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Applying the Same Operation to a Number of Variables

2013-10-14     R

Just a quick note on a short hack that I cobbled together this morning. I have an analysis where I need to perform the same set of operations to a list of variables. In order to do this in a compact and robust way, I wanted to write a loop that would run through the variables and apply the operations to each of them in turn. This can be done using get() and assign(). Read more »

Mounting a sshfs volume via the crontab

2013-10-06     Linux

I need to mount a directory from my laptop on my desktop machine using sshfs. At first I was not making the mount terribly regularly, so I did it manually each time that I needed it. However, the frequency increased over time and I was eventually mounting it every day (or multiple times during the course of a day!). This was a perfect opportunity to employ some automation. Read more »

Top 250 Movies at IMDb

2013-10-03     R web scraping

Some years ago I allowed myself to accept a challenge to read the Top 100 Novels of All Time (complete list here). This list was put together by Richard Lacayo and Lev Grossman at Time Magazine. To start with I could tick off a number of books that I had already read. That left me with around 75 books outstanding. So I knuckled down. The Lord of the Rings had been on my reading list for a number of years, so this was my first project. Read more »

Flushing Live MetaTrader Logs to Disk

2013-09-18

The logs generated by expert advisors and indicators when running live on MetaTrader are displayed in the Experts tab at the bottom of the terminal window. Sometimes it is more convenient to analyse these logs offline (especially since the order of the records in the terminal runs in a rather counter-intuitive bottom-to-top order!). However, because writing to the log files is buffered, there can be a delay before what you see in the terminal is actually written to disk. Read more »

Clustering Lightning Discharges to Identify Storms

2013-09-13     talk: standard

A short talk that I gave at the LIGHTS 2013 Conference (Johannesburg, 12 September 2013). The slides are relatively devoid of text because I like the audience to hear the content rather than read it. The central message of the presentation is that clustering lightning discharges into storms is not a trivial task, but still a worthwhile challenge because it can lead to some very interesting science! Read more »

Clustering the Words of William Shakespeare

2013-09-10     R

In my previous post I used the tm package to do some simple text mining on the Complete Works of William Shakespeare. Today I am taking some of those results and using them to generate word clusters. Preparing the Data I will start with the Term Document Matrix (TDM) consisting of 71 words commonly used by Shakespeare. > inspect(TDM.common[1:10,1:10]) A term-document matrix (10 terms, 10 documents) Non-/sparse entries: 94/6 Sparsity : 6% Maximal term length: 6 Weighting : term frequency (tf) Docs Terms 1 2 3 4 5 6 7 8 9 10 act 1 4 7 9 6 3 2 14 1 0 art 53 0 9 3 5 3 2 17 0 6 away 18 5 8 4 2 10 5 13 1 7 call 17 1 4 2 2 1 6 17 3 7 can 44 8 12 5 10 6 10 24 1 5 come 19 9 16 17 12 15 14 89 9 15 day 43 2 2 4 1 5 3 17 2 3 enter 0 7 12 11 10 10 14 87 4 6 exeunt 0 3 8 8 5 4 7 49 1 4 exit 0 6 8 5 6 5 3 31 3 2 This matrix is first converted from a sparse data format into a conventional matrix. Read more »

MetaTrader Time Zones

2013-09-09

Time zones on MetaTrader can be slightly confusing. There are two important time zones: the time zone of the broker’s server and your local time zone. And these need not be the same. Read more »

Text Mining the Complete Works of William Shakespeare

2013-09-05     R

I am starting a new project that will require some serious text mining. So, in the interests of bringing myself up to speed on the tm package, I thought I would apply it to the Complete Works of William Shakespeare and just see what falls out. The first order of business was getting my hands on all that text. Fortunately it is available from a number of sources. I chose to use Project Gutenberg. Read more »

What can be learned from 5 million books

2013-08-29

This talk by Jean-Baptiste Michel and Erez Lieberman Aiden is phenomenal. The associated article is also well worth checking out: Michel, J.-B., et al. (2011). Quantitative Analysis of Culture Using Millions of Digitized Books. Science, 331, 176–182. Read more »

