Here's a pattern recognition algorithm using zlib string compression (see algorithm for references). I compare the daily volumes of 5 securities against that of SPY, over a 30-day sliding window. The similarity metric (NCD) is plotted versus time for the 5 securities.
Grant
It doesn't really change the result, but the NCD function should read:
def NCD( X, Y ):
CX = len(zlib.compress(X,9))
CY = len(zlib.compress(Y,9))
return (len(zlib.compress(X+Y,9)) - min(CX,CY)) / float(max(CX,CY))
I forgot to max-out the compression of the concatenated pair of strings, X & Y.
Grant, simple question, but the scores you plotting are the similarity of the 5 securities to what?
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Hi Fawce,
If I've coded things correctly, I should be comparing each of the five securities to SPY with:
for j in range(m):
X = ''
Y = ''
for i in range(W_L):
X = X + str(int(coded_prices[i,0]))
Y = Y + str(int(coded_prices[i,j+1]))
N[j] = NCD(X,Y)
In the code snippet above, X is the text string representing the coded volume of SPY over the 30-day sliding window. Y is the text string of the coded volume of one of the five securities (I loop over the five securities, storing the result for each security in N).
The basic idea is to get a sense for which securities trade like SPY and which ones do not. For example, AAPL seems to stay within a narrow range, while other securities spike up, sometimes becoming significantly less similar to SPY in their volume patterns.
I have no idea if this will bear fruit...I'm just tinkering around learning how to do pattern recognition (I think...).
Grant
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
