لایب سان

Author(s): Chris Conlan (auth.)

Publisher: Apress, Year: 2016

ISBN: 978-1-4842-2177-8,978-1-4842-2178-5

vii Contents About the Author .....................................................................................................xv About the Technical Reviewers .............................................................................xvii Acknowledgments ..................................................................................................xix Introduction ............................................................................................................xxi ■Part 1: Problem Scope ........................................................................ 1 ■Chapter 1: Fundamentals of Automated Trading ................................................... 3 Equity Curve and Return Series ....................................................................................... 3 Characteristics of the Equity Curve ........................................................................................................ 5 Characteristics of the Return Series ....................................................................................................... 5 Risk-Return Metrics ......................................................................................................... 6 Characteristics of Risk-Return Metrics ............................................................................ 8 Sharpe Ratio ......................................................................................................................................... 10 Maximum Drawdown Ratios................................................................................................................. 12 Partial Moment Ratios .......................................................................................................................... 14 Regression-Based Performance Metrics .............................................................................................. 16 Optimizing Performance Metrics .................................................................................... 20 ■Part 2: Building the Platform ............................................................ 21 ■Chapter 2: Networking Part I ............................................................................... 23 Yahoo! Finance API ......................................................................................................... 24 Setting Up Directories........................................................................................................................... 25 URL Query Building ............................................................................................................................... 25 Data Acquisition .................................................................................................................................... 26 ■ CONTENTS viii Loading Data into Memory ................................................................................................................... 27 Updating Data ....................................................................................................................................... 28 YQL Web Service ............................................................................................................ 29 URL and Query Building ........................................................................................................................ 30 Note on Quantmod ......................................................................................................... 33 Background .......................................................................................................................................... 33 Comparison .................................................................................................................... 33 Organizing as Date-Uniform zoo Object ......................................................................... 34 Note on zoo Objects .............................................................................................................................. 35 ■Chapter 3: Data Preparation ................................................................................ 37 Handling NA Values ........................................................................................................ 37 Note: NA vs. NaN in R ........................................................................................................................... 37 IPOs and Additions to S&P 500 ............................................................................................................. 37 Merging to the Uniform Date Template ................................................................................................. 39 Forward Replacement .......................................................................................................................... 40 Linearly Smoothed Replacement .......................................................................................................... 41 Volume-Weighted Smoothed Replacement .......................................................................................... 42 Discussion of Replacement Methods ............................................................................. 43 Real Time vs. Simulation ...................................................................................................................... 43 Infl uence on Volatility Metrics .............................................................................................................. 43 Infl uence on Trading Decisions ............................................................................................................. 44 Conclusion ............................................................................................................................................ 44 Closing Price and Adjusted Close ................................................................................... 44 Adjusting for Stock Splits ..................................................................................................................... 45 Adjusting for Cash Dividends................................................................................................................ 45 Effi cient Updating and Adjusted Close .................................................................................................. 46 Implementing Adjustments ................................................................................................................... 47 Test for and Correct Inactive Symbols............................................................................ 47 Computing the Return Matrix ......................................................................................... 48 ■ CONTENTS ix ■Chapter 4: Indicators ........................................................................................... 51 Indicator Types ............................................................................................................... 51 Overlays ................................................................................................................................................ 51 Oscillators ............................................................................................................................................. 51 Accumulators........................................................................................................................................ 52 Pattern/Binary/Ternary ......................................................................................................................... 52 Machine Learning/Nonvisual/Black Box ............................................................................................... 52 Example Indicators ......................................................................................................... 52 Simple Moving Average ........................................................................................................................ 52 Moving Average Convergence Divergence Oscillator (MACD)............................................................... 53 Bollinger Bands .................................................................................................................................... 54 Custom Indicator Using Correlation and Slope ..................................................................................... 55 Indicators Utilizing Multiple Data Sets .................................................................................................. 56 Conclusion ...................................................................................................................... 57 ■Chapter 5: Rule Sets ............................................................................................ 59 Our Process Flow as Nested Functions .......................................................................... 59 Terminology .................................................................................................................... 59 Example Rule Sets ......................................................................................................... 61 Overlays ................................................................................................................................................ 