Presenting Conformance Statistics

2013-08-27     R

A client came to me with some conformance data. She was having a hard time making sense of it in a spreadsheet. I had a look at a couple of ways of presenting it that would bring out the important points. The Data The data came as a spreadsheet with multiple sheets. Each of the sheets had a slightly different format, so the easiest thing to do was to save each one as a CSV file and then import them individually into R. Read more »

The Wonders of foreach

2013-08-25     R

Writing code from scratch to do parallel computations can be rather tricky. However, the packages providing parallel facilities in R make it remarkably easy. One such package is foreach. I am going to document my trail of discovery with foreach, which began some time ago, but has really come into fruition over the last few weeks. First we need a reproducible example. Preferably something which is numerically intensive. > max. Read more »

Fitting a Model by Maximum Likelihood

2013-08-18     R

Maximum-Likelihood Estimation (MLE) is a statistical technique for estimating model parameters. It basically sets out to answer the question: what model parameters are most likely to characterise a given set of data? First you need to select a model for the data. And the model must have one or more (unknown) parameters. As the name implies, MLE proceeds to maximise a likelihood function, which in turn maximises the agreement between the model and the data. Read more »

Finding Correlations in Data with Uncertainty: Classical Solution

2013-08-13     R

Following up on my previous post as a result of an excellent suggestion from Andrej Spiess. The data are indeed very heteroscedastic! Andrej suggested that an alternative way to attack this problem would be to use weighted correlation with weights being the inverse of the measurement variance. Read more »

Finding Correlations in Data with Uncertainty: Bootstrap Solution

2013-08-11     R

A week or so ago a colleague of mine asked if I knew how to calculate correlations for data with uncertainties. Now, if we are going to be honest, then all data should have some level of experimental or measurement error. However, I suspect that in the majority of cases these uncertainties are ignored when considering correlations. To what degree are uncertainties important? A moment’s thought would suggest that if the uncertainties are large enough then they should have a rather significant effect on correlation, or more properly, the uncertainty measure associated with the correlation. Read more »

Finding Your MetaTrader Log Files

2013-08-08

Debugging an indicator or expert advisor (EA) can be a tricky business. Especially when you are doing the debugging remotely. So I write my MQL code to include copious amounts of debugging information to log files. The contents of these log files can be used to diagnose any problems. This articles tells you where you can find those files. Testing Logs When you are running an EA under the strategy tester, the log files are written to the tester\logs directory (see the red rectangle in the directory tree above). Read more »

A Chart of Recent Comrades Marathon Winners

2013-07-30     R running

Continuing on my quest to document the Comrades Marathon results, today I have put together a chart showing the winners of both the men and ladies races since 1980. Click on the image below to see a larger version. The analysis started off with the same data set that I was working with before, from which I extracted only the records for the winners. > winners = subset(results, gender.position == 1, select = c(year, name, gender, race. Read more »

Modelling the Age of the Oldest Person You Know

2013-07-29

The blog post How old is the oldest person you know? by Arthur Charpentier was inspired by Prudential’s stickers campaign which asks you to record the age of the oldest person you know by placing a blue sticker on a number line. The result is a histogram of ages. The original experiment was carried out using 400 real stickers in a park in Austin. Read more »

Comrades Marathon Inference Trees

2013-07-19     R running

Following up on my previous posts regarding the results of the Comrades Marathon, I was planning on putting together a set of models which would predict likelihood to finish and probable finishing time. Along the way I got distracted by something else that is just as interesting and which produces results which readily yield to qualitative interpretation: Conditional Inference Trees as implemented in the R package party. Just to recall what the data look like: Read more »

Optimising a Noisy Objective Function

2013-07-16     R

I am busy with a project where I need to calibrate the Heston Model to some Asian options data. The model has been implemented as a function which executes a Monte Carlo (MC) simulation. As a result, the objective function is rather noisy. There are a number of algorithms for dealing with this sort of problem, and here I simply give a brief overview of some of them. Read more »

Tutorial: Compiling Indicators and Expert Advisors from Source

2013-06-25

When you receive the code for an expert advisor or indidator which we have developed for you, it will come in a package consisting of include files (with a .mqh extension) and source code files (with a .mq4 extension). So, what do you do with them? Read more »

Are Green Number Runners More Likely to Bail?

