tag:blogger.com,1999:blog-59025742583065471432024-03-12T21:09:06.830-07:00Shifting sandsA man with a hammerPetehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.comBlogger57125tag:blogger.com,1999:blog-5902574258306547143.post-51030965607804262822016-01-07T00:53:00.000-08:002016-01-07T00:53:51.725-08:00Streaming OANDA with python and ZeroMQ<div class="MsoNormal">
I have been looking at its REST API for OANDA, for potential
use with an FX trading system I developed. <o:p></o:p></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
The API has two streaming <a href="http://developer.oanda.com/rest-live/streaming/" target="_blank">endpoints</a>, one for prices and one
for account events such as trades opening and stuff like that. <span style="mso-spacerun: yes;"> </span><o:p></o:p></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
Asynchronous IO is always a bit fiddly, and I wanted separate
processes for incoming tick data and events. This enables them to be managed
separately, and generally makes handling disconnects or other errors a bit
cleaner.</div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
If you try and mash your various feeds, trade
identification, trade management, logging, accounting etc all into one big
process it gets a bit messy and convoluted. Sometimes you don’t have a choice due to the
API available, but thankfully in this case it’s easy to separate everything out.</div>
<div class="MsoNormal">
<o:p></o:p></div>
<div class="MsoNormal">
<br /></div>
<h3>
Details</h3>
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<!--StartFragment-->
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
I use the <a href="http://docs.python-requests.org/en/latest/" target="_blank">requests</a> library for streaming from OANDA, and <a href="http://zeromq.org/" target="_blank">ZeroMQ</a> endpoints with the pub/sub pattern for passing data to the client(s).<o:p></o:p></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
Conceptually, it looks like this:<o:p></o:p></div>
<div class="MsoNormal">
<br /></div>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh5V-x-N8pix4TjW5k6oiM2duPjbyUk1-EVrp3ybcizHc_B4Yx0YWaONxjyw0Vbb6QpR8RCDQL-NukpM7-7bPEgRY3suzLzizBFc39hA8THbIrqQyRr4zHKrmPLD8I3cizqkzDLOJDtq7o/s1600/zmqstream.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="320" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh5V-x-N8pix4TjW5k6oiM2duPjbyUk1-EVrp3ybcizHc_B4Yx0YWaONxjyw0Vbb6QpR8RCDQL-NukpM7-7bPEgRY3suzLzizBFc39hA8THbIrqQyRr4zHKrmPLD8I3cizqkzDLOJDtq7o/s320/zmqstream.png" width="252" /></a></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
The prices feed connects to the OANDA prices endpoint, and
publishes what it receives to a ZeroMQ socket. Likewise, the events feed does
the same, publishing to another zmq socket. <o:p></o:p></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
The client connects to the respective sockets and subscribes
to its feeds, and can do whatever is required with the data it receives. You
are not limited to one client subscriber either. <o:p></o:p></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
I use JSON as the serialization format, as it arrives from
OANDA. No real point in deserializing JSON to an object, then immediately serializing
that with pickle or something for transport with zeromq. Your needs may differ
of course. <o:p></o:p></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
All up, a pretty painless process. <o:p></o:p></div>
<div class="MsoNormal">
<br /></div>
<h3>
Code</h3>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
The single file of code (<a href="https://github.com/petewerner/oanda/blob/master/stream.py" target="_blank">here</a>) is the prices feed, events feed and
client that just prints out what it receives. Just run it separately three times, passing
either prices, events or client as a single argument. You will also need to
fill in your OANDA details as well. <o:p></o:p></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
I use a 10 second timeout for the prices feed, and a 20
second timeout for the events feed, as per OANDAs recommendations. The feed
streams will print heartbeats but not publish them to clients. <o:p></o:p></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
Thanks for reading and let me know how you go.<o:p></o:p></div>
<!--EndFragment--></div>
Petehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.com14tag:blogger.com,1999:blog-5902574258306547143.post-4307299751154189692015-12-13T00:24:00.000-08:002015-12-13T00:24:12.862-08:00The Halloween effect with python and pandasThe Halloween effect, aka “sell in May and go away” is the observation that equity market returns tend to be worse over summer time in the northern hemisphere. Anyone who has followed markets for a while has probably noticed a distinct lull over the summer period.<br />
<br />
But can we quantify this effect, does it really exist? We can and it does, and it’s simple to show with less than 10 lines of python.<br />
<br />
<h3>
Methods and madness</h3>
<br />
We create a two column data frame, one column with the monthly return, and the other a dummy variable that is 1 for our hold months (October – May) and 0 for our sell months (June – September).<br />
<br />
Once we have created our dummy variable factor marking the events we wish to distinguish between, we do an OLS regression and look at the coefficient of our factor.<br />
<br />
If it is “significant”, we conclude there is a material difference between a factor being present and when it is not.<br />
<br />
If you are a commercial data scientist, you can use this same method to see if some key metric has actually changed after a marketing campaign or new release. This could be things like increasing user signups or revenue. Your dummy variable would be 0 before the campaign, and 1 afterwards.<br />
<br />
If we can show our campaign worked, we can tell our boss how great we are and not to forget all our hard work come bonus time. <br />
<br />
<h4>
</h4>
<h3>
Example</h3>
<br />
As an example, lets look at SPY from 1993 onwards. First we download the data from yahoo, and create a column of monthly returns. Then we code our dummy variable as described above and run the regression.<br />
<br />
Looking at the pandas OLS output, we see the following summary:<br />
<span style="font-size: x-small;"><br /></span>
<span style="font-family: Courier New, Courier, monospace; font-size: x-small;">#-----------------------Summary of Estimated Coefficients------------------------</span><br />
<span style="font-family: Courier New, Courier, monospace; font-size: x-small;"># Variable Coef Std Err t-stat p-value CI 2.5% CI 97.5%</span><br />
<span style="font-family: Courier New, Courier, monospace; font-size: x-small;">#--------------------------------------------------------------------------------</span><br />
<span style="font-family: Courier New, Courier, monospace; font-size: x-small;"># x 0.0141 0.0054 2.61 0.0096 0.0035 0.0246</span><br />
<span style="font-family: Courier New, Courier, monospace; font-size: x-small;"># intercept -0.0038 0.0044 -0.87 0.3869 -0.0124 0.0048</span><br />
<span style="font-family: Courier New, Courier, monospace; font-size: x-small;">#---------------------------------End of Summary---------------------------------</span><br />
<br />
Where x is our Halloween dummy variable with a p-value of 0.0096. Significant at any reasonable level. Take that EMH!<br />
<br />
Looking at the data, the average monthly return is -0.28% for summer, and +1.11% for the Halloween period.<br />
<br />
<h3>
</h3>
<h3>
End notes</h3>
<br />
For the Halloween effect, rather than looking at monthly returns, we should probably look at the differential of monthly return and risk free rate. There’s a fairly comprehensive paper with a good historical review available <a href="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2154873" target="_blank">here</a>.<br />
<br />
Also, there is a great and freely available book on working with time series data available <a href="https://www.otexts.org/fpp" target="_blank">here</a>, the examples are in R but should be pretty easy to follow along.<br />
<br />
Finally, code is up: <a href="https://github.com/petewerner/misc/blob/master/halloween.py" target="_blank">here</a><br />
<div>
<br /></div>
Petehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.com3tag:blogger.com,1999:blog-5902574258306547143.post-55976862720181502742015-05-11T22:35:00.000-07:002015-05-11T22:35:07.926-07:00Equity Ranking Backtest with Python/Pandas<div class="MsoNormal">
<span lang="EN-US">I have been look at equities a bit of late,
I am particularly interested in ranking a universe of equities for “low
frequency” manual trading on a weekly or monthly basis.</span></div>
<div class="MsoNormal">
<span lang="EN-US"><br /></span></div>
<div class="MsoNormal">
<span lang="EN-US">Every period I would rank each name on a
bunch of different factors, then invest in the highest ranked ones for that
month.</span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
I was initially working in R but the code
grew unwieldy, and I wanted a second opinion on my approach so took the time to
re implement it in python using Pandas.</div>
<div class="MsoNormal">
<span lang="EN-US"><br /></span></div>
<h3>
<span lang="EN-US">Setup</span></h3>
<div class="MsoNormal">
<span lang="EN-US"><br /></span></div>
<div class="MsoNormal">
<span lang="EN-US">For each symbol in our universe, we load
the raw data and generate the information used for ranking. If we have 5 names,
we end up with 5 dataframes.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">Then we combine those dataframes into one
big dataframe, and iterate through month by month, selecting the symbols that
meet our ranking criteria. From those selected, we equally weight and sum the next period returns.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">One thing that is really cool about the
pandas dataframe is that it allows multiple rows with the same index. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">This makes it easy to get the data for the
month under consideration. We just pass the month to index function and get the
subset of data for that month, e.g.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">>>> df.ix['2015-02']<o:p></o:p></span></div>
<div class="MsoNormal">
<span lang="EN-US"><span style="mso-spacerun: yes;"> </span>cpr<span style="mso-spacerun: yes;"> </span>npr<span style="mso-spacerun: yes;">
</span>avg<span style="mso-spacerun: yes;"> </span>over<span style="mso-spacerun: yes;"> </span>sym<o:p></o:p></span></div>
<div class="MsoNormal">
<span lang="EN-US">Date<span style="mso-spacerun: yes;">
</span><o:p></o:p></span></div>
<div class="MsoNormal">
<span lang="EN-US">2015-02-28<span style="mso-spacerun: yes;">
</span>0.043302 -0.062449 -0.038914<span style="mso-spacerun: yes;">
</span>False<span style="mso-spacerun: yes;"> </span>DBC<o:p></o:p></span></div>
<div class="MsoNormal">
<span lang="EN-US">2015-02-28 -0.025028<span style="mso-spacerun: yes;"> </span>0.008524<span style="mso-spacerun: yes;">
</span>0.006130<span style="mso-spacerun: yes;"> </span>True<span style="mso-spacerun: yes;"> </span>IEF<o:p></o:p></span></div>
<div class="MsoNormal">
<span lang="EN-US">2015-02-28<span style="mso-spacerun: yes;">
</span>0.056838 -0.014239<span style="mso-spacerun: yes;"> </span>0.005434<span style="mso-spacerun: yes;"> </span>True<span style="mso-spacerun: yes;">
</span>VEU<o:p></o:p></span></div>
<div class="MsoNormal">
<span lang="EN-US">2015-02-28 -0.037434<span style="mso-spacerun: yes;"> </span>0.017171<span style="mso-spacerun: yes;">
</span>0.015900<span style="mso-spacerun: yes;"> </span>True<span style="mso-spacerun: yes;"> </span>VNQ<o:p></o:p></span></div>
<div class="MsoNormal">
<span lang="EN-US">2015-02-28<span style="mso-spacerun: yes;">
</span>0.055832 -0.011697<span style="mso-spacerun: yes;"> </span>0.009236<span style="mso-spacerun: yes;"> </span>True<span style="mso-spacerun: yes;">
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<br /></div>
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<span lang="EN-US">[5 rows x 5 columns]<o:p></o:p></span></div>
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<span lang="EN-US">>>><o:p> </o:p></span></div>
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<br /></div>
<div class="MsoNormal">
<span lang="EN-US">In this example there are 5 symbols, and we
see the ranking information for February 2015. <o:p></o:p></span></div>
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<br /></div>
<div class="MsoNormal">
<span lang="EN-US">Another option would be to use hierarchical
indexing, with a sub-index for each month, but this way worked for my needs and
I think is quite clean and simple. <o:p></o:p></span></div>
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<span lang="EN-US">If anyone knows an equivalent in R that is
as clean and easy to work with for multiple time series I would love to hear about it. <o:p></o:p></span></div>
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<span lang="EN-US"><br /></span></div>
<h3>
Code Notes</h3>
<div class="MsoNormal">
<span lang="EN-US"><br /></span></div>
<div class="MsoNormal">
<span lang="EN-US">The demo code does a simple back test of
the GTAA/<a href="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1585517" target="_blank">Relative Strength</a> trend following system using ETFs. <span style="mso-spacerun: yes;"> </span><o:p></o:p></span></div>
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<br /></div>
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<span lang="EN-US">I have stripped it down to the basics so hopefully it is easy to understand. Load
the data, generate the dataframe with the info we want, make a combined data
frame, then go through month by month. <o:p></o:p></span></div>
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<br /></div>
<div class="MsoNormal">
<span lang="EN-US">The ranking is done by filtering out names
under their 10 month moving average, then selecting the top n based on average
3 month return. <o:p></o:p></span></div>
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<br /></div>
<div class="MsoNormal">
<span lang="EN-US">The “cpr” column is the current period
return, and the “npr” column is the next period return, which <span style="font-family: Times, Times New Roman, serif;">is the return
realized if we select a given security for that month.<o:p></o:p></span></span></div>
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<span style="font-family: Times, Times New Roman, serif;"><br /></span></div>
<div class="MsoNormal">
<span lang="EN-US">The data is just ETF data from Yahoo, which
I have put up <a href="https://www.dropbox.com/s/n5xwmgu2lzvmsi9/etfdata.zip?dl=0" target="_blank">here</a>. Code is <a href="https://github.com/petewerner/misc/blob/master/gtaa-ranker.py" target="_blank">here</a>.<o:p></o:p></span></div>
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<span><br /></span></div>
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<span lang="EN-US">I found <a href="http://www.amazon.com/gp/product/1449319793/ref=as_li_tl?ie=UTF8&camp=1789&creative=9325&creativeASIN=1449319793&linkCode=as2&tag=shiftingsan02-20&linkId=QJJEXNKWQ3NUMHPH" target="_blank">Python For Data Analysis</a> a very useful book is when working with pandas.</span></span></div>
<div class="MsoNormal">
<br /></div>Petehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.com2tag:blogger.com,1999:blog-5902574258306547143.post-82226514355149107982015-03-24T22:26:00.000-07:002015-03-24T22:27:04.045-07:00Simulation and relative performance<div class="MsoNormal">
<span lang="EN-US">There’s been some nice posts on randomness
the last week or so, in particular <a href="http://eranraviv.com/sample-data-snooping/">here</a> and <a href="http://www.priceactionlab.com/Blog/2015/03/using-random-data-to-test-the-integrity-of-machine-learning-algorithms/">here</a>. </span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
I would like to look at how we can use
simulations to get a better understanding of how some aspect of a trading
system holds up relative to a bunch of random trades.</div>
<div class="MsoNormal">
<span lang="EN-US"><br /></span></div>
<div class="MsoNormal">
<span lang="EN-US">In this example, I look at entries on
weekly data for SPY. The entry signal is to buy if the previous week closed
down. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">Over the time frame (2005-2014, about 10
years), it was long about 44% of the time, and out the rest. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">In the simulation function, we generate
random entry signals that will see us long about the same amount of time. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">We track some metrics of system
performance, in this case total return, average trade return and accuracy (i.e.
how often a buy signal was correct). <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">I then use ggplot to make some density plots
of the simulation metrics, marking the mean of the simulation results in red
and the corresponding system metric in blue. <o:p></o:p></span></div>
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<br /></div>
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<span lang="EN-US">
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<!--EndFragment--></span></div>
<div class="MsoNormal">
<span lang="EN-US">It looks like this<o:p></o:p></span></div>
<div class="MsoNormal">
<span lang="EN-US"><br /></span></div>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiC49nOo80gxrLXYwpooYxQHFBgd32WDghvG93UFGSzA-yTKL46YgktpwthpR3Ouzwqg1k-0HWDeV-yvQ_H92usRBwCCoE3V0S4zsZKlXrjOFNZ-brr8phEr1LzqN8kgEPM3YpacGMxgtE/s1600/rst_mr_comb.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiC49nOo80gxrLXYwpooYxQHFBgd32WDghvG93UFGSzA-yTKL46YgktpwthpR3Ouzwqg1k-0HWDeV-yvQ_H92usRBwCCoE3V0S4zsZKlXrjOFNZ-brr8phEr1LzqN8kgEPM3YpacGMxgtE/s1600/rst_mr_comb.png" height="136" width="400" /></a></div>
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<span lang="EN-US"><br /></span></div>
<div class="MsoNormal">
I basically want to see the blue line far
away from the red line. In this case it seems fairly decent. You can also
generate some p-values based off the simulation data as well.</div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">
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<span lang="EN-US">For comparison, here is a daily system that
is long if the previous close was above the 200 day simple moving average. <o:p></o:p></span></div>
<div class="MsoNormal">
<span lang="EN-US"><br /></span></div>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEggzHEzXnnA-k6CJoLEfK7sgbIBgw_DxdHdU_8usgSQYtfkrEleVytnzcJD0k52u-a7nkWjT1z2kUPgv000BJUfF2DBGqL6IslUKFYxWFgFUYICDVtmUbe6_Do_dz04-F8hBTncxEm9qRw/s1600/rst_sma_comb.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEggzHEzXnnA-k6CJoLEfK7sgbIBgw_DxdHdU_8usgSQYtfkrEleVytnzcJD0k52u-a7nkWjT1z2kUPgv000BJUfF2DBGqL6IslUKFYxWFgFUYICDVtmUbe6_Do_dz04-F8hBTncxEm9qRw/s1600/rst_sma_comb.png" height="138" width="400" /></a></div>
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<span lang="EN-US"><br /></span></div>
<div class="MsoNormal">
<span lang="EN-US">We can see there’s not a lot of difference
between the moving average results and just entering randomly. (Note the
accuracy metric has a different x-axis scale than the previous plot).<o:p></o:p></span></div>
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<br /></div>
<div class="MsoNormal">
<span lang="EN-US">I use a similar idea for putting risk or
open trade management ideas through their paces, seeing how well they hold up
when managing random entries. <o:p></o:p></span></div>
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<br /></div>
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<!--EndFragment--></span></div>
<div class="MsoNormal">
<span lang="EN-US">Code is up <a href="https://github.com/petewerner/misc/blob/master/random-sim-trading.R">here</a>. Thanks for reading<o:p></o:p></span></div>
Petehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.com4tag:blogger.com,1999:blog-5902574258306547143.post-78225614700393314152015-03-14T05:08:00.000-07:002015-03-24T04:49:16.062-07:00Adopting R for experienced developers<div class="MsoNormal">
<span lang="EN-US">More and more frequently I come across
people who express an interest in R, and I thought I would share some advice to
help people decide if R is something they should use, as well as some high
level advice on getting started. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">Most of these people are developers with at
least few years experience writing code for a living, and this advice is
directed to people like that. Perhaps you have a specific project in mind, or
perhaps you’ve just seen the increasing amount of hype around data science and
are wondering if you should take a look.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">R has some great strengths, but there are
some definite quirks, and I hope I can provide some advice and perhaps avoid
some pitfalls along the way.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">I first picked up R around 2007 or 2008,
and have grown to use it more or less daily over the last 3-4 years.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">As a generalisation I find statisticians a
generally friendly bunch of people, very open to discussions on all things and somewhat introspective. They are also
generally very smart. Statistics can be quite an intricate field, especially as
you get deeper into it. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">Just as some background on me, I have worked as a developer for roughly 15
years now, and the R world makes a change from angry UNIX programmers and
aggressive investment banking types that I spent the first 10 years or so
working with. </span><br />
<br />
I am sure some people will disagree with at least some of my views here. There may or may not be a
technically correct or true answer, instead it is a subjective outlook, so keep
in mind this is just one persons view.</div>
<div class="MsoNormal">
<span lang="EN-US"><br /></span></div>
<h3>
<span lang="EN-US">A brief history of R, and why it has become
so popular in certain circles</span></h3>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">R is certainly becoming more and more
popular, and seems to have found widespread adoption within many statistical
research communities. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">This is a great thing as it means as new
statistical methods or practices come out of the research world, they are often
implemented and available in R. In many cases they have been written by the
person who “wrote the book” (or paper) on a given topic. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">Why has it become so popular? I read a
story somewhere about life in the academic research world. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">In the past someone would do some cool
research and publish their results, but they used proprietary statistical
packages that might cost thousands of dollars. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">This meant it was very hard for other
researchers to replicate and carry further the work, and it is easy to see this
would be a real pain.<span style="mso-spacerun: yes;"> </span><o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">People realized that by adopting R they
could make their work freely available to others. This resolved an
issue that was arguably a material roadblock to advances in the field. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">R has really opened up a new world of
statistical computing. It can do some very advanced things, and is all freely
available. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">Lucky us!<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">
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<span lang="EN-US">I never did any statistical work before R,
and academic statistics is not really my world so I am a little hesitant to
write on this topic. If you are interested in this subject, you might also like
to read <a href="http://www.burns-stat.com/documents/tutorials/why-use-the-r-language/">Why Use the R Language</a>.<o:p></o:p></span></div>
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<!--EndFragment--></div>
<h3>
<span lang="EN-US">Should I use R ?</span></h3>
<div>
<span lang="EN-US"><br /></span>
<span lang="EN-US">I made a small flowchart on <a href="https://www.draw.io/">draw.io</a> to assist with this question</span></div>
<div>
<span lang="EN-US"><br /></span>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEir6h2M2mqcQvJKfdkGyceqAstCMwXxzfl6EFbEwWBpTyWAe6AYQXKIrCr6R-RxKHLTF7_fx_CoDPChYi_sPbk8E4IOPkUBon6tV3OwoZxfzvru9tfgeor4wHR1EWqG8KZcyETR6oiIxTs/s1600/R+Flowchart+(3).png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEir6h2M2mqcQvJKfdkGyceqAstCMwXxzfl6EFbEwWBpTyWAe6AYQXKIrCr6R-RxKHLTF7_fx_CoDPChYi_sPbk8E4IOPkUBon6tV3OwoZxfzvru9tfgeor4wHR1EWqG8KZcyETR6oiIxTs/s1600/R+Flowchart+(3).png" /></a></div>
<span lang="EN-US"><br /></span>
<span lang="EN-US"><br /></span></div>
<div>
<span lang="EN-US">
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</span><br />
<div class="MsoNormal">
<span lang="EN-US"><span lang="EN-US">Where “statistics” can mean machine
learning, predictive analytics, data science, anything that falls under a
rather broad umbrella. <o:p></o:p></span></span></div>
<span lang="EN-US">
</span>
<div class="MsoNormal">
<span lang="EN-US"><br /></span></div>
<span lang="EN-US">
<div class="MsoNormal">
<span lang="EN-US">I view R as a statistical computing
environment, versus a general purpose programming language like C++. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">You probably don’t want to choose R if you
are developing cloud based microservices, low latency/high availability
trading systems, desktop applications etc. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">I am not saying it is technically
impossible to do these things with R, but for a variety of reasons, other
languages are likely a better choice. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">However, if you have a big blob of data you
want to understand better, glean insight from, or use for predication, R is an
excellent choice. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">This is the second requirement before
deciding R is the right choice, that is you actually have some data you wish to
analyze or model. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">I would actually take this a step further
and say your data is in a tabular format, i.e. you can represent it with columns
and rows. If not, you can of course still use R, but you will be doing a lot of
legwork that may be overwhelming.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">R is designed for statistics, and a big part of applied statistics involves analyzing observations. Usually this manifests as a
table like data structure such as a matrix or data frame in R. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">Much of R is built around the assumption
you are working with a table-like data structure. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">This is different from conventional
software development where you think about the task at hand, design a bunch of
data structures/objects then define relations and operations between them to
achieve the desired outcome. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">Now again, it’s not that you can’t do this
in R, and I will talk about OO a little later, but you might be better off
doing heavy lifting in some other language and saving R for just the statistics
parts.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">It's just not really the sort of language you pick up and write a twitter clone/text editor/mp3 player or whatever your favourite "get to know a language" project might be.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">If you can agree with this sentence: “I
have some data that makes sense to represent in a tabular like structure, and I
want to do some cool statistics stuff with it” R is definitely a good choice.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">From here on in I will just provide some
general advice as bullet points. I could write at length about all of them, and
am happy to expand on any of them, but I will try to keep it brief.<o:p></o:p></span></div>
<!--EndFragment--></span></div>
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<span lang="EN-US"><br /></span></div>
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<span lang="EN-US">
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</span><br />
<h3>
<span lang="EN-US">
<span lang="EN-US">General Points </span></span></h3>
<span lang="EN-US">
</span>
<div class="MsoNormal">
<span lang="EN-US"><br /></span></div>
<span lang="EN-US">
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<ul>
<li><b>Get some books.</b> The two I would recommend
are the <a href="http://www.amazon.com/gp/product/0596809158/ref=as_li_tl?ie=UTF8&camp=1789&creative=9325&creativeASIN=0596809158&linkCode=as2&tag=shiftingsan02-20&linkId=3XYQWJIIBHCFHEHX">R Cookbook</a> by Paul Teetor and <a href="http://adv-r.had.co.nz/">Advanced R</a> by Hadley Wickham.
The latter in particular is the type of documentation people with experience
programming will value. If you try to get yourself up to speed with just the
built in documentation you are making things a lot harder for yourself.</li>
<br/>
<li><b>The principle of least surprise does not
apply.</b> The type system and scoping rules takes some getting used to, and the
way R works might be quite different from what you are used to.<p> Don’t assume anything
and be sure to check details. If you do any serious work with R you will likely
run into weird type or scope related errors at some point. Hadley’s Advanced R
book is very valuable here.</p></li>
<br/>
<li><b>R will not teach you statistics. </b>For
example if you don’t know what variance is or what homoscedasticity is and why
it matters (like me when I was starting out), you will find limited value in R
or any other statistics/machine learning software.
<p>
I had the luxury of being
able to go off and do an MSc in Math/Stats, which I whole-heartedly recommend
if possible. Nowadays there are some great books and MOOCs. There’s no quick or
easy answer to this one unfortunately. You can learn statistics with R, but you
can’t expect R to fill in the blanks for you.</p>
</li>
<br/>
<li><b>Sometimes R tries to be helpful. </b>Statisticians
probably appreciate this but programmers probably wont. For example it will
automatically convert strings to the factor data type by default when reading
in data. It may also do implicit type conversion where other languages would
generate an error. Understand the basic types and how to check your assumptions
wrt type. I wrote about this a bit <a href="http://petewerner.blogspot.com.au/2013/09/type-conversion-and-you-or-and-r.html">here</a>.</li>
<br/>
<li><b>Defensive programming is not common.</b> Many
packages do not check data is in the format or type it expects. This can lead
to weird and/or inscrutable error messages.
<p>There are some built in debugging
tools that can help, you might need to dive into the source to find out what’s
going on now and then. I describe some <a href="http://petewerner.blogspot.com.au/2013/01/tracking-down-errors-in-r.html">here</a>, and there is some official documentation <a href="http://cran.r-project.org/doc/manuals/r-release/R-exts.html#Debugging">here</a>.
</p>
</li>
<br/>
<li><b>Think in terms of tables, vectors and lists.</b>
At a high level you are doing statistics on data, and this is generally what R
is expecting. I found working with R got a bit easier once I made this
cognitive shift.</li>
<br/>
<li><b>Learn to use apply and friends.</b> I wrote an
intro to this <a href="http://petewerner.blogspot.com.au/2012/12/using-apply-sapply-lapply-in-r.html">here</a>. It is a more “functional” way of working. You have your data as a table or
whatever, and you apply functions to the rows and columns.</li>
<br/>
<li><b>People use ‘.’ in variable names.</b> This is
annoying but the best advice is to just get over it. I believe this is becoming
less prevalent, but you will likely still come across it.</li>
<br/>
<li><b>The OO system is a bit of a mess.</b> There are
three different types of OO in R. Yes really. The whole way it works is a bit
smoke and mirrors and basically I am not really a fan. Reference classes are
probably the closest conceptually to OO in other languages.
<p>
I personally would
not develop a big OO system in R, however other people certainly have and <a href="http://www.bioconductor.org/">been successful</a> with it. Again, Hadley’s book is a <a href="http://adv-r.had.co.nz/OO-essentials.html">great resource</a>.
</p>
</li>
<br/>
<li><b>Read <a href="http://www.r-bloggers.com/">R Bloggers</a>.</b> This is a
great resource where people write and share code about all sorts of cool stuff.
Search for packages names or technologies (like “hadoop” or “ec2”) to get
going.</li>
</ul>
<br />
<h3>
<span lang="EN-US">Packages</span></h3>
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<ul>
<li><b>The package system is really good.</b> There
are all sorts of packages that do all sorts of things. In general, the
distribution and update mechanisms all work pretty well.
<p>
Packaging is a hard
and thankless task, the big linux distros might have hundreds of people solely
dedicated to packaging and distribution, and R does a very good job of it with
relatively few people. The task views provide an overview of packages available
for various types of tasks (<a href="http://cran.r-project.org/web/views/TimeSeries.html">time series</a>, <a href="http://cran.r-project.org/web/views/MachineLearning.html">machine learning</a>).
</p>
</li>
<br />
<li><b>Often the answer to “how do I do x” is
“install package y to do it for you.”</b> Sometimes the way base R works can seem a
bit convoluted or difficult. Usually, someone has written a package that makes
it a lot easier. Just install the package, use it and move on.
</li>
<br />
<li><b>You will end up using a lot of packages.</b>
This used to really bother me. In the enterprise world, using third party
packages usually required a lengthy approval process as lawyers checked the
licensing and potential IP conflicts, as well as a separate process to get
things installed and deployed to production by the admin teams.
<p>If you are
working in such an environment, be aware you are likely going to end up using a
bunch of packages. Thankfully the packages mostly use standard free licenses,
which may ease the process somewhat.
</p>
<p>
Another consideration is that this can make
dependency management a bit involved. Typically though, most packages are quite
small and do only a few specific things.
</p>
</li>
<br />
<li><b>Package code quality can be variable.</b> Many
of these are developed by academics/academic statisticians. As a rule these are smart people but their code might not live up to your
internal standards for software engineering practice. Many of the packages are
excellent, and most that you are likely to use are very stable.