61 Oscillators ............................................................................................................................................. 61 Accumulators........................................................................................................................................ 61 Filters, Triggers, and Quantifi cations of Favor ................................................................ 62 ■Chapter 6: High-Performance Computing ............................................................ 65 Hardware Overview ........................................................................................................ 65 Processing ............................................................................................................................................ 65 Multicore Processing ............................................................................................................................ 65 Hyperthreading ..................................................................................................................................... 66 Memory ................................................................................................................................................ 67 The Disk ................................................................................................................................................ 68 Random Access Memory (RAM) ........................................................................................................... 68 ■ CONTENTS x Processor Cache ................................................................................................................................... 68 Swap Space .......................................................................................................................................... 68 Software Overview ............................................................................................................................... 69 Compiled vs. Interpreted ...................................................................................................................... 69 Scripting Languages ............................................................................................................................. 70 Speed vs. Safety ................................................................................................................................... 70 Takeaways ............................................................................................................................................ 71 for Loops vs. apply Functions ............................................................................................................... 71 for Loops and Memory Allocation ......................................................................................................... 72 apply-Style Functions ........................................................................................................................... 73 Use Binaries Creatively ......................................................................................................................... 73 Note on Measuring Compute Time ....................................................................................................... 74 Multicore Computing in R ............................................................................................... 74 Embarrassingly Parallel Processes....................................................................................................... 75 doMC and doParallel............................................................................................................................. 75 The foreach Package ............................................................................................................................ 76 The foreach Package in Practice .................................................................................... 77 Integer Mapping ................................................................................................................................... 77 Computing the Return Matrix with foreach .......................................................................................... 78 Computing Indicators with foreach ...................................................................................................... 79 ■Chapter 7: Simulation and Backtesting ............................................................... 83 Example Strategies ........................................................................................................ 83 Our Simulation Workfl ow ................................................................................................ 85 Listing 7-1: Pseudocode ....................................................................................................................... 85 Listing 7-1: Explanation of Inputs and User Guide ................................................................................ 86 Discussion ............................................................................................................................................ 92 Implementing Example Strategies ................................................................................. 93 Summary Statistics and Performance Metrics............................................................... 97 Conclusion ...................................................................................................................... 99 ■ CONTENTS xi ■Chapter 8: Optimization ..................................................................................... 101 Cross Validation in Time Series .................................................................................... 101 Numerical vs. Analytical Optimization .......................................................................... 102 Numerical Optimization Overview ................................................................................ 103 Parameter Transform for Unbounded Search Algorithms ................................................................... 104 Declaring an Evaluator ................................................................................................. 105 Listing 8-1: Pseudocode ..................................................................................................................... 105 Listing 8-1: Explanation of Inputs and User Guide .............................................................................. 106 Exhaustive Search Optimization ................................................................................... 110 Pattern Search Optimization ........................................................................................ 114 Generalized Pattern Search Optimization ........................................................................................... 114 Nelder-Mead Optimization............................................................................................ 120 Nelder-Mead with Random Initialization ............................................................................................ 120 Projecting Trading Performance ................................................................................... 127 Conclusion .................................................................................................................... 130 ■Chapter 9: Networking Part II ............................................................................ 131 Market Overview: Brokerage APIs ................................................................................ 131 Secure Connections ..................................................................................................... 133 Establishing SSL Connections ............................................................................................................ 133 Proprietary SSL Connections .............................................................................................................. 134 HTTP/HTTPS........................................................................................................................................ 135 OAuth .................................................................................................................................................. 135 Feasibility Analysis for Trading APIs ............................................................................. 135 Feasibility of Custom R Packages ...................................................................................................... 135 HTTPS + OAuth Through Existing R Packages .................................................................................... 136 FIX Engines ......................................................................................................................................... 136 Exporting Directions to a Supported Language .................................................................................. 136 Planning and Executing Trades .................................................................................... 136 The PLAN Job ..................................................................................................................................... 