20160827 open community camp
TRANSCRIPT
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Be A GambleR
Chia-Chi@OpenCommunityCamp
20160827
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大家好 ... 我是家齊 ...
TW.R & MLDM Monday 共同創辦人木刻思股份有限公司 共同創辦人
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TW.R & MLDM Monday成立於 2012/09 ... 第一次聚會在 2012/10/15
每年 10 月週年慶時 ... 都總會回顧一下 ...
這個社群 &聚會 ... 是怎樣開始的 ... ?
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今天比較特別 ... 所以 ... 想分享一個比較少人知道的故事 ...
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所以 ... 我決定仿照它弄一個 ...
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Logo 很像吧 !有點想去做新版 Logo 的貼紙
如果有人認識優質貼紙店請推薦給我 ... !
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快四年了 ... TW.R & MLDM Monday
有著數不盡的人所共同付出而達成的
沒有他們 ... 就沒有社群 ...
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後來有一天 ... 出現了 RLadies ...
詳細情形大家去問主持人 Yen + 1 (共同創辦人)
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14
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我不會運彩 ... 雖然 ... 木刻思危險基金會投注運彩 ... XD
以個人來說 ... 我主要的投資標的是選擇權 ... 然後偶爾玩玩樂透 ...
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所以 ... 今天的主題 ... 會 Cover 到一點點 quantmod & quantstrat
還有很多很多的樂透機率算 !
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在開始演講前想先調查一下現場聽眾
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近一年內 ... 有買過樂透的朋友 ?
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你買彩卷時 ... 不知道當年度最常出現的號碼的 ?
一向都用電腦選號的 ?
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你相信 ... 彩卷的號碼是有規律的 ?
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你相信 ... 彩卷的號碼是沒有規律的 ?
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對於,不相信的朋友 ...
是驗證過,嘗試過,發現沒有 pattern,才不相信?
還是是沒驗證過,沒嘗試過,直接不相信?
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對賭徒來說 ... 最重要的兩件事
瘋險控管不對稱資訊
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瘋險的種類 ?● 猜錯行情 (Prediction)
○ 在該下注時,不下
○ 再不該下時,拼命下
● 下注數量控制失衡 (Position Sizing)○ 輸的時候,下注過大
○ 贏得時候,下注太小
● 陷入負期望值,而未自覺
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瘋險控管的核心(1) 套利 Versus 套損(2) 勝率 Versus 賠率
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以股票為例什模是賺錢的唯一法則呢 ?
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賺錢的唯一法則 ?
低買高賣
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賺錢的唯一法則 ?● 行情向上時,先低買,後高賣
● 行情向下時,先高賣,後低買
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市場上有兩種 TraderBuy-Side / Sell-Side
Trend Follower / Mean Reversionhigh p, low WLR / low p, High WLR
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什麼是高?什麼是低?標準是 ...... ?
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兩種 Traders:● Type I (Trend Follower)
○ 順勢操作,追高殺低
○ 低勝率,高報酬
● Type II (Mean Reversion)○ 逆勢操作,買黑賣紅
○ 高勝率,低報酬
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套損 Versus 套利E = pW - (1-p)L - T > 0
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套損 Versus 套利假設 T = 0, WLR = W/L
p > 1 / (1+WLR)
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對賭徒來說 ... 最重要的兩件事
瘋險控管不對稱資訊
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以 coin tossing 為例 ...
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你相信 ... 投擲硬幣正面和反面的機率是平均的 ?
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你覺得 ... 投擲硬幣正面和反面的機率是多少呢 ?
這些機率,受到什模影響呢 ?
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大家覺得 ... P(H) = ? and P(T) = ?
P(H| ?? ) = ? and P(T | ??) = ?
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大家覺得 ... 什模是 "機率" ?
(這其實是今天演講中,最重要的問題之一 !)
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樂透的空間 pattern各個號碼出現的次數 ?
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tidyr:: gather -> <- spread
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<- Spread
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平均 ... ? 但如果看條件機率呢 ?
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利用條件機率進行預測P(Xt | Xt-1)
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利用條件機率進行預測P(Xt | Xt-k)
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策略回測E = W*p - L*(1-p)
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首先 ... 要知道 W =? L =?
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Avoid OverfittingWalk Forward Analysis
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Walk Forward Analysis
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樂透的時間 pattern各個號碼出現的 Stopping Time ?
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怎樣才是 ... 正確的週期 ?正確的時間尺度 ?
來看空間的 pattern !
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進擊的條件機率進行預測P(DISTt | DISTt-1)
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如果您覺得 ... 以上內容還不錯精彩 ...希望自己也能擁有相關的概念和技能 …
歡迎到木刻思粉絲團許願開爬蟲課 或是報名正在招生的 ETL & DataViz 課程
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quantmod 101zoo / xts / TTR
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Key Features in quantmod● Time Series Object: zoo, xts● Data Importers: getSymbols● Technical Analysis: TTR● Draw Candlestick Lines: chartSeries
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quantstrat 101quantmod / blotter / FinancialInstrument /
PerformanceAnalytics / foreach
https://r-forge.r-project.org/R/?group_id=316
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Key Features in quantstrat● Strategy Construction Tools:
○ Indicator○ Signal○ Rule
● Transaction-Oriented Trading Systems: ○ [blotter] Portiforlio○ [blotter] Account○ [quantstrat] Order
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在國內 ... 蒐集金融資料 ... 如果要跟 R 對接 ... 通常都少不了 …
R.NET & MRO & MRS
(因為國內期貨商都只有 Win APIs)
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可以選擇 ... microsoft-r-open-blas
或是intel MKL (RevoMath in ArchLinux)
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感謝大家 [email protected]
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如果想學習更多 ... 關於多機器 Cluster 的架構與部屬的話 ...
可以參考一下 PhillipZ 之後的 Docker 進階課 ...
不過 ... 這門課的內容真的非常進階唷 ... !
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聽說會學到很潮的 Docker Swarm Cluster …好像還有 Nvidia Docker 可以跑 Deep Learning ...