<p>This can become
more of an issue as you get into the more obscure areas of statistics, at which
point you might want to look over the package source before committing to it.</p>
<p>I do not want to come across as dismissive here as there are people working on R who have been doing statistics on computers since before I was born, and I'm not that young.</p>
<p>They do generally know what is what and in some ways R is constrained as it is broadly an implementation of the <a href="http://en.wikipedia.org/wiki/S_%28programming_language%29">S language</a>, created in 1976. However if you find yourself struggling to use a package that has three functions and 17 phd students listed as authors maybe it's not you, its them.</p>
</li>
<br />
<li><b>Embrace the “Hadleyverse.” </b> <a href="http://had.co.nz/">Hadley Wickham</a> has written a bunch of great
packages that are very useful when working with R day to day. Someone else wrote more about the Hadleyverse <a href="http://adolfoalvarez.cl/the-hitchhikers-guide-to-the-hadleyverse/">here</a>.</li>
<br />
<li><b>If you are doing machine learning, use
<a href="http://caret.r-forge.r-project.org/">caret</a>.</b> In a nutshell it provides an abstraction over the various machine learning
algorithms, and a whole bunch of useful stuff for model building, tuning and
evaluation. It has good docs and there is also a great book <a href="http://www.amazon.com/gp/product/1461468485/ref=as_li_tl?ie=UTF8&camp=1789&creative=9325&creativeASIN=1461468485&linkCode=as2&tag=shiftingsan02-20&linkId=VLR2B2LJ56IW2WFF">Applied Predictive
Modelling in R</a> you should check out if
you are doing ML in R, I wrote a small review <a href="http://petewerner.blogspot.com.au/2013/11/book-review-applied-predictive-modeling.html">here</a></li>
<br />
<li><b><a href="http://www.rcpp.org/">Rcpp</a> lets you easily use snippets of C++ in
R.</b> It’s really cool. I wrote a cheatsheet for common linear algebra related R
operations <a href="https://github.com/petewerner/misc/wiki/RcppArmadillo-cheatsheet">here</a>, and there are more detailed/complete/practical examples available in the <a href="http://gallery.rcpp.org/">Rcpp Gallery</a>.<p>Some people say R is slow, and there is a small element of truth there relatively speaking, but
in general I feel if someone complains that a language is slow they should
probably write better programs and/or buy a faster computer. Rcpp can help
though. There is a <a href="http://www.amazon.com/gp/product/1461468671/ref=as_li_tl?ie=UTF8&camp=1789&creative=9325&creativeASIN=1461468671&linkCode=as2&tag=shiftingsan02-20&linkId=EN4O4KZ2SAJHWM5D">good book</a> by the package author available as well. </p></li>
</ul>
<div>
<br /></div>
<br />
<h3>
<span lang="EN-US">Outro</span></h3>
<div>
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<br /></div>
<div class="MsoNormal">
<span lang="EN-US">R is a niche language, but if your work
falls within that niche it is a wonderful tool. There are some great packages,
cutting edge methods, and a generally enthusiastic and welcoming community. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">You can also find many of these things in
other languages like Python and Java, but I still find myself turning to R when
I have a bunch of data I want to explore and just try out a bunch of different
things.<o:p></o:p></span></div>
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<br /></div>
<div class="MsoNormal">
<span lang="EN-US">Some other people have written on this
topic, if you would like to read more see <a href="http://www.johndcook.com/blog/r_language_for_programmers/">R Language for Programmers</a>, <a href="http://blog.datascienceretreat.com/post/69789735503/r-the-good-parts">R The Good Parts</a> & <a href="http://r4stats.com/articles/why-r-is-hard-to-learn/">Why R is hard to learn</a>.<o:p></o:p></span></div>
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<br /></div>
<div class="MsoNormal">
<span lang="EN-US">[Update] A previous version of this post said Hadley Wickham and Dirk Eddelbuettel were R Core Developers, which is not the case. They are members of the <a href="http://www.r-project.org/foundation/members.html">R Foundation</a>.<o:p></o:p></span></div>
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<br /></div>
<div class="MsoNormal">
<span lang="EN-US">As always, you can find me on twitter <a href="https://twitter.com/dizzy_pete">here</a>.<o:p></o:p></span></div>
<!--EndFragment--></div>
<!--EndFragment--></div>
<!--EndFragment--></span></div>Petehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.com3tag:blogger.com,1999:blog-5902574258306547143.post-33901808050202615952015-03-06T20:43:00.001-08:002015-03-10T19:48:08.825-07:00The R documentation is badI have been using R for some time now and still can find it frustrating to work with. Over the years have come to the conclusion that it is primarily due to the documentation being bad. I offer no actual solutions here, but thought I would try and write down exactly what I dislike about it.<br />
<br />
The docs are more or less premised on knowing which function you wish to use. Want to find out what some argument of some specific function does? Sorted.<br />
<br />
But, if you are new to the language or just want to check out a few different ways of doing things, the built-in documentation is not going to help.<br />
<br />
The “phone book” type reference that just lists all functions in a package alphabetically is useless for exploring the language. This in turn makes it very hard for people to adopt R. I know this from my own experience and helping others who are new to R.<br />
<div>
<br /></div>
<h3>
Example</h3>
<div>
<br /></div>
<div>
<div>
As an example, let’s look at creating an identity matrix. Pretend we are new to R and staring at the prompt.</div>
<div>
<br /></div>
<div>
First I look at help(matrix) and see nothing about it there. Following the links in the “See Also” section, we visit the page for data.matrix and array, neither of which give any hints.</div>
<div>
<br /></div>
<div>
Let’s try a search, typing ??identity at the prompt. A big list of functions pops up, but only two from base and one from stats. First is called ‘dontCheck’ which probably isn’t going to make an identity matrix so I skip that, but second up is identity. </div>
<div>
<br /></div>
<div>
A-ha! Let’s take a look</div>
<div>
<br /></div>
<div>
“A trivial identity function returning its argument.”</div>
<div>
<br /></div>
<div>
Oh. </div>
<div>
<br /></div>
<div>
All right, lets bring up the phone book listing for everything in base. I type help(base), navigate to the index and type identity in the search box. Nope, just the two functions I saw before. </div>
<div>
<br /></div>
<div>
Now, I personally know the right function is diag, but how are people meant to find that out? If they have to search google for basic things, it’s kinda hard to conclude that the documentation is good.</div>
<div>
<br /></div>
<div>
The second example is left as an exercise to the reader: find in the R help how to get the last element of a vector. And no, despite the helpful and intuitive name, the documentation for “[“ doesn’t say.</div>
</div>
<div>
<br /></div>
<h3>
Help</h3>
<div>
<br /></div>
<div>
<div>
The actual help browser is I dislike as well. I have not yet figured out how to have more than one page open at a time, and I really don’t like the idea of having lots of windows popping up everywhere. Something like tabs would be a lot more useful. </div>
<div>
<br /></div>
<div>
Most people are reading on the screen, which makes big blocks of text hard to read, and big blocks of text feature quite often in the help pages. </div>
<div>
<br /></div>
<div>
This becomes especially important when there are so many intricate details being explained. It’s easy to miss things, and many pages require careful and close readings. </div>
<div>
<br /></div>
<div>
Usually, once you wade through all the text, there are examples. Many of these are not clear, seemingly having been written for brevity over elucidation. It’s hard to work out what exactly is going on, again especially for people new to R.</div>
<div>
<br /></div>
<div>
None of the examples include the output inline, which also makes it very hard to get a feel for what they do. </div>
<div>
<br /></div>
<div>
This is made worse by the fact that often I find myself on a “function safari.” I know there must be a function that does what I need but I have no idea what it is called or how to find it. </div>
<div>
<br /></div>
<div>
It’s a huge time sink if I have to go through a bunch of help pages, manually run all the examples to figure out if they do what I need. </div>
<div>
<br /></div>
<div>
The font is ugly as well. Just throwing it out there.</div>
</div>
<div>
<br /></div>
<div>
<h3>
Groups</h3>
<div>
<br /></div>
<div>
Having specific documentation for each function is necessary, but there should be higher level grouping of related functions. </div>
<div>
<br /></div>
<div>
For example when I look at help(matrix) why does it not include links to diag, rbind, cbind, t etc. or show examples of them all that include the output when run?</div>
<div>
<br /></div>
<div>
<a href="http://cran.r-project.org/doc/manuals/r-release/R-intro.html#Matrix-facilities">This</a> is a good start, but it is all on one big page and not actually referenced in the help page for matrix. (Note also it does not mention diag)</div>
<div>
<br /></div>
<div>
One of the problems is the use of generics and the general mish-mash that is OO in R. It makes it hard to find functions that are related to working with a particular data structure or the task at hand. </div>
<div>
<br /></div>
<div>
For example, compare </div>
<div>
<br /></div>
<div>
<a href="https://stat.ethz.ch/R-manual/R-devel/library/base/html/vector.html">R</a> vector with the <a href="https://docs.python.org/2/tutorial/datastructures.html">Python</a> or <a href="http://www.cplusplus.com/reference/vector/vector/">C++</a> equivalents.</div>
<div>
<br /></div>
<div>
I really feel all these things compound to be a huge weakness of R.</div>
</div>
<div>
<br /></div>
<h3>
Outro</h3>
<div>
<br /></div>
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<div class="MsoNormal">
<span lang="EN-US">For me the most frustrating thing is that
the documentation I am after <i>is</i> usually there, it’s just too hard to find and often
poorly presented. There is much room for improvement of structure and
presentation. As it is now it is hard to search, hard to navigate and hard to
read. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">I would love to see a nice HTML based
reference with navigation menus and logical groupings. It is easy to provide
logically structured information as well as a reference index.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">By switching to something browser based, it
makes it a lot easier to find relevant information, as well as allowing users
to pick their own fonts (and font sizes), as well as have multiple pages open
at the same time. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">I am sure there are people out there
thinking “but I <i>like</i> the way R does its docs!!” and I can’t argue with that. But
I have seen enough videos on the Internet to know some people seem to like some
very strange things indeed ...<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">I could go on and on with lots more examples/things that are just a bit silly. As I said at the start, I have no real
solution to offer, but hopefully provide some useful specifics, or at least
maybe help some people realize “it’s not you, it’s R.” I have gotten myself up to speed in a lot of languages over the years and by far, R took the longest to feel competent with.<o:p></o:p></span><br />
<span lang="EN-US"><br /></span>
<span lang="EN-US">[update]</span><br />
<span lang="EN-US"><br /></span>
<span lang="EN-US">Pat Burns has shared a useful map of information <a href="http://www.burns-stat.com/r-navigation-tools/">R Navigation Tools</a></span><br />
<br />
Also I found the <a href="http://www.amazon.com/gp/product/0596809158/ref=as_li_tl?ie=UTF8&camp=1789&creative=9325&creativeASIN=0596809158&linkCode=as2&tag=shiftingsan02-20&linkId=X34CJCW2MR434W5A">The R Cookbook</a> a useful reference for answering those "how do I X a Y" type questions. <img alt="" border="0" src="http://ir-na.amazon-adsystem.com/e/ir?t=shiftingsan02-20&l=as2&o=1&a=0596809158" height="1" style="border: none !important; margin: 0px !important;" width="1" /><br />
<br />
Ritchie Cotton has shared his thoughts on the topic <a href="http://4dpiecharts.com/2015/03/10/thoughts-on-rs-terrible-horrible-no-good-very-bad-documentation/">here</a>.</div>
<!--EndFragment--></div>
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<br /></div>
Petehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.com20tag:blogger.com,1999:blog-5902574258306547143.post-29984480773820304052015-02-19T14:05:00.003-08:002021-06-09T21:00:34.697-07:00Intro to Curl NoiseI gave a small talk at the recent Sydney Creative Coding meet on Curl Noise.<br />
<br />
It was an introductory talk with the goal of explaining the basics, so those interested can go off and look at other peoples work and hopefully understand what is going on.<br />
<br />
I have put the slides up <a href="https://github.com/petewerner/misc/blob/master/Curl%20Noise%20Slides.pdf?raw=true">here</a>. Throughout the talk I took breaks for questions and showed pictures of curl and miscellaneous mathematical facts, which is why those appear.<br />
<br />
I also wrote the following apps as demos<br />
<br />
<a href="https://github.com/petewerner/curlgrid">curlgrid</a> - This is a basic app to explore noise/vectors/curl and particles in perlin noise<br />
<a href="https://github.com/petewerner/gpu-curl-2d">gpu curl 2D</a> - This is a 2D version doing particle advection and curl generation on the GPU<br />
<a href="https://github.com/petewerner/gpu-curl-3d">gpu curl 3D</a> - As above but a 3D version<br />
<br />
All of them require <a href="http://www.openframeworks.cc/">openFrameworks</a> and the ofxGui addon which should come with oF.<br />
<br />
Some links to others work<br />
<br />
<a href="http://www.cs.ubc.ca/~rbridson/">Robert Bridson</a> - Wrote the original paper on the topic, has some code available<br />
<a href="http://prideout.net/blog/?p=63">Philip Rideout</a> - More comprehensive examples and explanations<br />
<a href="http://www.miaumiau.cat/">miaumiau</a> - More discussion and cool examples in WebGL<br />
<br />
I did only really discuss the basics so if you are interested I would strongly encourage you to go check them out.<br />
<br />
It did take me some time to get my head around things, so if you didn't manage to pick all of it up in the ~25 minutes I was speaking for, don't worry about it. Even now I am not 100% sure the 2D case is right, appreciate any comments.<br />
<br />
The GPU versions use a transform feedback vertex shader, you can find more info about this <a href="http://prideout.net/blog/?tag=opengl-transform-feedback">here</a>.<br />
<br />
If you are interested in the math, you can find more info <a href="http://tutorial.math.lamar.edu/Classes/CalcIII/CurlDivergence.aspx">here</a><br />
<br />
Some other links:<br />
<br />
Cosine approximation to the normal distribution: <a href="http://www.johndcook.com/blog/2010/04/29/simple-approximation-to-normal-distribution/">here</a><br />
A derivation of the volume on an n-sphere: <a href="https://www.youtube.com/watch?v=QkMn_5QpsX8">here</a><br />
<br />
Questions/Comments email me or post here<br />
<br />
You can also find me on <a href="http://i-am-noise.tumblr.com/">tumblr</a>, <a href="https://vimeo.com/dizzypete/videos">vimeo</a> and <a href="https://twitter.com/dizzy_pete">twitter</a><br />
<br />
Thanks!<div><br /></div><div><br /></div><p> </p>Petehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.com6tag:blogger.com,1999:blog-5902574258306547143.post-60559579732730309462014-12-26T21:39:00.000-08:002014-12-27T02:11:47.329-08:00Fitting a mixture of independent Poisson distributions <div class="MsoNormal">
<span lang="EN-US">This is an example from Zucchini &
MacDonald’s book on <a href="http://www.amazon.com/gp/product/1584885734/ref=as_li_tl?ie=UTF8&camp=1789&creative=390957&creativeASIN=1584885734&linkCode=as2&tag=shiftingsan02-20&linkId=PXKEWEDNIS75X5ZG">Hidden Markov Models for Time Series</a> (exercise 1.3). <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">The data is annual counts of earthquakes of
magnitude 7 or greater, which exhibits both overdispersion for a Poisson (where
the mean should equal the variance) as well as serial dependence. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">The aim is to fit a mixture of m independent
Poisson distributions to this data, using the non-linear minimizer nlm to minimize the
negative log-likelihood of the Poisson mixture. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">Sounds easy right? I have not done much
optimisation stuff so it took me longer than it probably should have. There’s
little better for the ego then getting stuck on things by page 10. <o:p></o:p></span></div>
<div class="MsoNormal">
<span lang="EN-US"><o:p><br /></o:p></span></div>
<h3>
<span lang="EN-US"><o:p>Constrained to unconstrained </o:p></span></h3>
<div class="MsoNormal">
<span lang="EN-US"><o:p><br /></o:p></span></div>
<div class="MsoNormal">
<span lang="EN-US">There are two sets of parameters, the
lambda parameters to the Poisson distributions and the delta mixing
distribution, the latter giving the proportions of each distribution to mix.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">The Poisson parameters must be greater than
zero and there are m of them. The mixing distribution values must all sum to
one, and the first mixing value is implied by the m-1 subsequent values. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">These are the constraints (lambdas greater
than zero, deltas sum to one), and there are 2m – 1 values (m lambdas, m-1
deltas). We need to transform these to unconstrained values for use with nlm
(becoming eta and tau respectively). <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">The formulas for transformation are
reproduced from the book here</span></div>
<div class="MsoNormal">
<br /></div>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjTbsmqAqbklLXGzkVHNacO68xcvqMQukSjSNspwRWqPxKA1lljhPuU8r_5BK6nO40V9L93AF1_K8Ozo0CXSAcp3KOAw8GINkQjPhbZdZjIyTQGk20r_IlUX0Ww8_kf25hTEOve-LiQvCQ/s1600/zucchini-params.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjTbsmqAqbklLXGzkVHNacO68xcvqMQukSjSNspwRWqPxKA1lljhPuU8r_5BK6nO40V9L93AF1_K8Ozo0CXSAcp3KOAw8GINkQjPhbZdZjIyTQGk20r_IlUX0Ww8_kf25hTEOve-LiQvCQ/s1600/zucchini-params.png" /></a></div>
<br />
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">These transformed values are combined in to
one parameter vector and passed to nlm. We also pass a function that calculates
the negative log likelihood. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">In the function, we first convert the
parameters from the unconstrained “working” form to the constrained “natural”
form using the inverse transform, and then use these values to do the
likelihood calculation.<o:p></o:p></span></div>
<div class="MsoNormal">
<span lang="EN-US"><o:p><br /></o:p></span></div>
<div class="MsoNormal">
<span lang="EN-US">You can see the code <a href="https://github.com/petewerner/misc/blob/master/zucc-example-1.R">here</a>.</span></div>
<div class="MsoNormal">
<br /></div>
<h3>
<span lang="EN-US"><o:p>Outro</o:p></span></h3>
<div class="MsoNormal">
<span lang="EN-US"><o:p><br /></o:p></span></div>
<div class="MsoNormal">
<span lang="EN-US">Now that I look over the code and write
this out it does seem all fairly straightforward and relatively trivial, but it
was new to me and took a while, so I figured other people might find the
example useful as well. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">The code has three examples for the cases m = 2, 3, and
4. Obviously feel free to mess around with the initial parameter estimates to see what comes up. </span></div>
<div class="MsoNormal">
<span lang="EN-US"><br /></span></div>
<div class="MsoNormal">
<span lang="EN-US">It does seem to match the fitted models from the book, which I have copied
here:<o:p></o:p></span></div>
<div class="MsoNormal">
<span lang="EN-US"><o:p><br /></o:p></span></div>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj_5iWi3qbnvo1dS8cpyC2KdEOm_r9BOG5hw1jTvhM6bVQaXjqg9dG5KNZPrfj9yXcR0fft68ThFLXPGEWJAwf4t7pa9vsMHoQcwgs7CVOhMRk-RD8TyY8TqZvRHeX5TAEaMsUoDYA-gL8/s1600/zucchini-models.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj_5iWi3qbnvo1dS8cpyC2KdEOm_r9BOG5hw1jTvhM6bVQaXjqg9dG5KNZPrfj9yXcR0fft68ThFLXPGEWJAwf4t7pa9vsMHoQcwgs7CVOhMRk-RD8TyY8TqZvRHeX5TAEaMsUoDYA-gL8/s1600/zucchini-models.png" /></a></div>
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<br /></div>
<div class="MsoNormal">
<span lang="EN-US"><o:p><br /></o:p></span></div>
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<div class="MsoNormal">
<span lang="EN-US">For all the details, check out the book,
chapter 1!<o:p></o:p></span></div>
Petehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.com0tag:blogger.com,1999:blog-5902574258306547143.post-66048340454484992512014-12-23T02:00:00.000-08:002014-12-23T02:00:06.621-08:00Does Trend Following Work?<div class="MsoNormal">
<span lang="EN-US">I’m not sure how I came across it, but I
have had Jez Liberty’s <a href="http://www.automated-trading-system.com/">Au.Tra.Sy</a> blog in my reader since around 2009. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">Since then, he has tracked well-known trend
following systems and reported monthly performance figures. These are things
like moving average crossovers, Bollinger band breakouts and stuff like that.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">The systems had a very good month in
November, and a very good year, up ~45% YTD. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">I thought I would take a look and how
things have gone over the time it has been tracked. Helpfully, Jez posts annual
summaries for each system and a composite average, which is what I used. You can find the links to specific posts in the script linked under the table below. N.B the first two years are the average of actual trend following funds not the generic strategies.</span></div>
<div class="MsoNormal">
<span lang="EN-US"><br /></span></div>
<div class="MsoNormal">
<span lang="EN-US">T</span>here are results for 6 years, from 2009 to
2014, using the YTD November figure for 2014. We end up with a series like
this, starting from 100.</div>
<div class="MsoNormal">
<span lang="EN-US"><br /></span></div>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEitvMRYBSt0RjnhKiT1bHBwrSaDuFV8mx6UUDILTB0C3EElD2SmlQlIuDWr18AWX1rPgYDG3mUVgq9N8TWp7KMUG0zgKqaeqEhgnWTYIUSZsgrC9yRu5AegRoHiJGhrL8E9Jidlh7m_lbs/s1600/trend-follow-rets-autrasys.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEitvMRYBSt0RjnhKiT1bHBwrSaDuFV8mx6UUDILTB0C3EElD2SmlQlIuDWr18AWX1rPgYDG3mUVgq9N8TWp7KMUG0zgKqaeqEhgnWTYIUSZsgrC9yRu5AegRoHiJGhrL8E9Jidlh7m_lbs/s1600/trend-follow-rets-autrasys.png" /></a></div>
<br />
<a href="https://github.com/petewerner/misc/blob/master/trend-following-autrasys.R">Source [R]</a><br />
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<span lang="EN-US">We can see that 4 of the 6 years ended
under water. Over the same time there has been a huge surge in US equities. A
simple buy and hold in 2009 would have more than doubled equity. <span style="mso-spacerun: yes;"> </span><o:p></o:p></span></div>
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<h3>
The pain of losing</h3>
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<span lang="EN-US"><br /></span></div>
<div class="MsoNormal">
<span lang="EN-US">I have been following Jez posting results
every month for 5 – 6 years now. When I think back to where I was in 2009
versus where I am today, five years is a really, really long time. <o:p></o:p></span></div>
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<br /></div>
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<span lang="EN-US">You can get historical data from 1920s and
even further back in time. If you run a backtest over 80 – 90 years of data, a
3 – 5 year period of underperformance is barely noticeable on an equity curve. <o:p></o:p></span></div>
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<br /></div>
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<span lang="EN-US">Sometimes I see people get excited about
their backtests even though they include these periods of poor performance.
