I’m taking the rest of the month off from blogging and hopefully tie up a few loose ends before the year is over. Â That said, I wanted to wish my readers and friends a Happy Holiday and a Happy New Year! Â You guys made 2010 a banner year for this blog and I just wanted to say thanks!
All the best for you in 2011!
I think I’ll restart my $100 Forex Experiment again in 2011 but up the ante this time to $1,000. Â I probably won’t start trading until mid January to early February after I recompile and rebuild some neural net models. Â If you remember from my old $100 Forex Experiment, I witnessed about an 11% drawdown the first month as I was fiddling around with my system,. I hope to avoid that in 2011, but you never know.
My process is simple. I use neural nets or SVM’s to confirm that the trend remains intact for some currency pairs, and then use good ol’ support/resistance spots to go long or short as the case may be. Â I like to place limit orders for overnight moves to capitalize on London’s open and then close any trades before 8AM NYC time. Â Yes, its that simple.
Let’s see if I can recreate the 50% return again.
I found and installed the ECSPY evolutionary computation package and fiddled around with it. Â Considering I learned how to define and use functions in Python now, the example code (txt) for this Particle Swarm Optimiztation (PSO) chart below is beginning to make sense.
Long time Neural Market Trends readers might be wondering why I’m suddenly posting about Python and not Rapidminer? It’s a valid question and I do have answers.
First off, I always wanted to learn a programming language because I’ve felt that not knowing a programming language has held me back career wise, especially when I’m manipulating and data mining oodles of financial data.
Second, Python is a great way to get my feet wet learning programming! Its Â fun and easy so far! Â Ultimately the goal is to learn Java so I can truly extend Rapidminer by creating custom operators, but learning Java at this stage of the game is like swallowing a whole elephant at once; not going to happen! Â So I’ll start with eating a Python first.
After yesterday’s “not so simple GOOG chart” adventure, I spent more time digging around the matplotlib website and discovered the matplotlib.finance module. Â Grabbing a python chart example code from the matplotlib site and applying the axis labeling lessons I learned from previous day, I was able to create this $INTC red/green candlestick chart.
Granted, I still don’t understand all the code in the example, but its becoming less of a mystery to me. There are bits and pieces I understand and I’m able to tweak things. After all, it would be silly to reinvent the wheel all over again! Right?
What I am about to post is a simple $GOOG chart created by a python script that I grabbed off Trainee Trader’s site. Â While creating a line chart of GOOG’s stock price is really basic finance, it does represent something very important to me. Â It means that I’m learning and troubleshooting python at a fast pace.
I just started learning python about a week ago with absolutely no knowledge in programming (except for Frotran 77 a long time ago), but I am armed with an engineer’s logic and enthusiam. I’ve worked on about 15 exercises in a training course I’m taking, and have read up on all the neat things python can do. Â I installed python 2.6, matplotlib, and the ystockquote module from Cory Golberg on my development machine and configured the correct paths. Â Then I then tried to copy and paste TT’s google chart python script to see if I could recreate his chart. Â I typed it verbatim and fired it up in python hoping to see the chart!
Instead of seeing a nice GOOG chart, it crashed on me!!! Yep, it failed and I had no idea what the error messages were telling me.
Fast forward one week and I’m picking up this language quick. Â So I took TT’s code again, checked out theÂ documentationÂ for the matplotlib module, troubleshot it, and got the damn thing to plot! Â Go me!
Of course a sophisticated programmer would laugh at my silly plot, but to me it’s awesomeness.
Update: Here’s the revised python script (txt): GOOGChart2.txt
I’m teaching myself, through hand’s on exercises, how to code Â (script) in Python. Â So far its been a breeze, but that’s because I’ve found a great course for free. Â I’m reading and following along with “Learn Python the Hard Way,” written by Zed Shaw. Â Zed made his book available for free download in PDF and I highly recommend it to programming novices, such as myself.
So I’m finally getting around to poking around with Python again, and I created a scatter plot for Google. Â I’m pretty impressed with the modules they have for this language. Perhaps I should sit down and spend some time learning it, not just dream about it.
I’ve made my RCOMM 2010 presentation, “Forecasting HistoricalÂ VolatilityÂ for Option Trading” available on my LinkedIn profile. Â If you’re connected to me in LinkeIn, just visit my profile to see it. Â If you’re not connected to me, just make a request and I’ll connect to you.