March 2011 Archives

I came across a fantastic R script from blogger Milk Trader.  It's about generating something called violin plots of volatility for the S&P500 index and the VIX, which he got from this CBOE paper.  I took that script a bit further and added in one of my current trend positions, $ARLP, just for fun. The plot is essentially a "combination of a box plot and a kernel density plot" and shows us the absolute value of volatility (negative returns are represented as positive) on the y axis. A very simple R code (you can get it on his site) with a great visual impact.  Great job Milk Trader! Don't miss my posts about Rapidminer and R! Sign up for my feed now! It's easy to do and I'd be eternally grateful!

Three different stocks, three different (possible) technical patterns.  Can my readers tell me where and what these technical patterns are?

Stock #1

Stock #2

Stock #3

Which of these sectors would you buy right now?

The answer depends on whether you're a trader or investor, and of course your holding time.

I'm still poking around in R, and leveraging the Quantmod package for fun.  Below I generated a simple bar chart of 6 months of monthly returns for XLE, the oil services ETF. Not to shabby, eh?  Now if only I can figure out how to correctly scale the y-axis and add in a few more ETF's into the same chart,with different colors, then I'll be happy. Any reader know how to do this? Update: Thanks to readers Shane,  Sergi, and Cidiel, I was able to generate this new plot of XLE and XLF together for the past three months of returns. Thanks guys.  

So I finally got around to downloading some keyword data from Google Analytics for the time period of 2/17/11 through 3/17/11 just to see what's driving my site traffic.  I did a simple text mining process in Rapidminer to build my keyword frequency list (it took me a few minutes) and generated keyword similarities.  Of course I know what is the biggest draw to my site, that would be my tutorials about Rapidminer, BUT what I'm looking for are subtler patterns in the keywords relative to the bounce rates and site visits. So below are a few charts I generated from one month of keyword data. The first chart I want to share with you is a bubble chart showing the site visits for a particular keyword vs the bounce rates. In this case the keyword is Rapidmi (a stemmed word for Rapidminer) It's a bubble chart so the size of the bubbles are set for the frequency of the word Rapidminer relative to the site visit and bounce rate. The second chart is visits vs bounce rate but with the keyword Tutorial as the bubble size. And the last chart is visits vs bounce rate but with the keyword Stock as the bubble size.   It appears from the above exercise that the keyword Rapidminer and Tutorial drives a lot of traffic but they have a relatively even keyword frequency distribution across the bounce rate, some people bounce immediately while other stick. The keyword Stock has an interesting bounce rate per visit distribution relative to the keyword frequency, its either 100%, 30 to 50% or almost 0%. What I find fascinating is the stickiness of the keyword frequency Rapidminer and Tutorial relative to the 50% bounce rate and site visits. There's a strong site visit (45 to 60) component for those keywords in the data, but I knew that already. I'm attaching the Rapidminer process file in case you want to mine your own keywords (you have to supply your own data). KeywordSimilarity

I use Google Analytics and I probably should use more it in conjuction with Rapidminer to do more data modeling, but it's a question of free time; something that's a luxury right now. For fun I'm posting my top 10 referrers for the period of February 17 through March 17, 2011. Of course Rapid-I is on top of that list and thanks to them and all the other blogs and websites for linking to this site.  You all make me smile and without you I'd probably be just another loser on the Internet.   What's interesting in this referrer snapshot is that I have a relatively low visitor rate (highly niche blog) but my average "time on site" is over 4 minutes, with the last month time period clocking in over 7 minutes.  That's because of my video tutorials, the biggest driver of traffic for this measly blog.

Currently long $YUM and loving it, so far. Loving the R plotting capabilities too!