There is plenty of research and evidence that humans in general find it very
hard to stick with a losing system. <o:p></o:p></span></div>
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<span lang="EN-US">How seriously would you take someone
touting a system that is underwater after five years, but they assured you a
45% year was just around the corner? <o:p></o:p></span></div>
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<span lang="EN-US"><br /></span></div>
<h3>
Professional CTA</h3>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
I believe the Au.Tra.Sy data is based on
commodities and futures trading, so thought I would take a look at the <a href="http://www.barclayhedge.com/research/indices/cta/sub/cta.html">Barclay CTA Index</a> as a comparison. The results seem somewhat similar, it has struggled somewhat since 2010, though both the upside and
downside returns are smaller. </div>
<div class="MsoNormal">
<br /></div>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjipp6XdowQXmrVKxNV4mKUsB7LJ7MBEgAH3bdwKTFN27ZEOAsfsewknLTf1hJP4qwVnbu4rtyXOVoxL2LU4F1PO9oPRC-9HjyAVDwYIOezMuQjWS7znCd-N_TYRwLs3SAYkXs5qMCeW5w/s1600/trendfollow-barclay-cta.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjipp6XdowQXmrVKxNV4mKUsB7LJ7MBEgAH3bdwKTFN27ZEOAsfsewknLTf1hJP4qwVnbu4rtyXOVoxL2LU4F1PO9oPRC-9HjyAVDwYIOezMuQjWS7znCd-N_TYRwLs3SAYkXs5qMCeW5w/s1600/trendfollow-barclay-cta.png" /></a></div>
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<br /></div>
In
the 29 years from 1980 to 2008 inclusive, there were only 3 down years in
total, none of them consecutive.<br />
<span style="font-family: 'Times New Roman'; font-size: 12pt;"><br /></span>
In the period we are examining here, the 6 years from 2009 – 2014, four of them
have been down years, including three down years in a row (2011 - 2013).<br />
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<br /></div>
<h3>
<span lang="EN-US">Proselytizing</span></h3>
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<br /></div>
<div class="MsoNormal">
In some ways, you can think of mechanical
trend following as being long tail risk. Effectively it wants a big sustained
move in either direction. If you think about the distribution of returns, the
big moves that are “pay days” are out in the tails.</div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">I don’t follow commodities vol at all, but
apparently it has been low for several years, according to this article from <a href="http://www.reuters.com/article/2014/09/18/us-commodities-volatility-idUSKBN0HD04620140918">September, 2014</a>. It probably shouldn’t be a surprise that strategies dependent on big moves have not performed
well in an environment of low volatility. <o:p></o:p></span></div>
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<br /></div>
<div class="MsoNormal">
<span lang="EN-US">I personally dislike these indicator-based
trend following systems, even though I think they give entries as good as any.
The problem is they are too slow to close positions and give back too much
profit. <o:p></o:p></span></div>
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<br /></div>
<div class="MsoNormal">
<span lang="EN-US">They only really make serious money when a
megatrend eventuates, and these are relatively rare and IMO getting rarer. In
the mean time they can get chopped around and experience significant drawdowns.
<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">I don’t want to draw any final conclusions
about classical trend following, but I know I would have a lot of trouble
sticking to systems like these in practise, even though a long term backtest might look really nice.<o:p></o:p></span></div>
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<br /></div>
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<span lang="EN-US">However, if you understand the conditions
under which your system does well or is likely to underperform, it is a lot
easier to stick with it during periods of underperformance, which are
inevitable over the long run. <o:p></o:p></span></div>
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<br /></div>
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It is worth spending the time thinking about the conditions in which your system does well and does poorly. </div>
Petehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.com0tag:blogger.com,1999:blog-5902574258306547143.post-25542837640131499392014-12-16T02:23:00.002-08:002014-12-16T02:35:07.391-08:00Book Review: R Object-oriented Programming<span style="background-color: white; color: #222222; font-family: arial, sans-serif; font-size: 13px;">Packt sent me a copy of <a href="http://goo.gl/PYA2qE">R Object-oriented Programming</a> by Kelly Black to review so here we go:</span><br />
<div style="background-color: white; color: #222222; font-family: arial, sans-serif; font-size: 13px;">
<br /></div>
<div style="background-color: white; color: #222222; font-family: arial, sans-serif; font-size: 13px;">
The aim of this book is to provide a basic understanding of R and programming in R. It is suggested that readers are already familiar programming, but the book does seem to start from square one and I feel is probably accessible to most people using R. </div>
<div style="background-color: white; color: #222222; font-family: arial, sans-serif; font-size: 13px;">
<br /></div>
<div style="background-color: white; color: #222222; font-family: arial, sans-serif; font-size: 13px;">
The contents are roughly split 50/50 between general R stuff like working with data and the various data types R has and then OO. The first half provides good coverage of the basics, and I thought it was a good introduction to R. It includes a chapter on working with time variables which I think would be very useful to people new to R and working with time series data. </div>
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<br /></div>
<div style="background-color: white; color: #222222; font-family: arial, sans-serif; font-size: 13px;">
The second half is about objected orientated programming. S3 and S4 classes are covered, and some decent examples are provided that go beyond the usual trivial hello world or Shape, Circle, Square type examples, which is nice to see.</div>
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<br /></div>
<div style="background-color: white; color: #222222; font-family: arial, sans-serif; font-size: 13px;">
Strangely though, no mention is made of reference classes. For a book titled R Object-oriented Programming, making no mention about one of the ways to do OO in R seems like a rather large oversight. </div>
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<br /></div>
<div style="background-color: white; color: #222222; font-family: arial, sans-serif; font-size: 13px;">
Another nitpick I have is the indent style and formatting. It is mostly Whitesmiths style (which I personally dislike), but beyond that it is used inconsistently throughout the examples. This is generally considered a rather bad practice in programming circles. Pick <a href="http://en.wikipedia.org/wiki/Indent_style">one style</a> and stick with it. </div>
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<br /></div>
<div style="background-color: white; color: #222222; font-family: arial, sans-serif; font-size: 13px;">
It is challenging to present source code and text together, but some of it is laid out very poorly, with lines wrapping in strange places. It doesn’t really affect the content because most people will likely download the code to experiment with it, but it does detract from what is otherwise a good book. </div>
<div style="background-color: white; color: #222222; font-family: arial, sans-serif; font-size: 13px;">
<br /></div>
<div style="background-color: white; color: #222222; font-family: arial, sans-serif; font-size: 13px;">
Arguing about whitespace may seem petty, but the reality is most programmers spend most of their day looking at source code, so it is important. There's plenty of projects that wont even look at your code unless it is properly formatted. Again its not the choice of style, its the inconsistent use and poor formatting that bothers me. There's a lot of terrible R code out there and a book about programming should do better.</div>
<div style="background-color: white; color: #222222; font-family: arial, sans-serif; font-size: 13px;">
<br /></div>
<div style="background-color: white; color: #222222; font-family: arial, sans-serif; font-size: 13px;">
Despite these issues I think it gives good coverage of relevant topics for those starting to get more into the programming side of R. If you are starting out in statistics and looking for a book on R to get going with programming (versus say how to do linear regression etc) it's a useful one.<br />
<br />
You can see some other reviews <a href="http://r-nold.blogspot.com.au/2014/12/book-review-r-object-oriented.html">here</a>, <a href="http://r-video-tutorial.blogspot.com.au/2014/11/r-object-oriented-programming-book.html">here</a>, and on <a href="http://www.amazon.com/gp/product/1783986689/ref=as_li_tl?ie=UTF8&camp=1789&creative=9325&creativeASIN=1783986689&linkCode=as2&tag=shiftingsan02-20&linkId=Q6Y5AWH4FJXZ56XT">Amazon.</a><img src="http://ir-na.amazon-adsystem.com/e/ir?t=shiftingsan02-20&l=as2&o=1&a=1783986689" width="1" height="1" border="0" alt="" style="border:none !important; margin:0px !important;" />
<span id="goog_1550656483"></span><span id="goog_1550656484"></span><a href="https://www.blogger.com/"></a></div>
Petehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.com0tag:blogger.com,1999:blog-5902574258306547143.post-1634413533713902282014-09-21T19:24:00.000-07:002014-09-25T04:10:36.110-07:00HMM example with depmixS4On a scale of one to straight up voodoo, <a href="http://en.wikipedia.org/wiki/Hidden_Markov_model">Hidden Markov Models</a> (HMMs) are definitely up there for me.<br />
<br />
They have all sorts of applications, and as the name suggests, they can be very useful when you wish to use a Markovian approach to represent some stochastic process.<br />
<br />
In loose terms this just means we wish to represent our process as some set of states and probabilistic transitions between them.<br />
<br />
For example if I am in state 1, there may be a 85% chance of staying in state 1, and a 15% chance of moving to state 2.<br />
<br />
To complete this simple two state model, we would also have to define the transitions for state 2, namely what is the probability we will stay in state 2 if we are already in state 2, and what is the probability we will transition from state 2 to state 1.<br />
<br />
But what if we don’t know this information? What if we just have a set of realizations from some process and a vague idea of the number of states that might be behind it?<br />
<br />
Enter HMMs. Among other things, they can be used to determine the state transition probabilities that underlie some process, as well as the distributional parameters for each state.<br />
<br />
That is, it can work out all the details that are "hidden" from an observer of a process. All we really need to do is specify how many states we think there are.<br />
<br />
<h3>
Example</h3>
<br />
To test this out, and to get more familiar with the depmixS4 package, I made a small test program. It creates an observation series with:<br />
<br />
a) a known number of states<br />
b) known state transition matrices<br />
c) known underlying distribution parameters<br />
<br />
The aim is to use depmixS4 to estimate all this information, which should help get a grip on how to use the package, and also let us see if HMMs are actually any good.<br />
<br />
We have two states, lets call them S1 and S2. They were setup with the following properties<br />
<br />
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgl5JF4nZUl2Le4S__jJxGXSQQYtYz97TXD15EKK_Fh4ociRWqw-0yxHtqLOZQD5dNhLMcerjyYXWPfhWBNNZ6SzouRws_c0xNEHs_bXRUhJo_5SdsV6srU3jf_KGqd6yx8ffZkJ-gNoss/s1600/hmm-eg-table-process.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgl5JF4nZUl2Le4S__jJxGXSQQYtYz97TXD15EKK_Fh4ociRWqw-0yxHtqLOZQD5dNhLMcerjyYXWPfhWBNNZ6SzouRws_c0xNEHs_bXRUhJo_5SdsV6srU3jf_KGqd6yx8ffZkJ-gNoss/s1600/hmm-eg-table-process.png" /></a></div>
<br />
Both states provide realizations from the normal distribution, in this case S1 has mean -1, standard deviation 1, and S2 has mean 1, standard deviation 1. We can also see the transition matrix between S1 and S2 in the last two columns.<br />
<br />
A trajectory was sampled, and depmixS4 used to fit a HMM. It provided the following estimates<br />
<br />
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhuCDpWL-vPgIl4TDzKBs0Wx-vW7rmrPy4AjIfowbDPJMlnGZPtc_n6IEoYj5zXobHZ5m7vO3H6x68MAJvdbdShKDwZu1JtfBQ63pgYlh9oTM8PAbZkR6av_7qnmYFwy9W26_bSAdUQh40/s1600/hmm-eg-table-hmm-est.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhuCDpWL-vPgIl4TDzKBs0Wx-vW7rmrPy4AjIfowbDPJMlnGZPtc_n6IEoYj5zXobHZ5m7vO3H6x68MAJvdbdShKDwZu1JtfBQ63pgYlh9oTM8PAbZkR6av_7qnmYFwy9W26_bSAdUQh40/s1600/hmm-eg-table-hmm-est.png" /></a></div>
<br />
<br />
You can see it did a pretty good job of recovering the true values.<br />
<br />
In the following plot, you can see the sample trajectory, the estimated state from the HMM and the actual state used to generate the sample. This example worked very well, it’s not always the case that things turn out so nicely.<br />
<br />
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhOsOhyphenhyphenEBmpJuiJuuaHOCfBJAJB6gPJPOzRt5rRnd063xKIzsCyPimfolffZtDSvAWkS8l9GHrF10V458prlskmvHLphrletfSpzpGT_5EagX2IWVHe3PfnLDerLbvVco03cGwgelCC89s/s1600/hmm-example.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhOsOhyphenhyphenEBmpJuiJuuaHOCfBJAJB6gPJPOzRt5rRnd063xKIzsCyPimfolffZtDSvAWkS8l9GHrF10V458prlskmvHLphrletfSpzpGT_5EagX2IWVHe3PfnLDerLbvVco03cGwgelCC89s/s1600/hmm-example.png" /></a></div>
<br />
Voodoo I tell you!<br />
<br />
<h3>
Outro</h3>
<br />
There is no guarantee that a fitted HMM will be of any use, and even with this simple example, the state estimates can be wildly inaccurate. You can try this for yourself by using different seed values.<br />
<br />
This example is based on one from the book <a href="http://www.amazon.com/gp/product/0898716659/ref=as_li_tl?ie=UTF8&camp=1789&creative=390957&creativeASIN=0898716659&linkCode=as2&tag=shiftingsan02-20&linkId=64J4UKTPZPQ736U4">Hidden Markov Models and Dynamical Systems</a>, which I found to be an excellent resource on the topic. It is clearly written, covers the basic theory and some actual applications, along with some very illustrative examples. Source code is provided in python.<br />
<br />
I've read (or at least tried to read) pretty much every book on HMMs I could find, and found this one to be the most useful if you are new to HMMs and are interested in applications.<br />
<br />
You may also find these other posts about HMMs useful as well:<br />
<br />
<a href="http://thinkinator.com/2013/08/14/fun-with-r-and-hmms/">Fun With R and HMMs</a><br />
<a href="http://blog.revolutionanalytics.com/2014/03/r-and-hidden-markov-models.html">Getting Started with Hidden Markov Models in R</a><br />
<a href="http://gekkoquant.com/2014/09/07/hidden-markov-models-examples-in-r-part-3-of-4/">Hidden Markov Models Examples in R, part 3/4</a><br />
<br />
There is also the classic <a href="http://scholar.google.com/scholar?cluster=8542455893004510235">paper by Rabiner</a>.<br />
<br />
Hopefully this has shed a bit of light on HMMs and the depmixS4 package. Code is up <a href="https://github.com/petewerner/ml-examples/blob/master/hmm-depmixs4.R">here</a>.<br />
<div>
<br />
<img alt="" border="0" src="http://ir-na.amazon-adsystem.com/e/ir?t=shiftingsan02-20&l=as2&o=1&a=0898716659" height="1" style="border: none !important; margin: 0px !important;" width="1" /></div>
Petehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.com7tag:blogger.com,1999:blog-5902574258306547143.post-38175218542572461612014-07-14T10:00:00.000-07:002014-07-14T10:00:00.904-07:00Bayesian Naive Bayes for Classification with the Dirichlet Distribution<div class="MsoNormal">
<span lang="EN-US">I have a classification task and was
reading up on various approaches. In the specific case where all inputs are
categorical, one can use “Bayesian Naïve Bayes” using the <a href="http://en.wikipedia.org/wiki/Dirichlet_distribution" target="_blank">Dirichlet</a> distribution. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">Poking through the freely available text by <a href="http://web4.cs.ucl.ac.uk/staff/D.Barber/pmwiki/pmwiki.php?n=Brml.HomePage" target="_blank">Barber</a>, I found a rather detailed discussion in chapters 9 and 10, as well as example
matlab code for the book, so took it upon myself to port it to R as a learning
exercise. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">I was not immediately familiar with the
