What I'm Researching...

InterfaceLIFT: Wallpaper sorted by Date Posted: 29 Sep 2008 01:05 AM CDT awesome desktop wallpapers - free download.

Personal Finance Assistance « ActiveState Code Posted: 28 Sep 2008 03:41 PM CDT great code example of using python and sqlite.

scipy array tip sheet Posted: 28 Sep 2008 12:34 PM CDT brief coverage of constructing, indexing, slicing, and summation of arrays.

What I'm Researching...

Python/CDAT for Earth Scientists: Tips and Examples Posted: 28 Sep 2008 01:15 AM CDT great cookbook covering python & numpy. hat tip to the Smooth blog. Covers plotting, reversing arrays, etc.

Array creation — NumPy v1.2 Reference Guide (DRAFT) Posted: 28 Sep 2008 01:08 AM CDT Covers creating arrays in NumPy - covers recarrays. to create recarray: x = np.array([(1.0, 2), (3.0, 4)], dtype=[('x', float), ('y', int)]). Then to view as recarray: x = x.view(np.recarray). x.x

NumPy Reference Guide (DRAFT) — NumPy v1.2 Reference Guide (DRAFT) Posted: 28 Sep 2008 01:00 AM CDT great reference guide to using NumPy.

http://conference.scipy.org/static/wiki/demo_numpy2.py Posted: 28 Sep 2008 12:08 AM CDT example of creating structured arrays in numpy.

SQLite The Hammer Posted: 27 Sep 2008 01:16 PM CDT a great resource for SQLite.

What I'm Researching...

Econometrics in R (pdf) Posted: 26 Sep 2008 01:37 AM CDT Simple tutorial in R from a finance perspective.

SQLite Optimization FAQ Posted: 26 Sep 2008 01:27 AM CDT excellent guide to tuning SQLite. Need to try some of this stuff.

Programming in R Posted: 26 Sep 2008 01:14 AM CDT very comprehensive tutorial on R language. Covers plotting, creating functions/classes/methods, parallel programming, optimizations, etc. Great coverage of databases (sqlite).

R Graph Gallery (65) Bollinger Bands Posted: 26 Sep 2008 12:54 AM CDT great example of R stock charting.

Reading and Writing Data in R (pdf) Posted: 26 Sep 2008 12:51 AM CDT great primer on reading/writing large files in R language.

R functions to read ASCII price series Posted: 26 Sep 2008 12:34 AM CDT several functions to read price series in ASCII format.

R CSI Interface Posted: 26 Sep 2008 12:30 AM CDT R functions for interacting with the CSI Data platform

R: Econometric tools for performance and risk analysis. Posted: 25 Sep 2008 03:34 PM CDT performance analysis library covering the whole gamut of performance and risk analysis functions.

TWiki - the Open Source Enterprise Wiki and Web 2.0 Application Platform Posted: 25 Sep 2008 12:27 PM CDT one of the wikis to consider.

TiddlyThemes - Home Posted: 25 Sep 2008 12:23 PM CDT cool themes for TiddlyWiki

What I'm Researching...

Groovy Domain Specific Language Tutorial « InnovationStartups Posted: 24 Sep 2008 12:50 PM CDT nice example of a stock trading DSL. Not familiar with Groovy...research more.

Non-Programmer's Tutorial for Python/Contents - Wikibooks, collection of open-content textbooks Posted: 24 Sep 2008 12:55 AM CDT Great tutorial on python. - love the format.

The gplots Package (pdf) Posted: 23 Sep 2008 11:15 PM CDT another interesting plotting package in R language.

Barplot function in R

Much of my backtesting platform is text driven. Not that I'm opposed to graphs...just felt my time was better spent developing the foundation for the platform before adding bells and whistles. Little did I realize how difficult it is to find a simple graphing engine for the platform. Problem is...I'm old school...couldn't care less about flash graphs. Keep it simple.

Since I'm using python...figured I had to give the matplotlib library a try. It is nice...simple...but something was missing. Couldn't put my finger on it. So, dug around and played with the R language plotting libraries. A bit more my speed...though a bit particular in the settings. Anyway, here's a function I wrote to generate bar charts using R with a replacement for pie charts in mind...


#-----------------------------------------------------------------
# Simple bar chart - use instead of pie chart when possible.
#-----------------------------------------------------------------
barPie <- function(xSeries, chTitle="Your Bar Chart", xLab="X Label",
xDesc="%")
{
xSeries <- sort(xSeries)

# save off original settings in order to reset on exit
oldPar <- par(no.readonly=TRUE)

plot.new()

# set page margins in inches
par(mai=c(1,1.5,1,1))


# pad 30% for labels
# start plotting at 0.0 unless negative
if (min(xSeries) < 0.0)
{
xLim = c((min(xSeries) * 1.3), (max(xSeries) * 1.3))
}
else
{
xLim = c(0.00, (max(xSeries) * 1.3))
}

# horizontal barplot in color baby!
bp <- barplot(xSeries, horiz=T,
xlab=xLab, las=1, col=rainbow(length(xSeries)),
xlim=xLim,
axes=F, cex.names=0.7, main=chTitle)

# if x negative then start label at 0.0
# otherwise, start label at value of x.
xVals = ifelse(xSeries < 0.0, 0.0, xSeries)
text(xVals, bp, paste(xSeries, xDesc, sep=""),pos=4, cex=0.65)

# format x axis
xRange <- formatC(pretty(xSeries), 1, format="f")

axis(1, at=xRange, labels=as.character(xRange), cex.axis=0.75)
box()

#restore par value to previous state
on.exit(par(oldPar))
}


Used data from my portfolio to plot sector allocations and called the function...

sectors <- c(10.64,119.83,162.66,66.48,71.78,35.44,32.77,161.17,53.91,
101.81,53.38,231.45,31.24,103.01)
sectors <- round((sectors/sum(sectors)*100.00), 1)

# write to png driver
png("c:/taylortrade/rlang/sectors_test.png")

barPie(sectors, "Sector Allocation", "Pct Allocated")

# stop writing to png driver
dev.off()


And here's the result...

