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Jrinne
Re: Python code for calling 123 API


Once I finish with my project then I can assist in what you are trying to do. It is certainly fascinating and I may be able to help.

Thanks Steve,

I am particularly impressed with what you have done with what is called a "grid search" for optimizing hyperparameters in your Colab programs.

You have moved beyond anything I have ever done with that.

I will take you up on you offer of assistance with this and other aspects of XGBoost.

From time to time you will encounter Luddites, who are beyond redemption.
--de Prado, Marcos López on the topic of machine learning for financial applications

Nov 25, 2020 7:25:23 AM       
Edit 1 times, last edit by Jrinne at Nov 25, 2020 7:27:09 AM
InspectorSector
Re: Python code for calling 123 API

Jim - I know you don't understand everything I am doing with my project. Part of it has to do with my Seeking Alpha activities, the rest is knocking down big data barriers here on P123. There are still roadblocks, like trying to get data back into P123. But we just work one problem at a time and eventually we will have something that you can apply to your project. You don't see the benefit right now but you just need to be patient.

Nov 25, 2020 9:19:13 AM       
Jrinne
Re: Python code for calling 123 API

Jim - I know you don't understand everything I am doing with my project. Part of it has to do with my Seeking Alpha activities, the rest is knocking down big data barriers here on P123. There are still roadblocks, like trying to get data back into P123. But we just work one problem at a time and eventually we will have something that you can apply to your project. You don't see the benefit right now but you just need to be patient.

Steve,

I like what you are doing. From what I see I think there is a time-series aspect to your project. Which is not my forte.

Cross-sectional analysis is so easy for a simple mind like mine: 1) put a bunch of factors in columns, 2) spend a couple of seconds agonizing about what a good target might be: Like how much money I will make if I buy this ticker? 3) Push enter.

XGBoost is magical in that it self-selects the factors—automatically selecting the important factors. And if you feel a need to understand how the program did that you can find it in the feature importance printout. Double-good for a simple mind like mine.

Let me repeat that so I can remember it…..Uh, Factors in columns, figure out a target, push enter.

Uh wait. It is shift enter in Python. Okay got it now.

I think that is what you are seeing in my posts. There is just a world of difference in my understanding and abilities between cross-sectional analysis and anything resembling a time-series analysis for me personally.

Best,

Jim

From time to time you will encounter Luddites, who are beyond redemption.
--de Prado, Marcos López on the topic of machine learning for financial applications

Nov 25, 2020 9:42:19 AM       
Edit 7 times, last edit by Jrinne at Nov 25, 2020 10:04:59 AM
InspectorSector
Re: Python code for calling 123 API

There in no real time series stuff in my application. There are some filters on data, but I am not feeding time series dependent data into the model. I can shuffle the rows of data without any problem. What I meant to say is that I think that maybe you are not seeing the value in my project because there is no direct relationship to profits/losses.

In any case, the important thing is that you need to make sure that Marco/P123 are giving you the tool that you need so you don't spend days splicing spreadsheets of data together. I know that you expressed a need to have excess returns brought out. I agree and hopefully Marco is listening. What else do you need in the API to make your project work that hasn't been acknowledged?

Nov 25, 2020 10:33:58 AM       
Jrinne
Re: Python code for calling 123 API

think that maybe you are not seeing the value in my project because there is no direct relationship to profits/losses.

You are so right about this being part of my simple-minded approach as I mention above.
….but I am not feeding time series dependent data into the model. I can shuffle the rows of data without any problem.

I get that as being an argument for this not being time-series data. And an argument could be made that I am so bad at time-series data I cannot even recognize when it is (or isn’t) time-series data.

In any case, the important thing is that you need to make sure that Marco/P123 are giving you the tool that you need so you don't spend days splicing spreadsheets of data together

I can get something together along the lines of what I did "Boosting you Profits" in time. Probably.

If Marco wants the definitive study before committing to this he can send me the 3 Excel csv files this will take. It will take 3 as I have come to learn that the maximum number of row per spreadsheet is 1,048,576.

I.e., 3000 stocks Russell3000 universe * 52 weeks * 15 years = 2,340,000 rows

Yep. 3 Excel spreadsheets. Yea. Marco not helping is not an option if he wants the definitive study.

But I can do with less for now. Probably. After a while.

Jim

From time to time you will encounter Luddites, who are beyond redemption.
--de Prado, Marcos López on the topic of machine learning for financial applications

Nov 25, 2020 10:57:46 AM       
Edit 3 times, last edit by Jrinne at Nov 25, 2020 1:31:27 PM
InspectorSector
Re: Python code for calling 123 API

Jim - set the "definitive study" aside for the moment. What data do you need to collect to make your effort easier? Don't worry about defending what you are doing. What data do you need?

Nov 25, 2020 11:13:05 AM       
Jrinne
Re: Python code for calling 123 API

Jim - set the "definitive study" aside for the moment. What data do you need to collect to make your effort easier? Don't worry about defending what you are doing. What data do you need?

Thanks Steve. I can get it. I am sure Marco would help but I do not need any.

Jim

From time to time you will encounter Luddites, who are beyond redemption.
--de Prado, Marcos López on the topic of machine learning for financial applications

Nov 25, 2020 11:28:56 AM       
Edit 1 times, last edit by Jrinne at Nov 25, 2020 11:32:36 AM
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