Dirichlet distribution, but in this case it appeals to the intuitive counting
approach to discrete event probabilities. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">In a nutshell we use the training data to
learn the posterior distribution, which turns out to be counts of how often a
given event occurs, grouped by class, feature and feature state.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">Prediction is a case of counting events in the test vector. The more this count differs from the per-class
trained counts, the lower the probability the current candidate class is a
match. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">Anyway, there are three files. The first is
a straightforward port of Barber’s code, but this wasn’t very R-like, and in
particular only seemed to handle input features with the same number of states.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">I developed my own version that expects
everything to be represented as factors. It is all a bit rough and ready but
appears to work and there is a test/example script up here. As a bigger test I
ran it on a sample car evaluation data set from <a href="http://archive.ics.uci.edu/ml/datasets/Car+Evaluation">here</a>, the confusion matrix is as follows:<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US"><span style="font-family: Courier New, Courier, monospace; font-size: x-small;">testY<span style="mso-spacerun: yes;">
</span>acc good unacc vgood<o:p></o:p></span></span></div>
<div class="MsoNormal">
<span lang="EN-US"><span style="font-family: Courier New, Courier, monospace; font-size: x-small;"><span style="mso-spacerun: yes;">
</span>acc<span style="mso-spacerun: yes;"> </span>83<span style="mso-spacerun: yes;"> </span>3<span style="mso-spacerun: yes;">
</span>29<span style="mso-spacerun: yes;"> </span>0<o:p></o:p></span></span></div>
<div class="MsoNormal">
<span lang="EN-US"><span style="font-family: Courier New, Courier, monospace; font-size: x-small;"><span style="mso-spacerun: yes;">
</span>good<span style="mso-spacerun: yes;"> </span>16<span style="mso-spacerun: yes;"> </span>5<span style="mso-spacerun: yes;">
</span>0<span style="mso-spacerun: yes;"> </span>0<o:p></o:p></span></span></div>
<div class="MsoNormal">
<span lang="EN-US"><span style="font-family: Courier New, Courier, monospace; font-size: x-small;"><span style="mso-spacerun: yes;">
</span>unacc<span style="mso-spacerun: yes;"> </span>17<span style="mso-spacerun: yes;"> </span>0<span style="mso-spacerun: yes;">
</span>346<span style="mso-spacerun: yes;"> </span>0<o:p></o:p></span></span></div>
<div class="MsoNormal">
<span lang="EN-US"><span style="font-family: Courier New, Courier, monospace; font-size: x-small;"><span style="mso-spacerun: yes;">
</span>vgood<span style="mso-spacerun: yes;"> </span>13<span style="mso-spacerun: yes;"> </span>0<span style="mso-spacerun: yes;">
</span>0<span style="mso-spacerun: yes;"> </span>6<o:p></o:p></span></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">That’s it for now. Comments/feedback appreciated. You can find me on twitter <a href="https://twitter.com/dizzy_pete">here</a><o:p></o:p></span></div>
<div class="MsoNormal">
<span lang="EN-US"><br /></span></div>
<div class="MsoNormal">
<span lang="EN-US">Links to files:</span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US"><a href="https://github.com/petewerner/ml-examples/blob/master/dbayes/dirichlet-bayes-barber.R">Barber Port</a><o:p></o:p></span></div>
<div class="MsoNormal">
<a href="https://github.com/petewerner/ml-examples/blob/master/dbayes/dirichlet-bayes.R">R amenable implementation</a></div>
<div class="MsoNormal">
<a href="https://github.com/petewerner/ml-examples/blob/master/dbayes/dbayes-test.R">Example Usage</a></div>
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Everything in one directory (with data) <a href="https://github.com/petewerner/ml-examples/tree/master/dbayes">here</a></div>
Petehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.com0tag:blogger.com,1999:blog-5902574258306547143.post-10793975738920810852014-06-22T00:17:00.000-07:002014-06-22T17:08:21.869-07:00Trading in a low vol worldI wanted to take a look at what works in low vol environments, such as we are currently experiencing. I am open to the idea we have entered a period of structurally low volatility due to increased regulatory burden and flow on effects from the decline of <a href="http://in.reuters.com/article/2014/05/12/banks-trading-idINKBN0DS0RO20140512" target="_blank">institutional FICC trading</a>. Or it may just be a function of QE, and post-tapering we will see a return to higher levels.<br />
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<h3>
The plan</h3>
<div>
<br /></div>
The main idea is to compare mean reversion (MR) vs. follow through (FT). For simplicity I define mean reversion as an up day being followed by a down day, and a down day being followed by an up day. Conversely, follow through sees an up day followed by another up day, and a down day followed by a down day.<br />
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I took a look at the major US equity indices, SPX (GSPC), NDX and RUT.<br />
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For each series we calculate daily log returns for the current period and shift the forward to get the return for the next period. Then we calculate realized volatility (RV) and split the data set into "low volatility" and "high volatility", by looking at median realized vol for the whole series.<br />
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Then, for each series, we use bootstrapped samples to simulate a number of trajectories/equity curves for each strategy (MR/FT) under the two classes of RV. Finally we take an average of the total return of each trajectory to get a ballpark idea of how they went.<br />
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<h3>
Results</h3>
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The data is from the start of 1999 to the present, so roughly 15 years. Each run generates 1000 trajectories with a sample size of roughly 950.<br />
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For the low vol case, the results are unfortunately ambiguous. Follow through in a low vol environment seemed to do well for NDX and RUT, but the opposite was the case for SPX.<br />
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The TR column is the sum of the series over the whole period for the volatility class (i.e. a simple long only strategy), giving an idea of a directional bias that may be present in the sampling.<br />
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In the high vol environment, mean reversion was a clear winner, and consistent over the different underlyings.<br />
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The results seem relatively stable across trajectory size/sample size.<br />
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<h3>
Outro</h3>
<br />
I'm not really sure what is going on SPX. My intuition was that FT would do well in low vol environments, but that doesn't seem to be the case, at least not for SPX.<br />
<br />
I was actually getting consistent votes for FT in the low vol case, then restarted R to run with a clean environment and started getting the above instead. You can't spell argh without R it seems.<br />
<br />
Source is up <a href="https://github.com/petewerner/misc/blob/master/mr-ft-highvol-lovol.R" target="_blank">here</a>. As always you can find me on twitter <a href="https://twitter.com/dizzy_pete" target="_blank">here</a>. Thanks for stopping by.<br />
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<br />Petehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.com0tag:blogger.com,1999:blog-5902574258306547143.post-48721961941382790542014-05-31T21:16:00.002-07:002014-06-01T08:46:15.168-07:00Divergence on NDX<span style="font-family: Arial; font-size: 13px;">I generally take a dim view of old-timey technical indicators, perhaps they work for some people but I have found there are much better tool available. One exception is divergence, which in this case is when price makes a new high, but the MACD (or your favourite oscillator) does not. </span><br />
<span style="font-family: Arial; font-size: 13px;"></span><br />
<span style="font-family: Arial; font-size: 13px;">There is very nice looking divergence on NDX, and it also shows up in a weaker form on SPX and INDU. I never take it as a trade signal by itself, but it does make me look a little closer. I have marked off some previous occurrences as well. It does not give any indication about when a sell off may occur, or how much of a sell off will eventuate. Pretty useful isn't it?</span><br />
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<span style="font-family: Arial; font-size: x-small;"><br /></span>
<span style="font-family: Arial; font-size: 13px;">Another form of divergence I take note of is the marked failure of RUT to make it back to its recent highs, which differs from NDX/SPX/INDU. </span><br />
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<span style="font-family: Arial; font-size: 13px;"><br /></span>
<br />
<span style="font-family: Arial; font-size: 13px;">You can also see in the charts above that volume has been declining, especially over the last 4-5 weeks. </span><br />
<span style="font-family: Arial; font-size: 13px;"><br /></span>
<span style="font-family: Arial; font-size: 13px;">I do think we are in a long run bull market which still has a few more years to go. In the event of a shorter term sell off I would generally be looking to buy dips. </span><br />
<span style="font-family: Arial; font-size: 13px;"></span><br />
<span style="font-family: Arial; font-size: 13px;">A good sign of a bull market is shrugging off negative events. We've had some reasonably serious geopolitical happenings, the invasion in Ukraine, a coup in Thailand, and anti-Chinese riots in Vietnam that produced a number of fatalities. </span><br />
<span style="font-family: Arial; font-size: 13px;"></span><br />
<span style="font-family: Arial; font-size: 13px;">Struggling to think what a catalyst might be, perhaps some unpleasant surprise regarding QE tapering, or unconstrained collapse in the Chinese property market, both of which I think are pretty unlikely</span><br />
<span style="font-family: Arial; font-size: 13px;"></span><br />
<span style="font-family: Arial; font-size: 13px;">There's a bunch of macro data out next week, and Apple is having its WWDC. Apple used to make up a very large amount of NDX, something like 24% of the index value was determined by AAPL prices. I know they rebalanced it and am not up to date with where it currently stands.</span><br />
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<span style="font-family: Arial; font-size: x-small;"><br /></span>Petehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.com0tag:blogger.com,1999:blog-5902574258306547143.post-61102792665481777932014-05-31T20:37:00.000-07:002014-05-31T20:38:15.975-07:00A quick look at FX realized volMuch has been said about the decline in volatility. At the moment I am very active in FX spot trading and as a generalization do better the more vol there is.<br />
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I wanted to see how things stood on the crosses I am most active in, namely EUR/USD, GBP/USD and USD/JPY.<br />
<br />
I took hourly data from FxPro (not my broker, nor an endorsement), calculated volatility as the high minus the low, and summed the total for each day. You can think of it as how many pips were on offer if one could correctly call the high and low of each hour of each day.<br />
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All up there is about 90 days of data, so it covers roughly the last four months. I also took the average of the last five days which are the red X’s on the box plots. We are here.<br />
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As you can see, vol is below average. It was quiet week overall, bank holidays in the US and parts of Europe, and only a moderate amount of data coming out. Next week should be a bit busier I think.<br />
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Since I had all the data I also took at look at the average hourly RV per day.<br />
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I don’t want to read too much into this chart but things have been quiet. I read somewhere else fx vol is approaching levels of 2007 which was a very quiet time indeed.<br />
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Some R code is up <a href="https://github.com/petewerner/misc/blob/master/fxvol.R" target="_blank">here</a>, data is <a href="https://github.com/petewerner/misc/tree/master/fxdata" target="_blank">here</a>.Petehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.com0tag:blogger.com,1999:blog-5902574258306547143.post-53461801976075968442014-05-17T20:56:00.000-07:002014-05-17T20:56:39.067-07:00RcppArmadillo cheatsheetI have been using RcppArmadillo more and more frequently, so thought I would make a cheatsheet/cookbook type reference that translates common R operations into equivalent arma code.<br />
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I have put them up on a github wiki page <a href="https://github.com/petewerner/misc/wiki/RcppArmadillo-cheatsheet" target="_blank">here</a>.<br />
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The functions are all pretty basic and not particularly robust. In particular they do not do any bounds or sanity checking. <br />
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You might also enjoy <a href="http://arma.sourceforge.net/docs.html">the arma documentation</a>, in particular the <a href="http://arma.sourceforge.net/docs.html#syntax">matlab/octave syntax conversion example</a>.<br />
<br />
There is also an excellent book <a href="http://www.amazon.com/gp/product/1461468671/ref=as_li_tl?ie=UTF8&camp=1789&creative=9325&creativeASIN=1461468671&linkCode=as2&tag=shiftingsan02-20&linkId=ODTBQGGQBZB2XUUM">Seamless R and C++ Integration with Rcpp</a><br />
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Any corrections or additions are most welcome.Petehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.com0tag:blogger.com,1999:blog-5902574258306547143.post-62358255844284481412014-05-11T04:13:00.000-07:002014-05-11T04:13:08.428-07:00Hedge Fund Managers on YouTubeBill Ackman reads from the book of Buffet<br />
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Ray Dalio gives a run down of macroeconomics<br />
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<br />Petehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.com0tag:blogger.com,1999:blog-5902574258306547143.post-51769054675779904822014-04-25T03:29:00.000-07:002014-04-25T03:30:09.654-07:00Fractional sums of Perlin Noise<!--[if gte mso 9]><xml>
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<!--StartFragment-->
<!--EndFragment--><br />
<div class="MsoNormal">
<span lang="EN-US">I wanted to mess around with fractional
sums of Perlin noise, so made a little openFrameworks app to better understand
what is going on.<o:p></o:p></span></div>
<div class="MsoNormal">
<span lang="EN-US"><br /></span></div>
<h3>
<span lang="EN-US">Frequency</span></h3>
<div class="MsoNormal">
<br />
Frequency comes up quite a bit in the following discussion, and more or less means the rate at
which something goes up and down. All you really need to keep in mind is:</div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">High frequency noise goes up and down
quickly. It looks like this (where black is 0 and white is 1):<o:p></o:p></span></div>
<div class="MsoNormal">
<span lang="EN-US"><br /></span></div>
<div class="separator" style="clear: both; text-align: center;">
</div>
<br />
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhqyClZT1GBJMG1zrLKBDDx0301TOn48W0R__yAEnpF-WsLxevJLq0kt01moSfzh-yuIFyR7lcBoHOWGb1ju63WR8Lnih8Vbj50haqcJouLhX-4ODpaIqLKovEmuX1k9mqrfblCfrHtv-M/s1600/perlin_hifreq.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhqyClZT1GBJMG1zrLKBDDx0301TOn48W0R__yAEnpF-WsLxevJLq0kt01moSfzh-yuIFyR7lcBoHOWGb1ju63WR8Lnih8Vbj50haqcJouLhX-4ODpaIqLKovEmuX1k9mqrfblCfrHtv-M/s1600/perlin_hifreq.png" height="240" width="320" /></a></div>
<div class="MsoNormal">
<span lang="EN-US"><br /></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">Low frequency noise goes up and down
slowly. <span style="mso-spacerun: yes;"> </span>It looks like this:<o:p></o:p></span></div>
<div class="MsoNormal">
<span lang="EN-US"><br /></span></div>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhkeYUSiaGNj9ne-qyIH2VfwVDWXtxQqzUUrfoVksK5X7D976j2Ak-yAi39_4v_PVIZoxp3Hl7Nr3QZ9O0Gu1FP92tRYwE8hwKM7ZjVIkLBoke9_A54bKm7qD6jbuiTXDfZ_jYqRaQsuP0/s1600/perlin_lowfreq.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhkeYUSiaGNj9ne-qyIH2VfwVDWXtxQqzUUrfoVksK5X7D976j2Ak-yAi39_4v_PVIZoxp3Hl7Nr3QZ9O0Gu1FP92tRYwE8hwKM7ZjVIkLBoke9_A54bKm7qD6jbuiTXDfZ_jYqRaQsuP0/s1600/perlin_lowfreq.png" height="239" width="320" /></a></div>