I'm sure you've noticed that I put Google Ad's back on this site. Don't worry, I'm doing this on a temporary basis because I want you guys to help support my book habit! I admit, I'm a book junkie. These ads, in about 1 1/2 month's time allowed me, to buy Statistics: An Introduction using R and A Beginner's Guide to R (Use R) with no cost out of my pocket.  I like to read them in my spare time and will use them to extend my capabilities of using R in Rapidminer, and hopefully more video tutorials later. Thanks for that guys! I appreciate your support.

I'm still long $CSX, even after all this nuttiness in the market.  I didn't get stopped out yesterday and actually closed up.  Trend trading is a whole different ball game indeed.

The continuation of the monthly popular links on Neural Market Trends.  I'll post March 2011's results early April. The top 10 posts for February 2011:

1. Rapidminer 5.0 Video Tutorial #1 – Introduction To Rapidminer
2. Calculating Historical Volatility
3. Rapidminer 5.0 Video Tutorial #2 – Building a Gold Trend Classification Model Part 1
4. Rapidminer 5.0 Video Tutorial #6 – Creating a Decision Tree with Rapidminer 5.0
5. Rapidminer 5.0 Video Tutorial #10 – Financial Time Series Modeling Part 2
6. Rapidminer 5.0 Video Tutorial #11 – Pattern Recognition & Landmarking Plugin
7. Rapidminer 5.0 Video Tutorial #3 – Building a Gold Trend Classification Model Part 2
8. Rapidminer 5.0 Video Tutorial #8 – Financial Time Series Data Discovery
9. Rapidminer 5.0 Video Tutorial #9 – Financial Time Series Modeling Part 1
10. Genetic Algorithm Excel Addin

The video tutorials reign supreme.

I think I'm going to do a monthly link roundup of the most popular posts on Neural Market Trends, as a way to see how popular R and Rapidminer is.  You should note that I didn't really start posting about R and Rapidminer till March 2011, so this post and February's will be the "control" group. The top 10 posts for January 2011:

1. Rapidminer 5.0 Video Tutorial #1 – Introduction To Rapidminer
2. Calculating Historical Volatility
3. Rapidminer 5.0 Video Tutorial #2 – Building a Gold Trend Classification Model Part 1
4. Rapidminer 5.0 Video Tutorial #11 – Pattern Recognition & Landmarking Plugin
5. Rapidminer 5.0 Video Tutorial #10 – Financial Time Series Modeling Part 2
6. Rapidminer 5.0 Video Tutorial #8 – Financial Time Series Data Discovery
7. Rapidminer 5.0 Video Tutorial #6 – Creating a Decision Tree with Rapidminer 5.0
8. Genetic Algorithm Excel Addin
9. Rapidminer 5.X Video Tutorial #12 – Using the Generate Attribute Operator to Create Trading Rules
10. Rapidminer 5.0 Video Tutorial #9 – Financial Time Series Modeling Part 1

You can see that the most popular posts are my tutorials.

I've been teaching myself R now that I finally got Rapidminer's R plugin to work.  It's  pretty slick program and easy to learn, I've picked up so many things quickly.  I extensively use the PerformanceAnalytics, Quantmod, and tseries packages for R and on top of that, I started to recreate A Physicist on Wall Street's awesome Rapidminer + R Example for Trading tutorial. So far so good. It's fantastic that I can now download stock quotes, using the R plugin, right into Rapidminer and then model those time series.  Yes the native R software has a few learning algorithms, but they in no way match Rapidminer's breadth and depth.  That, and with Rapidminer's ability to handle large data sets effeciently, and R's statistical analytic and graphing powers, makes the Rapidminer and R combination a disruptive technology in my book. Download it today, play with it, it will make your data shine in ways you can only dream of.

I'm picking up R really fast!  I made these simple charts in like 10 minutes!  Of course my code could be better, but its a start for yours truly.   Now if only I can get R to work with Rapidminer then I'd start downloading stock data on the fly, but no matter how hard I try I can't get it work!! Well no matter, I'll be getting a new laptop tomorrow so I'll try to configure it again. Got it work, FINALLY!  Let the data manipulation in Rapidminer begin.