2013-06-22     R running

Comrades Marathon runners are awarded a permanent green race number once they have completed 10 journeys between Durban and Pietermaritzburg. For many runners, once they have completed the race a few times, achieving a green number becomes a possibility. And once the idea takes hold, it can become something of a compulsion. I can testify to this: I am thoroughly compelled! For runners with this goal in mind, every finish is one step closer to a green number. Read more »

The Green Number Effect

2013-06-18     R running

Following up on a suggestion from my previous post, here are the statistics for medal count versus age. Every point on the plot is the number (see colour legend on right) of athletes who have achieved a given number of medals by a particular age. Read more »

Age Distribution of Comrades Marathon Athletes

2013-06-18     R running

I can clearly remember watching the end of the 1989 Comrades Marathon on television and seeing Wally Hayward coming in just before the final gun, completing the epic race at the age of 80! I was in awe. Since I have been delving into the Comrades Marathon data, this got me thinking about the typical age distribution of athletes taking part. The plot below indicates the ages of athletes who finished the race, going all the way back to 1984. You can clearly spot the two years when Wally Hayward ran (1988 and 1989). My data indicates that he was only 79 on the day of the 1989 Comrades Marathon, but I am not going to quibble over a year and I am more than happy to accept that he was 80! Read more »

Kagi Chart Indicator

2013-06-14

In addition to a range of data analysis services, Exegetic Analytics also implements algorithms for automated FOREX trading. I am currently developing an expert advisor (EA) for a client. The strategy was developed on the ProRealTime charting software using Kagi Charts. My client wants to automate the strategy and implement it in MQL on the MetaTrader platform. One snag: Kagi Charts are independent of time. Or, more accurately, they do not have a uniform time axis. Charts in MetaTrader are of the classical variety with a nice linear time axis. So my first problem was to implement something analogous to the Kagi Chart under MetaTrader. Read more »

Medal Allocations at the Comrades Marathon

2013-06-09     R running

Comrades Marathon Attrition Rate

2013-06-07     R

It is a bit of a mission to get the complete data set for this year’s Comrades Marathon. The full results are easily accessible, but come as an HTML file. Embedded in this file are links to the splits for individual athletes. So with a bit of scripting wizardry it is also possible to download the HTML files for each of the individual athletes. Parsing all of these yields the complete result set, which is the starting point for this analysis. Read more »

Analysis of Cable Morning Trade Strategy

2013-05-29     R

A couple of years ago I implemented an automated trading algorithm for a strategy called the “Cable Morning Trade”. The basis of the strategy is the range of GBPUSD during the interval 05:00 to 09:00 London time. Two buy stop orders are placed 5 points above the highest high for this period; two sell stop orders are placed 5 points below the lowest low. All orders have a protective stop at 40 points. When either the buy or sell orders are filled, the other orders are cancelled. Of the filled orders, one exits at a profit equal to the stop loss, while the other is left to run until the close of the London session. Read more »

Package MatchIt: Balancing experimental data

2013-05-23     R

A balanced experimental design is one in which the distribution of the covariates is the same in both the control and treatment groups. However, although achievable in an experimental scenario, for observational data this ideal is seldom attained. The MatchIt package provides a means of pre-processing data so that the treated and control groups are as similar as possible, minimising the dependence between the treatment variable and the other covariates. Read more »

xkcd Style Bubble Plot

2013-05-23     R

A package was recently released to generate plots in the style of xkcd using R. Being a big fan of the cartoon, I could not resist trying it out. So I set out to produce something like one of Hans Rosling’s bubble plots. Read more »

Swing Alert Indicator

2013-05-23

I’ve just finished coding a swing alert indicator for a client. The rules are rather straightforward and it all depends on two simple moving averages (by default with periods of 25 and 5). The indicator generates alerts via Read more »