<div class="MsoNormal">
<span lang="EN-US"><br /></span></div>
<div class="MsoNormal">
<br />
You can see low frequency noise takes a while to get from zero to one and vice versa, while high frequency noise does it much more often.<br />
<br /></div>
<h3>
<span lang="EN-US">ofNoise Inputs and Outputs</span></h3>
<div class="MsoNormal">
<br />
In general it’s a good starting point to
pass normalized coordinates to the noise function.</div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">You can use ofNoise() to get values ranging
from [0, 1], or ofSignedNoise() to get values from [-1, 1].<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">There are a bunch of functions for various
dimensions as well.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<h3>
<span lang="EN-US">Fractional Sums</span></h3>
<div class="MsoNormal">
<br />
Low frequency noise will give a nice
undulating look, but often it is boring. High frequency noise is more
interesting, but can be a bit too chaotic. What we want is a nice combination
of both.</div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">Using an example from Paul Bourke, we take
several instances of noise at increasing frequency and combine them to get the
effect we are after. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">To do this there are three parameters, an
octave count, alpha, and beta.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">The octave count is how many layers of
noise we will be adding together. This will typically range from 1 to 8. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">Each layer of noise is generated at a
higher frequency than the one before, which is where the name octave comes
from.<span style="mso-spacerun: yes;"> </span><o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">Beta controls the frequency of noise, the
larger it is, the higher the frequency of the noise, i.e. the faster it goes up
and down.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">Adding these together works, but you might
find the higher frequency noise overpowers the lower frequency noise. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">This is where the third parameter, alpha,
comes in, controlling how much of the noise from the current octave ends up in
the final sum. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">In rough code it looks like this:<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<pre>double sum = 0.0;
for (int n = 0; n < octaveCount; n++)
sum += 1/alpha^n * noise(n * beta * x, n * beta * y);
</pre>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">Lets say alpha and beta are both 2. In the
call to noise(), the n * beta term will get progressively larger for each
successive layer of noise. We are increasing the frequency of the generated
noise. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">However, with alpha as 2, we are adding
successively less of each octave, as we get 1/2, 1/4, 1/8, 1/16 … reducing the
magnitude of the higher frequency terms.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">Taken together, we see the higher frequency
noise contributes less and less to the final sum. We end up with a nice smooth
but varying noise map to use for displacement or whatever we want.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<h3>
<span lang="EN-US">Normalizing</span></h3>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">Summing several octaves means you will
typically get values greater than 1 (and less than -1 if you are using signed
noise). <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">There’s a few ways you can normalize these,
take a look at the commented out code. You might not want to map the minimum to
zero as it can cause jumps when the lower bound of the summed noise changes.<o:p></o:p></span></div>
<div class="MsoNormal">
<span lang="EN-US"><o:p><br /></o:p></span></div>
<h3>
<span lang="EN-US"><o:p>The app </o:p></span></h3>
<div class="MsoNormal">
<br />
An app to play with is up <a href="https://github.com/petewerner/generative/tree/master/noise1" target="_blank">here</a></div>
<div class="MsoNormal">
<span lang="EN-US"><o:p><br /></o:p></span></div>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEizYMfXjlN9BiD5qJDelHu27b59jp1dLU9EpTX5ROjn00xX5sMXdfzP9gm1G7AjLaFYmzofyNcKp4P3h28IDzsK6yyBMKDqo9PwT6bFJ0u4fAzNE5QPc_YRColHrzp0fY1MyRqEceLGZsc/s1600/perlin_app.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEizYMfXjlN9BiD5qJDelHu27b59jp1dLU9EpTX5ROjn00xX5sMXdfzP9gm1G7AjLaFYmzofyNcKp4P3h28IDzsK6yyBMKDqo9PwT6bFJ0u4fAzNE5QPc_YRColHrzp0fY1MyRqEceLGZsc/s1600/perlin_app.png" height="240" width="320" /></a></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US"><o:p><br /></o:p></span></div>
<div class="MsoNormal">
<span lang="EN-US">The small images show the individual
octaves, and the big image is the final result.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">
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<span lang="EN-US">Also I used the noise function from that
app to do vertex displacement of a mesh and put a clip up here:</span><br />
<span lang="EN-US"><o:p><br /></o:p></span>
<span lang="EN-US"><o:p>
<iframe allowfullscreen="" frameborder="0" height="374" mozallowfullscreen="" src="//player.vimeo.com/video/92913120" webkitallowfullscreen="" width="500"></iframe>
</o:p></span></div>
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<span lang="EN-US"><br /></span></div>
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<span lang="EN-US"><br /></span></div>
<div class="MsoNormal">
<span lang="EN-US"><br /></span></div>
<div class="MsoNormal">
<span lang="EN-US">That’s it for now. Later on I will give an example of making seamless noise loops. I have a bunch of other stuff going on which I will write about when they are finished off, but I am really looking forward to sharing.</span><br />
<span lang="EN-US"><br /></span>
<span lang="EN-US">As always you can find me being rude and unprofessional on <a href="https://twitter.com/dizzy_pete" target="_blank">twitter</a>. I love hearing from people, so tweet me pics of your rad noise stuff. </span></div>
Petehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.com2tag:blogger.com,1999:blog-5902574258306547143.post-21324490215894026812014-01-18T04:15:00.003-08:002014-01-18T04:34:31.660-08:00Cheap Tricks - Interactive Dance Floor Application with Kinect and openFrameworksI took a short break from a longer term project I am working on to make something for a New Years Eve party dance floor. I didn’t have a lot of time and it shows one of my favorite aspects of working with openFrameworks: you get a lot of stuff for free via the addons available, making it very quick to implement ideas.<br />
<br />
You can see a little demo of the project here:<br />
<br />
<iframe allowfullscreen="" frameborder="0" height="376" mozallowfullscreen="" src="//player.vimeo.com/video/83001696" webkitallowfullscreen="" width="500"></iframe> <br />
<a href="http://vimeo.com/83001696">Cheap Tricks</a> from <a href="http://vimeo.com/dizzypete">dizzy pete</a>.<br />
<br />
It uses a Kinect and OpenCV to get the blobs (in this case people and my Ikea furniture) then turns them into triangles that are audio reactive, as well as adding in some visual effects with no real purpose other than to look cool.<br />
<br />
<span style="font-size: large;">Kinect Input</span><br />
<br />
Reading from the Kinect is relatively straightforward, and more or less lifted straight from Kinect examples that come with oF. It uses the depth information in a grayscale OpenCV image and does some simple thresholding based on depth settings.<br />
<br />
This grayscale image is passed to the stock OpenCV blob finder, then the blob information is passed to ofxTriangle to get a set of triangles representing the blob. I initially was using ofxDelaunay but found ofxTriangle just worked a little better for what I was after.<br />
<br />
<span style="font-size: large;">Audio</span><br />
<br />
The audio reactive part is done via ofxFFT by julapy (there are a few out there so make sure you have the right one if you’re taking a look). I originally wanted to do beat detection and have the figures pulse in time with the beat, but that was a little too involved given the time constraint, so decided just to stick with the very low end.<br />
<br />
I experimented with various numbers of FFT bins but ended up using the default buffer size of 512, bin size 256 and averaging the lowest three bins. This is the variable ‘low’ that is used throughout the code.<br />
<br />
Ideally I would have had a proper audio device feeding in from the DJ’s mixer, but as it turned out I was using the default microphone on my MacBook for audio input, which worked much better than I expected.<br />
<br />
Based on the current amount of low-end audio detected, each vertex of each triangle is displaced from its center by some amount. Triangle sizes vary; the torso of the detected body has larger triangles than the hand or arm, how much displacement to be applied is a function of the triangle area.<br />
<br />
To be precise it is the square root of the triangle’s area, and can be tweaked by a parameter called jitterSize in the gui. I don’t actually displace each vertex, just two out of three. The code to do all third is there but commented out, I just liked the way it looked doing only two. <br />
<br />
Once the vertex displacement has been calculated, the triangle is added to a mesh along with texture coordinates, which are used for coloring. But more on that in a second.<br />
<br />
<div class="separator" style="clear: both; text-align: center;">
</div>
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhAobjeQdhSRSVW9chqpRKVXcCm3yRDt0UlQRJ4-nQd8_rgO6sNXhvx_E0ly2rAT__RbLPU5wOt-G_R-NXyLI7-63slhbAqwtaTuK8yb1-LQlS6taGgk2QJ95QG-cDt65PiJcob5_LDy1k/s1600/screen_31.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhAobjeQdhSRSVW9chqpRKVXcCm3yRDt0UlQRJ4-nQd8_rgO6sNXhvx_E0ly2rAT__RbLPU5wOt-G_R-NXyLI7-63slhbAqwtaTuK8yb1-LQlS6taGgk2QJ95QG-cDt65PiJcob5_LDy1k/s1600/screen_31.png" height="240" width="320" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">The basic triangle form</td></tr>
</tbody></table>
<br />
<br />
<span style="font-size: large;">Background</span><br />
<br />
By this stage the basic audio-reactive triangle people thing I was after was done, but it still looked a bit flat.<br />
<br />
Poking around some OpenCV examples, I saw examples of motion detection that looked kinda cool.<br />
<br />
First it takes the difference between the current frame and last frame, which gives areas where motion has been detected. This is then scaled up as a function of low-end audio and GUI parameter glowExtra, then added to a buffer image. The buffer image gets decayed over time, so things fade out as the motion fades.<br />
<br />
This looked ok, but I wanted it to be a bit smoother so used ofxFboBlur to add in excessive amounts of Gaussian blur to the motion buffer image. I had to change its source a bit just to play a bit nicer with FBO sizes and drawing, which is why it appears in the source folder and not as an addon.<br />
<br />
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<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjf-stF7ZA1IjxkFXUMNPPOM3KzsAZLUh0die9OTckbVsEx2Mhjw5AH6ZIavjG1judM7sZBXVALnBWL5BvSyMTea28zIsKf03CKj66MEUHxflCWj308i2J95LTQhkift2iLKpUndCCI46U/s1600/screen_9.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjf-stF7ZA1IjxkFXUMNPPOM3KzsAZLUh0die9OTckbVsEx2Mhjw5AH6ZIavjG1judM7sZBXVALnBWL5BvSyMTea28zIsKf03CKj66MEUHxflCWj308i2J95LTQhkift2iLKpUndCCI46U/s1600/screen_9.png" height="240" width="320" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">The blurred motion detection background</td></tr>
</tbody></table>
<br />
<br />
<span style="font-size: large;">Color</span><br />
<br />
Coloring was probably the hardest part for me, and even then it was pretty easy.<br />
<br />
There are lots of different ways this could be done, but I settled on using a two-color gradient rendered to an FBO, using a mesh with vertex colors. Each frame, the mesh vertex colors are updated by cycling through the Hue component in HSB space, then the updated mesh is rendered to the FBO.<br />
<br />
This FBO gets used in two places. First it is blended with the grayscale blurred motion detection background using a multiplicative blend mode, which takes care of coloring in the swishy aura type effect in the background.<br />
<br />
Then the FBO texture reference is bound and the mesh containing our displaced triangularized blobs is drawn as a wireframe. This is where having texture coordinates for each vertex in the mesh is important, though fiddling around I noticed I don’t need tex coords if ofBackground() has been called. Who knows.<br />
<br />
Regardless, when the wireframe is drawn, it is colored based on the bound FBO texture reference, which takes care of coloring in our triangle people.<br />
<br />
<table align="center" cellpadding="0" cellspacing="0" class="tr-caption-container" style="margin-left: auto; margin-right: auto; text-align: center;"><tbody>
<tr><td style="text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgMleLZgEL1HVd2b48D2GOjYSFeGQthysAVx60RIMySiRvjFgXK8cAa5zahJ16ptOEfa2q3QWPI2Hppcp6YWg2tebDECC5ZRKOxwOUeUQmjp-Oibu7oah6-oOshKAg2rCVul0OTlZjAr00/s1600/screen_35.png" imageanchor="1" style="margin-left: auto; margin-right: auto;"><img border="0" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgMleLZgEL1HVd2b48D2GOjYSFeGQthysAVx60RIMySiRvjFgXK8cAa5zahJ16ptOEfa2q3QWPI2Hppcp6YWg2tebDECC5ZRKOxwOUeUQmjp-Oibu7oah6-oOshKAg2rCVul0OTlZjAr00/s1600/screen_35.png" height="240" width="320" /></a></td></tr>
<tr><td class="tr-caption" style="text-align: center;">The two layers colored and drawn together</td></tr>
</tbody></table>
<br />
<br />
<span style="font-size: large;">Outro</span><br />
<br />
So that is just a quick run through of how it works. I used a lot of addons, and all up it took me about 2 days. I started on the evening of the 29th and was finished by the afternoon of the 31st, just in time. Without the oF addons it would’ve taken me well over a week, possibly many weeks.<br />
<br />
People at the party really seemed to enjoy it as well, which is always a great feeling.<br />
<br />
I used soundflower during development (and oF 0.7.3 eep), but updated it to use oF 0.8, which is why you see ofxSoundStream in the code.<br />
<br />
If you don’t have a Kinect it will use the device camera, but it does not work as well. You can use the far threshold setting for the OpenCV threshold in that case.<br />
<br />
The source is up <a href="https://github.com/petewerner/generative/tree/master/cheap_tricks" target="_blank">here</a>.<br />
<br />
Also I have put the source for Particles up <a href="https://github.com/petewerner/generative/tree/master/particles" target="_blank">here</a> as well<br />
<br />
You can find me on twitter <a href="http://twitter.com/dizzy_pete" target="_blank">here</a> !<br />
<br />
<iframe allowfullscreen="" frameborder="0" height="600" mozallowfullscreen="" src="//player.vimeo.com/video/46149488" webkitallowfullscreen="" width="500"></iframe> <br />
<a href="http://vimeo.com/46149488">Particles 1</a> from <a href="http://vimeo.com/dizzypete">dizzy pete</a>.<br />
<br />
<div>
<br /></div>
Petehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.com1tag:blogger.com,1999:blog-5902574258306547143.post-48766001301307947142013-11-24T07:36:00.002-08:002013-11-24T07:36:25.372-08:00Just for fun: attractors in RI have a borderline unhealthy obsession with attractors. I thought I got it out of my system, but here we are. For whatever reason, I felt like making some in R.<br />
<br />
You can find the R code <a href="https://github.com/petewerner/misc/blob/master/attractor.R" target="_blank">here</a>. It uses the attractor function to define density in a matrix, which is how often a given point gets hit. Then we plot the log scaled version of that using image().<br />
<br />
Be warned, with a lot of points it can be quite slow. If you play around you might want to drop the n value to 10,000 or so.<br />
<br />
Some pictures<br />
<br />
<div class="separator" style="clear: both; text-align: center;">
Dejong</div>
<br />
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhhHJVMXrkOdzdYPBKkM5VeE7zTYF871VpLOv4p0CHkXyx1FsICHk-L5Y4mRxh2P31FS5JptD4-YUQKLvA5tat15PFlAmczYUVNcnOaYCD6IhIpT5QbJyAR5cqEnxBLcX17swF2rLxM9gw/s1600/attractor-dejong.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="400" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhhHJVMXrkOdzdYPBKkM5VeE7zTYF871VpLOv4p0CHkXyx1FsICHk-L5Y4mRxh2P31FS5JptD4-YUQKLvA5tat15PFlAmczYUVNcnOaYCD6IhIpT5QbJyAR5cqEnxBLcX17swF2rLxM9gw/s400/attractor-dejong.png" width="400" /></a></div>