137 The TRADE Job ................................................................................................................................... 139 ■ CONTENTS xii Common Data Formats................................................................................................. 140 Manipulating XML ............................................................................................................................... 140 Generating XML Documents ............................................................................................................... 146 Manipulating JSON Data..................................................................................................................... 147 The Financial Information eXchange Protocol .................................................................................... 148 The FIX eXtensible Markup Language ................................................................................................ 149 OAuth in R ........................................................................................................................................... 150 Conclusion .................................................................................................................... 152 ■Part 3: Production Trading.............................................................. 153 ■Chapter 10: Organizing and Automating Scripts ............................................... 155 Organizing Scripts into Jobs ........................................................................................ 155 Calling Jobs with the Source Function ......................................................................... 155 Calling Jobs via Sourcing ............................................................................................. 156 Task Scheduling in Windows ........................................................................................ 156 Running R from the Command Line in Windows ................................................................................ 156 Setting Up and Managing the Task Scheduler .................................................................................... 158 Task Scheduling in UNIX............................................................................................... 159 Conclusion .................................................................................................................... 160 ■Chapter 11: Looking Forward ............................................................................ 161 Language Considerations ............................................................................................. 161 Python................................................................................................................................................. 161 C/C++ ................................................................................................................................................. 161 Hardware Description Languages ...................................................................................................... 162 Retail Brokerages and Right to Refuse......................................................................... 162 Right to Refuse in the Swiss Currency Crisis ..................................................................................... 163 Connection Latency ...................................................................................................... 163 Ethernet vs. WiFi ................................................................................................................................. 163 Proximity to Exchanges ...................................................................................................................... 164 ■ CONTENTS xiii Prime Brokerages ......................................................................................................... 164 Digesting News and Fundamentals.............................................................................. 165 Conclusion .................................................................................................................... 165 ■Appendix A: Source Code .................................................................................. 167 Platform/confi g.R ......................................................................................................... 167 Platform/load................................................................................................................ 168 Platform/load.R................................................................................................................................... 168 Platform/update.R............................................................................................................................... 169 Platform/functions/yahoo.R ................................................................................................................ 170 Platform/load/initial.R......................................................................................................................... 170 Platform/load/loadToMemory.R .......................................................................................................... 171 Platform/load/updateStocks.R............................................................................................................ 172 Platform/load/dateUnif.R .................................................................................................................... 176 Platform/load/spClean.R ..................................................................................................................... 177 Platform/load/adjustClose.R ............................................................................................................... 177 Platform/load/return.R ........................................................................................................................ 177 Platform/load/fi llInactive.R ................................................................................................................. 178 Platform/compute ........................................................................................................ 178 Platform/compute/MCinit.R ................................................................................................................ 178 Platform/compute/functions.R ........................................................................................................... 178 Platform/plan................................................................................................................ 184 Platform/plan.R................................................................................................................................... 184 Platform/plan/decisionGen.R .............................................................................................................. 185 Platform/trade .............................................................................................................. 189 Platform/trade.R ................................................................................................................................. 189 Platform/model............................................................................................................. 189 Platform/model.R................................................................................................................................ 189 Platform/model/optimize.R ................................................................................................................. 190 Platform/model/evaluateFunc.R ......................................................................................................... 190 Platform/model/optimizeFunc.R ......................................................................................................... 192 ■ CONTENTS xiv ■Appendix B: Scoping in Multicore R .................................................................. 195 Scoping Rules in R ....................................................................................................... 195 Using Lexical Scoping......................................................................................................................... 195 Takeaways .......................................................................................................................................... 196 The UNIX fork System Call............................................................................................ 197 The fork Call and Memory Management ............................................................................................ 197 Scoping Implications for R.................................................................................................................. 197 Instance Replication in Windows.................................................................................. 199 Instance Replication and Memory Management ................................................................................ 199 Scoping Implications for R.................................................................................................................. 200 Index ..................................................................................................................... 203

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