What I'm Researching...

Visualize real-time data streams with Gnuplot Posted: 22 Sep 2008 11:26 PM CDT perl script feeding Gnuplot to plot streaming data in real-time. Interesting find...hat tip to Hackszine.com

The plotrix Package (pdf) Posted: 22 Sep 2008 10:21 PM CDT need to review this...looks like an all encompassing plotting package for the R language. Barcharts, piecharts, gantt charts, oh my!

What I'm Researching...

Writing R Extensions (pdf) Posted: 21 Sep 2008 09:28 PM CDT the how-to of creating extensions to the R language.

The Hazel Tree - A Python Compendium Posted: 21 Sep 2008 07:21 PM CDT central location of texts covering python.

The fTrading Package (pdf) Posted: 21 Sep 2008 06:25 AM CDT R language package containing functions for ohlc plots, sharpe ratio, sterling ratio, maxDrawDown, rolling analysis, ema, sma, emwa, etc.

What I'm Researching...

Quick-R: Home Page Posted: 21 Sep 2008 01:37 AM CDT nice site covering all the R essentials - reading data, graphing, stats.

R mailing lists archive Posted: 21 Sep 2008 01:28 AM CDT search the R language mailing list.

Rtips Posted: 21 Sep 2008 01:26 AM CDT cookbook of the R language

Producing Simple Graphs with R Posted: 20 Sep 2008 10:47 PM CDT examples of various charts (line, bar, pie, dot, histogram) in R language

Creating Charts and Graphs with GNU R Posted: 20 Sep 2008 10:45 PM CDT brief tutorial covering pie, bar, scatter, and line charts in R language.

R Graph Gallery :: List of graphs Posted: 20 Sep 2008 10:26 PM CDT great gallery of R Language graphs.

R Graphical Manual Posted: 20 Sep 2008 10:16 PM CDT gallery of R language graphics by category such as Finance, Econometrics, SocialSciences, etc.

R Graphics Posted: 20 Sep 2008 10:13 PM CDT book on the graphics available with the R language. Very nice!

Chart of R Colors Posted: 20 Sep 2008 10:12 PM CDT table of colors available in R language.

Using Color in R Language (pdf) Posted: 20 Sep 2008 10:10 PM CDT showcases all the colors available in graphing with the R language.

Getting Started With Matplotlib's OO Class Library Posted: 20 Sep 2008 08:34 PM CDT brief summary of matplotlib's api.

Using Python for Interactive Data Analysis Posted: 20 Sep 2008 08:26 PM CDT Several excellent examples of using numpy and pylab (matplotlib) together.

scienceoss.com » Blog Archive » Creating a custom bar plot in matplotlib Posted: 20 Sep 2008 03:33 PM CDT interesting code examples of bar charts in pylab.

What I'm Researching...

Python: package matplotlib Posted: 18 Sep 2008 11:20 PM CDT api reference for matplotlib - not a cookbook of examples - just command and descriptions. Use as reference guide.

Plotting with Pylab - python Posted: 18 Sep 2008 11:13 PM CDT drop-dead example of plotting with pylab versus matplotlib's api. would like to use pylab's api...if at all possible.

Sofeng's Blog: Simplistic Python Thread example Posted: 18 Sep 2008 11:02 PM CDT drop-dead example of threading in python.

Sofeng's Blog: How to use *args and **kwargs in Python Posted: 18 Sep 2008 10:59 PM CDT drop-dead simple explanation of variable length argument lists in python.

Sofeng's Blog: Emacs 22 Command Index (sorted by Category) Posted: 18 Sep 2008 10:58 PM CDT breakdown of emacs commands - not sure if format is the best...but worth saving for future.

Sofeng's Blog: Example pie charts using python and matplotlib Posted: 18 Sep 2008 10:38 PM CDT really like the look of these pie charts. use for sector allocation page.

Sofeng's Blog: How to draw a simple line using python and the matplotlib API - Posted: 18 Sep 2008 10:34 PM CDT drop dead simple example of using matplotlib.

Goldblog - Python - Creating Bar Graphs with Matplotlib - Corey Goldberg Posted: 18 Sep 2008 10:20 PM CDT example of bar graph in python. like the format of the graph.

Vim is a beautiful tool Posted: 18 Sep 2008 01:04 PM CDT nice summary of the top shortcuts used in vim.

Portfolio Performance for August 2008

Some very nice weather happening here in Missouri. In fact, in all my life I've never had weather like this in August/September timeframe.

Back in Texas, it's usually some of the hottest times of the year. But, feels like Fall already in Mid-Mo.

Can't wait to see the leaves turn colors. Of course, my kids are looking forward to piles of leaves to jump and play
in.

Maybe this weather change will bring the market out of the doldrums. By the way, the picture above was taken while visiting the Devil's Ice Box.

And now for the August returns...






Still, nothing going on with the market or the trading system. Though, plenty to do with the system testing platform. I'm exploring the numpy library for python to determine how big a role this library should play in the platform's architecture. For those curious...check out my delicious bookmarks on numpy.


Later Trades,

MT