<div class="separator" style="clear: both; text-align: center;">
<br /></div>
<div class="separator" style="clear: both; text-align: center;">
Clifford</div>
<br />
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEij_7MOQ06IoNxm3ED5R5qjZbOW_4Phd6b_mKgT-obO0mJpr6rhLHAfGARt0VqD24H4dRvSB0GPhmPWKDJ2YdJmW69DFk-8F4kgBMkLlJ2v6hrYIUporXJTcyTCG6ZBZFpT-UnwXxFDYvM/s1600/attractor-clifford.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em; text-align: center;"><img border="0" height="400" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEij_7MOQ06IoNxm3ED5R5qjZbOW_4Phd6b_mKgT-obO0mJpr6rhLHAfGARt0VqD24H4dRvSB0GPhmPWKDJ2YdJmW69DFk-8F4kgBMkLlJ2v6hrYIUporXJTcyTCG6ZBZFpT-UnwXxFDYvM/s400/attractor-clifford.png" width="400" /></a></div>
<br />
<br />
If you like this sort of thing, I made a realtime interactive dejong attractor, using a kinect, openFrameworks and a lot of GLSL shaders. You can see a clip of it below, the source is also on my github if you are so inclined.<br />
<br />
<iframe allowfullscreen="" frameborder="0" height="338" mozallowfullscreen="" src="//player.vimeo.com/video/57775915" webkitallowfullscreen="" width="600"></iframe> <br />
<a href="http://vimeo.com/57775915">Attractor</a> from <a href="http://vimeo.com/dizzypete">dizzy pete</a> on <a href="https://vimeo.com/">Vimeo</a>.<br />
<br />
You can find me on <a href="https://twitter.com/dizzy_pete" target="_blank">twitter</a> and <a href="https://plus.google.com/u/0/114051263178452195528/posts" target="_blank">G+</a><br />
<br />Petehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.com10tag:blogger.com,1999:blog-5902574258306547143.post-76693658069011169842013-11-24T00:22:00.000-08:002014-05-26T04:24:30.555-07:00Book Review: Applied Predictive Modeling by Max Kuhn and Kjell JohnsonThis is a gem of a book.<br />
<br />
From the introduction:<br />
<div>
<br /></div>
<blockquote class="tr_bq">
We intend this work to be a practitioner’s guide to the predictive modeling process and a place where one can come to learn about the approach and to gain intuition about the many commonly used and modern, powerful models.</blockquote>
<blockquote class="tr_bq">
…it was our goal to be as hands-on as possible, enabling the readers to reproduce the results within reasonable precision as well as being able to naturally extend the predictive modeling approach to their own data.</blockquote>
<div>
<br /></div>
<div>
The book is structured into four main sections. First is General Strategies, which provides an introduction and discusses things like pre-processing and tuning. </div>
<div>
<br /></div>
<div>
The next two sections cover regression and classification, each with chapters on linear and non-linear methods, as well as tree and rule based methods, with one to two chapters on practical issues such as measuring performance. </div>
<div>
<br /></div>
<div>
The final section covers feature selection, predictor importance and a discussion around model performance. </div>
<div>
<br /></div>
<h3>
Features</h3>
<div>
<br /></div>
<div>
There are a few things I really like:</div>
<div>
<br /></div>
<div>
It is not an academic or mathematical treatise; the emphasis is on practice, discussing the issues that commonly arise and how they can be approached. Plenty of references are provided for those wanting to dig deeper.</div>
<div>
<br /></div>
<div>
Every example has its data set and code available so one can work through the examples as presented. In most cases they are real world datasets and there is great discussion of the real world issues that arise, what should be considered and the various tradeoffs that can be made.</div>
<div>
<br /></div>
<div>
Discussion and code are separate. Aside from the excellent content, this is probably what I appreciate the most. Each chapter presents its content, with charts where appropriate, while the actual walk through of the code and raw output is in a separate section of the chapter. </div>
<div>
<br /></div>
<div>
This makes it much easier to focus on the material being presented. It is always difficult to present source code along with discussion. This is not a book about programming per-se, it is about using existing tools to make intelligent and reasoned decisions about the task at hand. It makes a lot of sense to have the code presented separately.</div>
<div>
<br /></div>
<div>
Also, as far as I have read, each chart is at most only one page away from the text discussing it. This is a small thing but I feel there has been serious consideration about the presentation of the material and it has been done very well. [Update: This is not strictly true but is mostly the case throughout the book]</div>
<div>
<br /></div>
<div>
It is not a book about caret, the package of author Max Kuhn. To be honest I would be pretty happy even if it were about caret, which certainly does get some use in the code, but it is relatively package agnostic. </div>
<div>
<br /></div>
<h3>
Final thoughts</h3>
<div>
<br /></div>
<div>
This is a great book, providing both the trees and the forest so to speak. I am unaware of any other book with similar content, and I wish I had something like this when I was first getting interested in machine learning. </div>
<div>
<br /></div>
<div>
There are books that are very introductory, books that cover the details of the algorithms, and books that provide rigorous coverage of the theory, but these are not really accessible to those without a serious amount of mathematics. There are a few equations presented where appropriate, but it is certainly not the focus of the book. </div>
<div>
<br /></div>
<div>
There are no real shortcomings, though if there were ever a second edition, coverage of time series methods and deep learning would be welcome. I appreciate they are both book worthy topics by themselves, and the latter is still very much a moving target. </div>
<div>
<br /></div>
<div>
In summary: Great content, well written and well presented. This book would be my top recommendation to anyone looking to get started or working with predictive modeling. Well worth checking out. </div>
<div>
<br /></div>
<div>
You can read more reviews on amazon here: <a href="http://www.amazon.com/gp/product/1461468485/ref=as_li_tl?ie=UTF8&camp=1789&creative=390957&creativeASIN=1461468485&linkCode=as2&tag=shiftingsan02-20&linkId=B77T6OBM3ZQBIDKS">Applied Predictive Modeling</a><img src="http://ir-na.amazon-adsystem.com/e/ir?t=shiftingsan02-20&l=as2&o=1&a=1461468485" width="1" height="1" border="0" alt="" style="border:none !important; margin:0px !important;" />
<br />
<br />
You can find me on <a href="https://twitter.com/dizzy_pete" target="_blank">twitter</a> and <a href="https://plus.google.com/u/0/114051263178452195528/posts" target="_blank">G+</a></div>Petehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.com2tag:blogger.com,1999:blog-5902574258306547143.post-51210450894589425612013-10-25T06:17:00.000-07:002013-10-25T06:17:59.463-07:00Another Rcpp/RcppArmadillo success storyI finally had an excuse to try out RcppArmadillo and was amazed at just how well it worked out.<br />
<br />
The exact details are a bit beyond a blog post, but basically I had a matrix of roughly 80,000x2 double valued samples (call it A) and needed to find where in another, much smaller matrix (call it B) each of the samples was closest too.<br />
<br />
There was some structure to the B matrix, which is 500x2, so it wasn't necessary to iterate through all 500, each lookup jumped around a bit and took 8 iterations.<br />
<br />
The pseduocode in R looked a bit like this<br />
<br />
<span style="font-family: Courier New, Courier, monospace;">find_closest <- function(A, B) {</span><br />
<span style="font-family: Courier New, Courier, monospace;"> for(i in 1:8) {</span><br />
<span style="font-family: Courier New, Courier, monospace;"> ...voodoo...</span><br />
<span style="font-family: Courier New, Courier, monospace;"> }</span><br />
<span style="font-family: Courier New, Courier, monospace;"> return index into B that A is closest too</span><br />
<span style="font-family: Courier New, Courier, monospace;">}</span><br />
<span style="font-family: Courier New, Courier, monospace;"><br /></span>
<span style="font-family: Courier New, Courier, monospace;">calc_distance <- function(A, B) apply(A, 1, find_closest, B=B) </span><br />
<br />
All up it took about 9.5 seconds on my system, and 15 seconds on another.<br />
<br />
The first pass I implemented find_closest using RcppArmadillo, and saw a healthy speed up to around 400 ms, which was a big improvement.<br />
<br />
Then I realised I might as well do calc_distance/the apply in C++ as it was just a simple vector of integers being returned.<br />
<br />
This gave an amazing performance leap, the function now takes around 12 milliseconds all up, down from 9.5 seconds. On another machine it would take 15 seconds, and ended up taking 10 milliseconds.<br />
<br />
I was very surprised at this. I haven't have a chance to dig into the details, but I am assuming there is a reasonable amount of overhead passing the data from R to RcppArmadillo. In the case of apply, this would be incurred for every row/column the apply was running find_closest on. By moving the apply to C++, all the data was passed from R to C++ only once, giving the large speedup. Or so I guess.<br />
<br />
I tried two versions, one that traversed A & B row wise, and the other by column. The column one generally seemed faster, 12 ms vs 19 ms for rows. According to the Arma docs it stores matrices in column-major order, which might explain that difference.<br />
<br />
Would appreciate any comments or pointers to documentation so I can better understand what is going on under the hood there.<br />
<br />
<br />
<br />Petehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.com1tag:blogger.com,1999:blog-5902574258306547143.post-3681998894022099922013-10-25T05:44:00.000-07:002013-10-25T05:44:55.299-07:00The case for data snooping<div class="MsoNormal">
<span lang="EN-US" style="font-family: Helvetica;">When we are
backtesting automated trading systems, accidental data snooping or look forward
errors are an easy mistake to make. The nature of the error in this context is
making our predictions using the data we are trying to predict. Typically, it
comes from a mistake with our calculations of time offsets somewhere.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US" style="font-family: Helvetica;">However, it
can be a useful tool. If we give our system perfect forward knowledge:<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US" style="font-family: Helvetica;">1) We
establish an upper bound for performance.<o:p></o:p></span></div>
<div class="MsoNormal">
<span lang="EN-US" style="font-family: Helvetica;">2) We can get
a quick read if something is worth pursuing further, and<o:p></o:p></span></div>
<div class="MsoNormal">
<span lang="EN-US" style="font-family: Helvetica;">3) It can
help highlight other coding errors.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US" style="font-family: Helvetica;">The first two
are pretty closely related. If our wonderful model is built using the values it
is trying to predict, and still performs no better than random guessing, it’s
probably not worth the effort trying to salvage it. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US" style="font-family: Helvetica;">The flip side
is when it performs well, that will be as good as it will ever get.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US" style="font-family: Helvetica;">There are two
main ways it can help identifying errors. Firstly, if our subsequent testing on
non-snooped data provides comparable performance, we probably have another look
ahead bug lurking somewhere. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
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<w:LsdException Locked="false" Priority="72" SemiHidden="false"
UnhideWhenUsed="false" Name="Colorful List Accent 1"/>
<w:LsdException Locked="false" Priority="73" SemiHidden="false"
UnhideWhenUsed="false" Name="Colorful Grid Accent 1"/>
<w:LsdException Locked="false" Priority="60" SemiHidden="false"
UnhideWhenUsed="false" Name="Light Shading Accent 2"/>
<w:LsdException Locked="false" Priority="61" SemiHidden="false"
UnhideWhenUsed="false" Name="Light List Accent 2"/>
<w:LsdException Locked="false" Priority="62" SemiHidden="false"
UnhideWhenUsed="false" Name="Light Grid Accent 2"/>
<w:LsdException Locked="false" Priority="63" SemiHidden="false"
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<w:LsdException Locked="false" Priority="65" SemiHidden="false"
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<w:LsdException Locked="false" Priority="71" SemiHidden="false"
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<w:LsdException Locked="false" Priority="73" SemiHidden="false"
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<w:LsdException Locked="false" Priority="61" SemiHidden="false"
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<w:LsdException Locked="false" Priority="62" SemiHidden="false"
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<w:LsdException Locked="false" Priority="73" SemiHidden="false"
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<w:LsdException Locked="false" Priority="61" SemiHidden="false"
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<w:LsdException Locked="false" Priority="62" SemiHidden="false"
UnhideWhenUsed="false" Name="Light Grid Accent 4"/>
<w:LsdException Locked="false" Priority="63" SemiHidden="false"
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<w:LsdException Locked="false" Priority="64" SemiHidden="false"
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<w:LsdException Locked="false" Priority="65" SemiHidden="false"
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<w:LsdException Locked="false" Priority="66" SemiHidden="false"
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<w:LsdException Locked="false" Priority="67" SemiHidden="false"
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<w:LsdException Locked="false" Priority="69" SemiHidden="false"
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<w:LsdException Locked="false" Priority="70" SemiHidden="false"
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<w:LsdException Locked="false" Priority="71" SemiHidden="false"
UnhideWhenUsed="false" Name="Colorful Shading Accent 4"/>
<w:LsdException Locked="false" Priority="72" SemiHidden="false"
UnhideWhenUsed="false" Name="Colorful List Accent 4"/>
<w:LsdException Locked="false" Priority="73" SemiHidden="false"
UnhideWhenUsed="false" Name="Colorful Grid Accent 4"/>
<w:LsdException Locked="false" Priority="60" SemiHidden="false"
UnhideWhenUsed="false" Name="Light Shading Accent 5"/>
<w:LsdException Locked="false" Priority="61" SemiHidden="false"
UnhideWhenUsed="false" Name="Light List Accent 5"/>
<w:LsdException Locked="false" Priority="62" SemiHidden="false"
UnhideWhenUsed="false" Name="Light Grid Accent 5"/>
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UnhideWhenUsed="false" Name="Dark List Accent 5"/>
<w:LsdException Locked="false" Priority="71" SemiHidden="false"
UnhideWhenUsed="false" Name="Colorful Shading Accent 5"/>
<w:LsdException Locked="false" Priority="72" SemiHidden="false"
UnhideWhenUsed="false" Name="Colorful List Accent 5"/>
<w:LsdException Locked="false" Priority="73" SemiHidden="false"
UnhideWhenUsed="false" Name="Colorful Grid Accent 5"/>
<w:LsdException Locked="false" Priority="60" SemiHidden="false"
UnhideWhenUsed="false" Name="Light Shading Accent 6"/>
<w:LsdException Locked="false" Priority="61" SemiHidden="false"
UnhideWhenUsed="false" Name="Light List Accent 6"/>
<w:LsdException Locked="false" Priority="62" SemiHidden="false"
UnhideWhenUsed="false" Name="Light Grid Accent 6"/>
<w:LsdException Locked="false" Priority="63" SemiHidden="false"
UnhideWhenUsed="false" Name="Medium Shading 1 Accent 6"/>
<w:LsdException Locked="false" Priority="64" SemiHidden="false"
UnhideWhenUsed="false" Name="Medium Shading 2 Accent 6"/>
<w:LsdException Locked="false" Priority="65" SemiHidden="false"
UnhideWhenUsed="false" Name="Medium List 1 Accent 6"/>
<w:LsdException Locked="false" Priority="66" SemiHidden="false"
UnhideWhenUsed="false" Name="Medium List 2 Accent 6"/>
<w:LsdException Locked="false" Priority="67" SemiHidden="false"
UnhideWhenUsed="false" Name="Medium Grid 1 Accent 6"/>
<w:LsdException Locked="false" Priority="68" SemiHidden="false"
UnhideWhenUsed="false" Name="Medium Grid 2 Accent 6"/>
<w:LsdException Locked="false" Priority="69" SemiHidden="false"
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<w:LsdException Locked="false" Priority="70" SemiHidden="false"
UnhideWhenUsed="false" Name="Dark List Accent 6"/>
<w:LsdException Locked="false" Priority="71" SemiHidden="false"
UnhideWhenUsed="false" Name="Colorful Shading Accent 6"/>
