer need to use GetSeries, like Close(0,GetSeries(“$VIX”)). You can now simply say: Close(0,$VIX). Both ways are supported.
Several FRED series were added like 3Mo T-bill, Prime rate, etc.
Reorganized the Rule Reference
More FRED series will be added to match the Macro Charts. Let us know if there others that need to be added.
Thanks.
Here’s a list of all changes related to series:
All series id’s are now found in the folder TIME SERIES in the rule reference
The frequency of series varies (like daily, weekly,etc). You will find that in the description of each series
Examples have been added in the Rule reference
We added several macro series from FRED. We only added FRED series that are not revised.
We moved all economic data from Compustat to a folder “Compustat Macro - TO BE DEPRECATED”. Please try to transition to other series
We will soon add access to the series that have revisions (like Unemployement) within rules.
We will also be deprecating #TNX, a strange daily time series of the 10Y Note that needs to be divided by 10 to get the conventional rate (yesterday’s value is 23.31). If you use #TNX, please use ##UST10YR. If you are not sure what to do, let us know.
I am using #UNEMP and #HOUSE and it would really annoy me if they are not replaced by another source.
Using moving averages limit the bias of revisions.
When will series “to be deprecated” be discontinued?
Edit:
if we could get the VIX:VXV ratio, it may be interesting
For July 1:
Yahoo Finance: CBOE Interest Rate 10 Year T No (^TNX) close = 2.42%
FRED: 10-Year Treasury Constant Maturity Rate = 2.43%
U.S. Department of the Treasury: 10-yr Daily Treasury Yield Curve Rate= 2.43
For June30:
For July 1:
Yahoo Finance: CBOE Interest Rate 10 Year T No (^TNX) close = 2.34%
FRED: 10-Year Treasury Constant Maturity Rate = 2.35%
U.S. Department of the Treasury: 10-yr Daily Treasury Yield Curve Rate= 2.35
Thank you, geov. I can see that #tnx is the 10 year T-note quote and ##ust10yr is the 10 year constant maturity. They are of course similar but not the same. Both series are valuable.
Here is the data in p123’s database for the two variables during the last two weeks:
Any update on the addition of new FRED series for rules? Or perhaps simply allow a rule to access a ‘Rank of Binary Signals’ series from a particular macro chart?
ALFRED (historical FRED) series are point in time. Only our MACRO CHART can handle them for now. The MACRO chart is it’s own , self contained software module. We need to add support in the simulation engines.
It’s on the to-do list but it has been pushed aside several times because simply adding it to the current sim engines would only simulate from 1999. However we have data going back much further, so it doesn’t make sense to constrain it to the limitations of the simulation engines ( limited by the Compustat license ).
2-3 hours of analysis convinces me that some of the FRED time series that are not available to rules would likely be very helpful for market timing. Any update on making them available?
P123 Team, More than 2 years ago you made some FRED data available to rules.
When can we expect the remaining FRED point-in-time data, like unemployment rate, etc. to become available for rules as well?
You said: “It’s on the to-do list but it has been pushed aside several times because simply adding it to the current sim engines would only simulate from 1999. However we have data going back much further, so it doesn’t make sense to constrain it to the limitations of the simulation engines ( limited by the Compustat license ).”
Does the new 15 year data limit affect this in anyway? Should not be a problem since one would probably only use it with ETFs.