Machine learning in trading: theory, models, practice and algo-trading - page 3268
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R is remarkable for its hodgepodge. At any given moment it has everything, any package for any occasion.
But after a year or two, it's inimitable - it will be impossible to execute the examples in the book.
Awell-structured system with an excellent reference apparatus created by a professional teamcannot be a mishmash. System R is oriented to trading, without distractions to everything and anything for the sake of universality and populism.
This is exactly what the book demonstrates.
And another thing that the book based on R does is to break the illusion that you can get a model based on MO in a hurry, without owning a large set of tools, and most importantly, without understanding why you need this or that tool (package, function), why you need this or that stage of model building, without understanding that you can't throw something away - everything will fall apart.
A perfect example of a complete lack of understanding of WHAT is being done is dozens of pages of correlations of something with something.
Before calculating correlation, one should answer the question: does correlation exist for the series used? For financial series - this is the first and the most important question, because for financial series correlation does not exist, because for them there is no mathematical expectation and it is necessary to prove that the used average CAN be used as a mathematical expectation.
By the way, in R it is to check once a sneeze, routine.
It's a wonderful book!
It must cover all the problems of the MoD.
for beginners, which you are for now.
for boys in general. The Tideverse.
A perfect example of a complete lack of understanding of WHAT is being done is dozens of pages of correlations of something to something.
Forum on trading, automated trading systems and testing trading strategies
Machine Learning in Trading: Theory, Models, Practice and Algorithm Trading
fxsaber, 2023.10.01 09:38
MathRand is a random number. I.e. correlation is calculated on random matrices. The purpose is to make sure that different variants of algorithm implementations give the same result. The speed of algorithm execution and memory consumption are compared. If you are incompetent, stay out of it.
I have not found a standard one for line-by-line calculation. Alglib seemed slow. I am trying my own variant.
Result.
The self-design turned out to be faster than the standard variant, but slower than Alglib (I could not understand the algorithm). At the same time, the homemade version can count matrices of any size, unlike other variants.
Result.
The self-design was faster than the standard variant, but slower than Alglib (I could not understand the algorithm). At the same time, it can read matrices of any size, unlike other variants.
Why do you like mql so much for calculations? You can write dlls in C and it will be as fast as possible.
To me, mql is still a language for opening trades, mostly. And what is right, in fact.
If you don't understand, let me explain.
MathRand is a random number. I.e. correlation is calculated on random matrices. The goal is to make sure that different algorithm implementations give the same result. The speed of algorithm execution and memory consumption are compared. If you're incompetent, stay out of it.
And why do you like mql so much for calculations? You can write dlls in c and it will be as fast as possible.
I am limited by my incompetence.
to me, mql is still the language for opening trades, mostly. And rightly so, in fact.
So what's the end goal of this whole correlation thing?
I'll be able to calculate what others can't because of technical limitations.