<w:LsdException Locked="false" Priority="72" SemiHidden="false"
UnhideWhenUsed="false" Name="Colorful List Accent 6"/>
<w:LsdException Locked="false" Priority="73" SemiHidden="false"
UnhideWhenUsed="false" Name="Colorful Grid Accent 6"/>
<w:LsdException Locked="false" Priority="19" SemiHidden="false"
UnhideWhenUsed="false" QFormat="true" Name="Subtle Emphasis"/>
<w:LsdException Locked="false" Priority="21" SemiHidden="false"
UnhideWhenUsed="false" QFormat="true" Name="Intense Emphasis"/>
<w:LsdException Locked="false" Priority="31" SemiHidden="false"
UnhideWhenUsed="false" QFormat="true" Name="Subtle Reference"/>
<w:LsdException Locked="false" Priority="32" SemiHidden="false"
UnhideWhenUsed="false" QFormat="true" Name="Intense Reference"/>
<w:LsdException Locked="false" Priority="33" SemiHidden="false"
UnhideWhenUsed="false" QFormat="true" Name="Book Title"/>
<w:LsdException Locked="false" Priority="37" Name="Bibliography"/>
<w:LsdException Locked="false" Priority="39" QFormat="true" Name="TOC Heading"/>
</w:LatentStyles>
</xml><![endif]-->
<!--[if gte mso 10]>
<style>
/* Style Definitions */
table.MsoNormalTable
{mso-style-name:"Table Normal";
mso-tstyle-rowband-size:0;
mso-tstyle-colband-size:0;
mso-style-noshow:yes;
mso-style-priority:99;
mso-style-parent:"";
mso-padding-alt:0cm 5.4pt 0cm 5.4pt;
mso-para-margin:0cm;
mso-para-margin-bottom:.0001pt;
mso-pagination:widow-orphan;
font-size:10.0pt;
font-family:"Times New Roman";
mso-fareast-language:JA;}
</style>
<![endif]-->
<!--StartFragment-->
<!--EndFragment--><br />
<div class="MsoNormal">
<span lang="EN-US" style="font-family: Helvetica;">Secondly, things
like having amazing accuracy yet still performing poorly is another sign of a
bug lurking somewhere. <o:p></o:p></span></div>
<div class="MsoNormal">
<span lang="EN-US" style="font-family: Helvetica;"><br /></span></div>
<h3>
<span lang="EN-US" style="font-family: Helvetica;">Example</span></h3>
<div>
<span lang="EN-US" style="font-family: Helvetica;">
<!--[if gte mso 9]><xml>
<o:OfficeDocumentSettings>
<o:AllowPNG/>
</o:OfficeDocumentSettings>
</xml><![endif]-->
<!--[if gte mso 9]><xml>
<w:WordDocument>
<w:View>Normal</w:View>
<w:Zoom>0</w:Zoom>
<w:TrackMoves/>
<w:TrackFormatting/>
<w:PunctuationKerning/>
<w:ValidateAgainstSchemas/>
<w:SaveIfXMLInvalid>false</w:SaveIfXMLInvalid>
<w:IgnoreMixedContent>false</w:IgnoreMixedContent>
<w:AlwaysShowPlaceholderText>false</w:AlwaysShowPlaceholderText>
<w:DoNotPromoteQF/>
<w:LidThemeOther>EN-AU</w:LidThemeOther>
<w:LidThemeAsian>JA</w:LidThemeAsian>
<w:LidThemeComplexScript>X-NONE</w:LidThemeComplexScript>
<w:Compatibility>
<w:BreakWrappedTables/>
<w:SnapToGridInCell/>
<w:WrapTextWithPunct/>
<w:UseAsianBreakRules/>
<w:DontGrowAutofit/>
<w:SplitPgBreakAndParaMark/>
<w:EnableOpenTypeKerning/>
<w:DontFlipMirrorIndents/>
<w:OverrideTableStyleHps/>
<w:UseFELayout/>
</w:Compatibility>
<m:mathPr>
<m:mathFont m:val="Cambria Math"/>
<m:brkBin m:val="before"/>
<m:brkBinSub m:val="--"/>
<m:smallFrac m:val="off"/>
<m:dispDef/>
<m:lMargin m:val="0"/>
<m:rMargin m:val="0"/>
<m:defJc m:val="centerGroup"/>
<m:wrapIndent m:val="1440"/>
<m:intLim m:val="subSup"/>
<m:naryLim m:val="undOvr"/>
</m:mathPr></w:WordDocument>
</xml><![endif]--><!--[if gte mso 9]><xml>
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<w:LsdException Locked="false" Priority="39" Name="toc 1"/>
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<w:LsdException Locked="false" Priority="39" Name="toc 6"/>
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<w:LsdException Locked="false" Priority="39" Name="toc 9"/>
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<w:LsdException Locked="false" UnhideWhenUsed="false" Name="Placeholder Text"/>
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UnhideWhenUsed="false" Name="Medium List 2"/>
<w:LsdException Locked="false" Priority="67" SemiHidden="false"
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UnhideWhenUsed="false" Name="Light List Accent 1"/>
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UnhideWhenUsed="false" Name="Medium Shading 1 Accent 1"/>
<w:LsdException Locked="false" Priority="64" SemiHidden="false"
UnhideWhenUsed="false" Name="Medium Shading 2 Accent 1"/>
<w:LsdException Locked="false" Priority="65" SemiHidden="false"
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<w:LsdException Locked="false" UnhideWhenUsed="false" Name="Revision"/>
<w:LsdException Locked="false" Priority="34" SemiHidden="false"
UnhideWhenUsed="false" QFormat="true" Name="List Paragraph"/>
<w:LsdException Locked="false" Priority="29" SemiHidden="false"
UnhideWhenUsed="false" QFormat="true" Name="Quote"/>
<w:LsdException Locked="false" Priority="30" SemiHidden="false"
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UnhideWhenUsed="false" Name="Medium Grid 1 Accent 1"/>
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UnhideWhenUsed="false" Name="Medium Grid 2 Accent 1"/>
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UnhideWhenUsed="false" Name="Medium Grid 3 Accent 1"/>
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UnhideWhenUsed="false" Name="Colorful Shading Accent 1"/>
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UnhideWhenUsed="false" Name="Colorful List Accent 1"/>
<w:LsdException Locked="false" Priority="73" SemiHidden="false"
UnhideWhenUsed="false" Name="Colorful Grid Accent 1"/>
<w:LsdException Locked="false" Priority="60" SemiHidden="false"
UnhideWhenUsed="false" Name="Light Shading Accent 2"/>
<w:LsdException Locked="false" Priority="61" SemiHidden="false"
UnhideWhenUsed="false" Name="Light List Accent 2"/>
<w:LsdException Locked="false" Priority="62" SemiHidden="false"
UnhideWhenUsed="false" Name="Light Grid Accent 2"/>
<w:LsdException Locked="false" Priority="63" SemiHidden="false"
UnhideWhenUsed="false" Name="Medium Shading 1 Accent 2"/>
<w:LsdException Locked="false" Priority="64" SemiHidden="false"
UnhideWhenUsed="false" Name="Medium Shading 2 Accent 2"/>
<w:LsdException Locked="false" Priority="65" SemiHidden="false"
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<w:LsdException Locked="false" Priority="66" SemiHidden="false"
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<w:LsdException Locked="false" Priority="73" SemiHidden="false"
UnhideWhenUsed="false" Name="Colorful Grid Accent 2"/>
<w:LsdException Locked="false" Priority="60" SemiHidden="false"
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<w:LsdException Locked="false" Priority="61" SemiHidden="false"
UnhideWhenUsed="false" Name="Light List Accent 3"/>
<w:LsdException Locked="false" Priority="62" SemiHidden="false"
UnhideWhenUsed="false" Name="Light Grid Accent 3"/>
<w:LsdException Locked="false" Priority="63" SemiHidden="false"
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<w:LsdException Locked="false" Priority="64" SemiHidden="false"
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<w:LsdException Locked="false" Priority="65" SemiHidden="false"
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<w:LsdException Locked="false" Priority="67" SemiHidden="false"
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<w:LsdException Locked="false" Priority="68" SemiHidden="false"
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<w:LsdException Locked="false" Priority="69" SemiHidden="false"
UnhideWhenUsed="false" Name="Medium Grid 3 Accent 3"/>
<w:LsdException Locked="false" Priority="70" SemiHidden="false"
UnhideWhenUsed="false" Name="Dark List Accent 3"/>
<w:LsdException Locked="false" Priority="71" SemiHidden="false"
UnhideWhenUsed="false" Name="Colorful Shading Accent 3"/>
<w:LsdException Locked="false" Priority="72" SemiHidden="false"
UnhideWhenUsed="false" Name="Colorful List Accent 3"/>
<w:LsdException Locked="false" Priority="73" SemiHidden="false"
UnhideWhenUsed="false" Name="Colorful Grid Accent 3"/>
<w:LsdException Locked="false" Priority="60" SemiHidden="false"
UnhideWhenUsed="false" Name="Light Shading Accent 4"/>
<w:LsdException Locked="false" Priority="61" SemiHidden="false"
UnhideWhenUsed="false" Name="Light List Accent 4"/>
<w:LsdException Locked="false" Priority="62" SemiHidden="false"
UnhideWhenUsed="false" Name="Light Grid Accent 4"/>
<w:LsdException Locked="false" Priority="63" SemiHidden="false"
UnhideWhenUsed="false" Name="Medium Shading 1 Accent 4"/>
<w:LsdException Locked="false" Priority="64" SemiHidden="false"
UnhideWhenUsed="false" Name="Medium Shading 2 Accent 4"/>
<w:LsdException Locked="false" Priority="65" SemiHidden="false"
UnhideWhenUsed="false" Name="Medium List 1 Accent 4"/>
<w:LsdException Locked="false" Priority="66" SemiHidden="false"
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<w:LsdException Locked="false" Priority="67" SemiHidden="false"
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<w:LsdException Locked="false" Priority="71" SemiHidden="false"
UnhideWhenUsed="false" Name="Colorful Shading Accent 4"/>
<w:LsdException Locked="false" Priority="72" SemiHidden="false"
UnhideWhenUsed="false" Name="Colorful List Accent 4"/>
<w:LsdException Locked="false" Priority="73" SemiHidden="false"
UnhideWhenUsed="false" Name="Colorful Grid Accent 4"/>
<w:LsdException Locked="false" Priority="60" SemiHidden="false"
UnhideWhenUsed="false" Name="Light Shading Accent 5"/>
<w:LsdException Locked="false" Priority="61" SemiHidden="false"
UnhideWhenUsed="false" Name="Light List Accent 5"/>
<w:LsdException Locked="false" Priority="62" SemiHidden="false"
UnhideWhenUsed="false" Name="Light Grid Accent 5"/>
<w:LsdException Locked="false" Priority="63" SemiHidden="false"
UnhideWhenUsed="false" Name="Medium Shading 1 Accent 5"/>
<w:LsdException Locked="false" Priority="64" SemiHidden="false"
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<span lang="EN-US">I wanted to
compare SVM models when trained with actual prices vs a series of log returns,
using the rolling model code I put up earlier. As a baseline, I also added in a
200 day simple moving average model.</span></div>
<div class="MsoNormal">
<span lang="EN-US"><br /></span></div>
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiUleERx91CV1W86rnZtaDVgBtp1IOSYYaYoODsXNIEMYtrtfp5qcpgnSKr3lIGjF6YO9MfZFL-0lt8Cax146V253XRbb_2DGZWRRIPi6sr6tD4CnWrSWeA7mvvxA_-x_10geTFKam4wPk/s1600/data-snooping-example.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" height="112" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiUleERx91CV1W86rnZtaDVgBtp1IOSYYaYoODsXNIEMYtrtfp5qcpgnSKr3lIGjF6YO9MfZFL-0lt8Cax146V253XRbb_2DGZWRRIPi6sr6tD4CnWrSWeA7mvvxA_-x_10geTFKam4wPk/s400/data-snooping-example.png" width="400" /></a></div>
<div class="MsoNormal" style="text-align: center;">
<span style="font-size: x-small;">(S) Indicates
snooped data</span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US" style="font-family: Helvetica;">A few things
strike me about this. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US" style="font-family: Helvetica;">For the SMA
system, peeking ahead by a day only provides a small increase in accuracy.
Given the longer-term nature of the 200 day SMA this is probably to be
expected. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US" style="font-family: Helvetica;">For the SVM trained
systems, the results are somewhat contradictory. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US" style="font-family: Helvetica;">For the look
forward models, training on price data had much lower accuracy than the log
returns, and the log return model performed much better. Note that both could
have achieved 100% accuracy by predicting its first column of training data. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US" style="font-family: Helvetica;">However, when
not snooping, the models trained on closing prices did much better than those
trained on returns. I’m not 100% sure there isn’t still some bug lurking
somewhere, but hey if the code was off it would’ve shown up in the forward
tested results no?<o:p></o:p></span></div>
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<br /></div>
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<!--StartFragment-->
<!--EndFragment--></span></div>
<div class="MsoNormal">
<span lang="EN-US" style="font-family: Helvetica;">Feel free to
take a look and have a play around with the code, which is up <a href="https://github.com/petewerner/misc/blob/master/data-snooping-example.R" target="_blank">here</a>. <o:p></o:p></span></div>
<!--EndFragment--></span></div>
Petehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.com3tag:blogger.com,1999:blog-5902574258306547143.post-47782938315916088142013-09-23T03:18:00.000-07:002013-09-23T03:18:19.955-07:00Building models over rolling time periods <div class="MsoNormal">
<span lang="EN-US">Often I have some idea for a trading system
that is of the form “does some particular aspect of the last n periods of data
have any predictive use for subsequent periods.”<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">I generally like to work with nice units of
time, such as 4 weeks or 6 months, rather than 30 or 126 days. It probably
doesn’t make a meaningful difference in most cases, but it’s nice to have the
option.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">At first this seemed like something
rollapply() from the zoo package could help with, but there are a number of
preconditions that need to be met and frankly I find them to be a bit of a
pain. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">In a nutshell I have not been able to find
a nice way for it to apply a function to a rolling subset of time series data
nicely aligned to weekly or monthly boundaries.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">All is not lost, there is a neat function
in xts called endpoints(), which takes a time series and a period (e.g.
“weeks”, “months”) and returns the indexes into that time series for the
corresponding periods. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">Using this information it becomes easy to
subset the time set data using normal row subset operations. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">The xts package also has period.apply but
it runs on non-overlapping intervals, which is close but still not quite what I
want. <o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">In the script for this post there are 4 or
so functions of note.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">The main one is roll_model, which takes a
set of data to be subsetted and passed to the model, the size of per model
training and test sets and the period size to split things up, which is
anything valid for use with endpoints().<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">A utility function is train_test_split
which also uses endpoints() to split a subset of data into 2 sets, one for
training the model, one for testing. In practice it needs to be the same period
type as you expect to use with roll_model.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">The function that actually builds the model
and returns some results is run_model(), which calls train_test_split to get
the training and test set, builds a model using ksvm in this example, and sees
how it goes based on the test set.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
<div class="MsoNormal">
<span lang="EN-US">Another utility function is called before
that, data_prep which builds the main data object to be passed to roll_model.
In this example it takes a set of log closes to close returns, sets Y to be the
return at time t, X1 the log return at t-1, X2 at t-2 and so on.<o:p></o:p></span></div>
<div class="MsoNormal">
<br /></div>
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<div class="MsoNormal">
<span lang="EN-US">The example model is not a particularly useful way of
looking at things, which is not surprising given close to close returns are
effectively <a href="http://petewerner.blogspot.com.au/2012/05/another-cut-at-market-randomness.html" target="_blank">random noise</a>. But perhaps the script itself is useful for other ideas, and if anyone knows
better/easier/alternate ways of doing the same thing I would love to hear about
them. <o:p></o:p></span></div>
<div class="MsoNormal">
<span lang="EN-US"><br /></span></div>
<div class="MsoNormal">
<span lang="EN-US">The script is available <a href="https://github.com/petewerner/misc/blob/master/rolling-train-test.R" target="_blank">here</a>.</span></div>
Petehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.com0tag:blogger.com,1999:blog-5902574258306547143.post-67079632216152378172013-09-08T01:26:00.000-07:002013-09-08T01:26:46.418-07:00Snapshot of the global zeitgeist<div class="separator" style="clear: both; text-align: center;">
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John le Carré, author of Tinker Tailor Solider Spy (among many others) and Miley Cyrus give a timely reminder that Australia is a small fish in a big pond.Petehttp://www.blogger.com/profile/09556415961629445879noreply@blogger.com0