ML in Trading Talk

Wed 11 May 2016 by Steven

My script for a talk on backtesting

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Backtest Boo-Boos.

Wed 09 March 2016 by Steven

I gave a talk today for the Bloomington Data Collective. You can view the slides or watch the recorded talk. The TL;DR is that profitable strategies are hard to make, but bugs are easy to make, so Bayes' Rule suggests profitable-looking backtests are likely bugs, and here's a catalogue of some of the errors I have seen and committed in my time.

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CRAN check like a bot with docker.

Tue 08 March 2016 by Steven

If you're like me, you just blindly check boxes when submitting packages to CRAN. (The 'submit' button should be labeled 'yolo' as far as I'm concerned.) After getting burned yet again for not actually checking my package with the development build of R, I decided to be slightly less stupid in the future. Rather than install R-devel, I made a docker base image for CRAN checking.

As an example, to check my sadists package, I made essentially the following Dockerfile:

# preamble#
FROM shabbychef/crancheck

# tweak this to force re-install
ENV DOCKER_INSTALL_NONCE 97c22800_9f88_4830_806a_2614e06600f2

# rinstall somethings...
RUN /usr/local/bin/install2.r PDQutils hypergeo orthopolynom shiny testthat ggplot2 xtable knitr

It starts FROM the crancheck image on docker hub. The general recipe would be to install any system packages via apt-get, then any CRAN packages via install2.r, then any github packages via /usr/local/bin/installGithub.r. The base image 'does the right thing' with respect to the entrypoint and you give the package file as the command.

I built it via:

docker build --rm -t shabbychef/sadists-crancheck docker/

Once the image is built, checking a package is as 'simple' as attaching the local directory as /srv in the container via a volume, and giving the name of the package file. (That is, when the command to the container is sadists_0.2.2.5000.tar.gz, it will try to check, as CRAN, the file /srv/sadists_0.2.2.5000.tar.gz. You had better make sure it is available there, so attach this directory here containing the package to /srv in the container.) In summary, run it like this:

docker run -it --rm --volume $(pwd):/srv:ro shabbychef/sadists-crancheck sadists_0.2.2.5000.tar.gz 

You get output as follows:

* using log directory …
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Sun 21 February 2016 by Steven

I recently stumbled on asciinema, which is a way of screencasting execution of code on the command line. Since the file format is apparently a JSON file, the storage and transmission requirements of the screencap are fairly minimal. Moreover, as one is watching playback, one can pause and copy and select text from the screencap. I feel like this is an amazing technology which has been missing all my life, but to be honest I am not sure how I should use it yet. For now, I am playing the recursive gambit of screen-capping the writing and publication of this blog post.

Here's the embed:

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