Welcome 2024.
This blog is just a personal hobby. When I’m extra busy as I was this year the blog is a front-line casualty. This is why 2023 saw a weaker posting stream. Nonetheless I am pleased with just over 30K visits this year, with an average of roughly one minute per visit (engagement time, whatever google-analytics means by that). This year I only provide the top two posts (rather than the usual 3). Both posts have to do with statistical shrinkage:
Imagine you’re picking from 1,000 money managers. If you test just one, there’s a 5% chance you might wrongly think they’re great. But test 10, and your error chance jumps to 40%. To keep your error rate at 5%, you need to control the “family-wise error rate.” One method is to set higher standards for judging a manager’s talent, using a tougher t-statistic cut-off. Instead of the usual 5% cut (t-stat=1.65), you’d use a 0.5% cut (t-stat=2.58).
When testing 1,000 managers or strategies, the challenge increases. You’d need a manager with an extremely high t-stat of about 4 to stay within the 5% error rate. This big jump in the t-stat threshold helps keep the error rate in check. However that is discouragingly strict: a strategy which t-stat of 4 is rarity.
For whatever reason, clipboard functionalities from Rython are under-utilized. One utility function for reversing backslashes is found here. This post demonstrates how you can use the clipboard to circumvent saving and loading files. It’s convenient for when you just want the quick insight or visual, rather than a full-blown replicable process.
R or Python? who cares! Which editor? now that’s a different story.
I like Rstudio for many reasons. Outside the personal, Rstudio allows you to write both R + Python = Rython in the same script. Apart from that, the editor’s level of complexity is well-balanced, not functionality-overkill like some, nor too simplistic like some others. This post shares how to save time with snippets (easy in Rstudio). Snippets save time by reducing the amount of typing required, it’s the most convenient way to program copy-pasting into the machine’s memory.
In addition to the useful built-ins snippets provided by Rstudio like lib or fun for R and imp or def for Python, you can write your own snippets. Below are a couple I wrote myself that you might find helpful. But first we start with how to use snippets.
In scientific programming speed is important. Functions written for general public use have a lot of control-flow checks which are not necessary if you are confident enough with your code.To quicken your code execution I suggest to strip run-of-the-mill functions to their bare bones. You can save serious wall-clock time by using only the laborers code lines. Below is a walk-through example of what I mean.
One big advantage of using open-source tools is the fantastic ecosystems that typically accompany them. Being able to tap into a massive open-source community, by way of downloading freely available code is decidedly useful. But, yes, there are downsides to downloads.
For one, there are too many packages out there. There are imperfect duplicates. You can easily end up downloading inferior code/package/module compared to existing other. Second, there is a matter of security. I myself try to refrain from downloading relatively new code, not yet tried-and-true. How do we know if a package is solid?
Kind of sad, but the same intro which served last year, befits this year also.
Littered with Corona, this year was not easy. But looking around me, I feel grateful. The following quote by Socrates comes to mind:
“If all our misfortunes were laid in one common heap whence everyone must take an equal portion, most people would be content to take their own and depart.”
On topic, as with previous years I checked my website traffic-analytics. Without further ado here are the three most popular posts for 2021.
Couple of months ago I published a paper in Significance – couple of pages describing the essence of deep learning algorithms, and why they are so popular. I got a few requests for the code which generated the figures in that paper. This weekend I reviewed my code and was content to see that I used a pseudorandom numbers, with a seed (as oppose to completely random numbers; without a seed). So now the figures are exactly reproducible. The actual code to produce the figures, and the figures themselves (e.g. for teaching purposes) are provided below.
Here is a small utility function to save you some boring work.
Say you have a file to read into R. The file path is C:\Users\folder1\folder2\folder3\mydata.csv. So what do you do? you copy the path, paste it to the editor, and start reversing the backslash into a forward slash so that R can read your file.
With the help of the rstudioapi package, the readClipboard function and the following function:
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get_path <- function(){ x <- readClipboard(raw= F) rstudioapi::insertText( paste("#",x, "\n") ) x } |
You can
1. Simply copy the path C:\Users\folder1\folder2\folder3\mydata.csv
2. execute pathh <- get_path()
3. use pathh which is now R-ready.
No more reversing or escaping backslash.
Enough! Enough with that pointless R versus Python debate. I find it almost as pointless as the Bayesian vs Frequentist “dispute”. I advocate here what I advocated there (“..don’t be a Bayesian, nor be a Frequenist, be opportunist“).
Nowadays even marginally tedious computation is being sent to faster, minimum-overhead languages like C++. So it’s mainly syntax administration we insist to insist on. What does it matter if we have this:
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xsquare <- function(x){ x^2 } |
Or that
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def xsquare(x): return x**2 |
As the title reads, few more R-related tips and tricks. I hope you have not seen those before.
In this post you will learn how to properly paste an R plot\chart\image to a word file. There are few typical problems that occur when people try to do that. Below you can find a simple, clean and repeatable solution.
Courtesy of R Consortium, you can view my forecast combination talk (16 mins) given in France few months ago, below.
The useR! 2019 held in Toulouse ended couple of days ago.
This post shares short code snippet to make your own screen saver in R, The Matrix-style:
