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## read dat file into R | ||
# use library | ||
library(tidyverse) | ||
# read binary file | ||
base_buy <- readBin("test_data/Buy_Position8132102.dat",what = "double",n = 60000, endian = "little") %>% | ||
# convert vector to matrix | ||
matrix(ncol = 6, byrow = TRUE) %>% | ||
# convert to dataframe | ||
as.data.frame() | ||
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nrow(base_buy) | ||
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base_buy$V6 <- as.factor(base_buy$V6) | ||
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## explore this data visually | ||
# one vector over another one | ||
ggplot(base_buy, aes(V1, V2, col = V6))+geom_point() | ||
ggplot(base_buy, aes(V1, V3, col = V6))+geom_point() | ||
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# make this data as long format | ||
base_buy_long <- base_buy %>% gather(key = "vector", value = "base_value", -V6) | ||
# visualize it | ||
ggplot(base_buy_long, aes(x = vector, y = base_value, col = V6))+geom_jitter() | ||
# with facets | ||
ggplot(base_buy_long, aes(x = vector, y = base_value, col = V6))+geom_jitter()+facet_grid(vector ~ .) | ||
# probably better ones | ||
ggplot(base_buy_long, aes(x = vector, y = base_value, col = V6))+geom_jitter()+facet_grid(.~ vector) | ||
ggplot(base_buy_long, aes(x = vector, y = base_value, col = V6))+geom_jitter()+facet_grid(V6 ~ vector) | ||
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library(caret) | ||
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# Create index to split based on labels | ||
index <- createDataPartition(base_buy$V6, p=0.75, list=FALSE) | ||
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# Subset training set with index | ||
d.training <- base_buy[index,] | ||
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# Subset test set with index | ||
d.test <- base_buy[-index,] | ||
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# Train a model | ||
model_knn <- train(x = d.training[ , 1:5], | ||
y = d.training[ , 6], | ||
method = 'knn') | ||
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# Predict the probabilities (newdata should come from new observations) | ||
predict_prob <- predict(object = model_knn, type = "prob", newdata = d.test[,1:5]) | ||
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# Predict the classes | ||
predict_class <- predict(object = model_knn, type = "raw", newdata = d.test[,1:5]) | ||
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# Evaluate the predictions | ||
table(predict_class) | ||
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# Confusion matrix | ||
confusionMatrix(predict_class,d.test[,6]) | ||
|
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# read dat file | ||
readBin("test_data/Buy_Position8132101.dat",what = "double",n = 600, endian = "little") | ||
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ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
138912.2999999999,94146.69999999994,VeryGood,0.6777419993206203,NEW,75,15,C | ||
138912.2999999999,70123.49999999997,VeryGood,0.5048041098557838,PREV,75,15,C |
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ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
79029,71362.09999999998,2373,10,VeryGood,0.9029862444128276,NEW,75,15,R | ||
83044,55962.09999999996,1487,30,VeryGood,0.6738849276601737,PREV,75,15,R |
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ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
50947.299999999974,17466.699999999975,VeryGood,0.34283857958549574,NEW,75,1,C | ||
50947.299999999974,17107.100000000013,VeryGood,0.3357803056574537,PREV,75,1,C |
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ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
9864,4470.100000000012,529,10,VeryGood,0.45317315031252003,NEW,75,1,R | ||
20402,8083.899999999953,1071,10,VeryGood,0.39623075974791083,PREV,75,1,R |
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ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
97012.50000000001,50969.10000000001,VeryGood,0.5253869341318006,NEW,75,60,C | ||
97012.50000000001,54150.69999999998,VeryGood,0.558182707838492,PREV,75,60,C |
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ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
84160,49517.50000000004,974,20,VeryGood,0.5883733358027887,NEW,75,60,R | ||
68139,38653.10000000002,474,80,VeryGood,0.5672683770421224,PREV,75,60,R |
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---|---|---|
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ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
136220.69999999995,92469.89999999992,VeryGood,0.6788241429688552,NEW,75,15,C | ||
136220.69999999995,68827.09999999989,VeryGood,0.5052616815907842,PREV,75,15,C |
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---|---|---|
@@ -0,0 +1,3 @@ | ||
ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
75832,62170.399999999965,1764,20,VeryGood,0.8198438643055118,NEW,75,15,R | ||
50374,33892.69999999998,683,50,VeryGood,0.6728212953650267,PREV,75,15,R |
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---|---|---|
@@ -0,0 +1,3 @@ | ||
ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
49542.9000000001,21576.299999999992,VeryGood,0.4355074078515631,NEW,75,1,C | ||
49542.9000000001,20353.300000000043,VeryGood,0.4108217314472473,PREV,75,1,C |
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---|---|---|
@@ -0,0 +1,3 @@ | ||
ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
15158,7019.600000000022,700,10,VeryGood,0.46309539211574635,NEW,75,1,R | ||
19522,8693.400000000083,1019,10,VeryGood,0.4453129779463572,PREV,75,1,R |
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---|---|---|
@@ -0,0 +1,3 @@ | ||
ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
96079.39999999997,46816.99999999998,VeryGood,0.4872740665665334,NEW,75,60,C | ||
96079.39999999997,53090.8,VeryGood,0.5525721428812296,PREV,75,60,C |
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---|---|---|
@@ -0,0 +1,3 @@ | ||
ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
73619,49899.5,847,30,VeryGood,0.6778073585924729,NEW,75,60,R | ||
93855,49784.30000000002,985,30,VeryGood,0.5304384417128142,PREV,75,60,R |
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---|---|---|
@@ -0,0 +1,3 @@ | ||
ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
136768.19999999998,84434.20000000001,VeryGood,0.617352571272158,NEW,75,15,C | ||
136768.19999999998,74105.99999999991,VeryGood,0.5418364791363509,PREV,75,15,C |
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---|---|---|
@@ -0,0 +1,3 @@ | ||
ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
79116,65249.89999999999,1768,20,VeryGood,0.8247370938561893,NEW,75,15,R | ||
60700,41681.29999999997,940,40,VeryGood,0.6866770993629696,PREV,75,15,R |
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---|---|---|
@@ -0,0 +1,3 @@ | ||
ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
53992.700000000026,18948.5000000001,VeryGood,0.35094559014284393,NEW,75,1,C | ||
53992.700000000026,21402.500000000025,VeryGood,0.39639617874935684,PREV,75,1,C |
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---|---|---|
@@ -0,0 +1,3 @@ | ||
ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
13521,7270.80000000009,659,10,VeryGood,0.5377412873475307,NEW,75,1,R | ||
21907,10739.400000000047,1100,10,VeryGood,0.4902268658865824,PREV,75,1,R |
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---|---|---|
@@ -0,0 +1,3 @@ | ||
ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
100455.90000000001,56943.09999999996,VeryGood,0.566846745122141,NEW,75,60,C | ||
100455.90000000001,51342.69999999999,VeryGood,0.5110969086822207,PREV,75,60,C |
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---|---|---|
@@ -0,0 +1,3 @@ | ||
ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
74356,53231.699999999975,771,40,VeryGood,0.7159032213729847,NEW,75,60,R | ||
76382,46404.700000000004,635,60,VeryGood,0.6075344968611264,PREV,75,60,R |
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---|---|---|
@@ -0,0 +1,3 @@ | ||
ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
136632.19999999998,89107.39999999995,VeryGood,0.6521698394286484,NEW,75,15,C | ||
136632.19999999998,65404.39999999992,VeryGood,0.47868950329520404,PREV,75,15,C |
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---|---|---|
@@ -0,0 +1,3 @@ | ||
ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
67158,56519.69999999995,1263,30,VeryGood,0.8415929586324884,NEW,75,15,R | ||
62777,43555.79999999999,1000,40,VeryGood,0.69381779840735,PREV,75,15,R |
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---|---|---|
@@ -0,0 +1,3 @@ | ||
ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
53432.60000000002,33776.000000000044,VeryGood,0.6321234590266558,NEW,75,1,C | ||
53432.60000000002,29932.59999999998,VeryGood,0.5601935886327937,PREV,75,1,C |
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---|---|---|
@@ -0,0 +1,3 @@ | ||
ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
19230,13667.400000000012,872,10,VeryGood,0.7107332256332132,NEW,75,1,R | ||
20224,14341.000000000025,1008,10,VeryGood,0.7091079870000606,PREV,75,1,R |
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---|---|---|
@@ -0,0 +1,3 @@ | ||
ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
95014.29999999997,46927.09999999998,VeryGood,0.49389512895017357,NEW,75,60,C | ||
95014.29999999997,47792.49999999999,VeryGood,0.5030032316156587,PREV,75,60,C |
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---|---|---|
@@ -0,0 +1,3 @@ | ||
ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
46091,27677.000000000007,308,90,VeryGood,0.6004859937938298,NEW,75,60,R | ||
83969,40984.899999999994,679,60,VeryGood,0.48809560613072006,PREV,75,60,R |
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---|---|---|
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ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
141340.19999999998,89748.00000000006,VeryGood,0.6349785831384291,NEW,75,15,C | ||
141340.19999999998,70634.59999999999,VeryGood,0.49974883260406533,PREV,75,15,C |
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ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
74306,77389.50000000001,2435,10,VeryGood,1.0414973204835447,NEW,75,15,R | ||
60600,44359.399999999936,927,40,VeryGood,0.7320032991221057,PREV,75,15,R |
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---|---|---|
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ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
47180.29999999991,16506.500000000033,VeryGood,0.3498600043877225,NEW,75,1,C | ||
47180.29999999991,16168.099999999935,VeryGood,0.34268751927671537,PREV,75,1,C |
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---|---|---|
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ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
13622,4939.799999999987,653,10,VeryGood,0.3626339717909698,NEW,75,1,R | ||
18062,7072.599999999986,909,10,VeryGood,0.3915734669938345,PREV,75,1,R |
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---|---|---|
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ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
98055.10000000005,53231.3,VeryGood,0.5428713034376881,NEW,75,60,C | ||
98055.10000000005,54376.10000000003,VeryGood,0.5545463718311986,PREV,75,60,C |
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ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
68855,43984.000000000015,621,50,VeryGood,0.6387916627132503,NEW,75,60,R | ||
86283,41714.500000000015,771,50,VeryGood,0.48346139971551605,PREV,75,60,R |
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---|---|---|
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ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
142280.40000000002,94167.20000000007,VeryGood,0.6618423896321335,NEW,75,15,C | ||
142280.40000000002,65794.40000000008,VeryGood,0.462427712838573,PREV,75,15,C |
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ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
73482,65304.60000000004,1681,20,VeryGood,0.8887156026119114,NEW,75,15,R | ||
66321,46040.90000000007,1003,40,VeryGood,0.6942129933290928,PREV,75,15,R |
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---|---|---|
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ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
47118.200000000026,23147.200000000015,VeryGood,0.4912581539802919,NEW,75,1,C | ||
47118.200000000026,23306.59999999991,VeryGood,0.49464113549617317,PREV,75,1,C |
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ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
9504,6571.499999999973,448,10,VeryGood,0.6914456997953917,NEW,75,1,R | ||
16428,9067.599999999966,873,10,VeryGood,0.5519600648164085,PREV,75,1,R |
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ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
99469.3,52177.7,VeryGood,0.5245608438738778,NEW,75,60,C | ||
99469.3,59328.69999999997,VeryGood,0.5964523721425076,PREV,75,60,C |
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ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
70344,52779.5,740,40,VeryGood,0.7503056397840531,NEW,75,60,R | ||
48455,29061.199999999986,274,120,VeryGood,0.5997564738422111,PREV,75,60,R |
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ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
139731.09999999995,88147.09999999995,VeryGood,0.6308337938863761,NEW,75,15,C | ||
139731.09999999995,68982.4999999999,VeryGood,0.49368036142728344,PREV,75,15,C |
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ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
84009,65555.69999999995,1806,20,VeryGood,0.780341391064836,NEW,75,15,R | ||
64386,45562.99999999998,1014,40,VeryGood,0.7076538366917435,PREV,75,15,R |
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ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
52358.89999999999,17082.100000000053,VeryGood,0.3262501688800766,NEW,75,1,C | ||
52358.89999999999,17790.29999999995,VeryGood,0.33977604506630865,PREV,75,1,C |
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ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
15479,5544.900000000019,754,10,VeryGood,0.3582208129839097,NEW,75,1,R | ||
19506,7176.300000000013,1000,10,VeryGood,0.3679021820573051,PREV,75,1,R |
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ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
94197.5,45161.699999999975,VeryGood,0.47943629026307855,NEW,75,60,C | ||
94197.5,47369.700000000004,VeryGood,0.5028764027677206,PREV,75,60,C |
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ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
70261,43596.00000000001,937,20,VeryGood,0.6204864709860571,NEW,75,60,R | ||
91847,45562.50000000001,878,40,VeryGood,0.4960695499079235,PREV,75,60,R |
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ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
144355.69999999995,90045.50000000001,VeryGood,0.6237751605071536,NEW,75,15,C | ||
144355.69999999995,80140.09999999996,VeryGood,0.5551571565548452,PREV,75,15,C |
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@@ -0,0 +1,3 @@ | ||
ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
92280,76424.6,2406,10,VeryGood,0.8281816202555466,NEW,75,15,R | ||
51248,38339.999999999985,691,50,VeryGood,0.7481267547062775,PREV,75,15,R |
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ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
53110.3999999999,18043.400000000027,VeryGood,0.3397338368008277,NEW,75,1,C | ||
53110.3999999999,18541.200000000084,VeryGood,0.34910676562574267,PREV,75,1,C |
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ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
12481,5334.099999999995,588,10,VeryGood,0.42737761054901324,NEW,75,1,R | ||
20144,8106.800000000027,1065,10,VeryGood,0.40244241261694724,PREV,75,1,R |
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ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
99969.40000000002,52250.999999999985,VeryGood,0.5226699364778921,NEW,75,60,C | ||
99969.40000000002,50452.19999999998,VeryGood,0.5046764304830511,PREV,75,60,C |
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@@ -0,0 +1,3 @@ | ||
ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
73577,46773.29999999996,957,20,VeryGood,0.6357054505678325,NEW,75,60,R | ||
78613,43856.899999999994,651,60,VeryGood,0.5578835554451762,PREV,75,60,R |
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ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
143397.59999999995,95648.80000000002,VeryGood,0.667018136519009,NEW,75,15,C | ||
143397.59999999995,70630.20000000003,VeryGood,0.49254799209153605,PREV,75,15,C |
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ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
70755,67621.70000000006,1662,20,VeryGood,0.955716202451112,NEW,75,15,R | ||
80868,58409.00000000002,1478,30,VeryGood,0.7222758065955933,PREV,75,15,R |
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ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
52198.89999999992,19171.700000000004,VeryGood,0.3672816853089216,NEW,75,1,C | ||
52198.89999999992,18477.899999999958,VeryGood,0.35399021750651766,PREV,75,1,C |
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---|---|---|
@@ -0,0 +1,3 @@ | ||
ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
14382,4915.2999999999965,679,10,VeryGood,0.3417674847603427,NEW,75,1,R | ||
22506,8659.099999999988,1155,10,VeryGood,0.38474628816872647,PREV,75,1,R |
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---|---|---|
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ExpectedPnL,AchievedPnL,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
99324.20000000003,54975.00000000003,VeryGood,0.5534904881655323,NEW,75,60,C | ||
99324.20000000003,51256.59999999996,VeryGood,0.5160534889623536,PREV,75,60,C |
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@@ -0,0 +1,3 @@ | ||
ExpectedPnL,AchievedPnL,TotalTrades,TPSL_Level,FinalOutcome,FinalQuality,new_or_old,num_bars,timeframe,model_type | ||
77663,47852.20000000001,747,40,VeryGood,0.6161518347010136,NEW,75,60,R | ||
93470,50251.900000000016,972,30,VeryGood,0.5376259756738784,PREV,75,60,R |
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@@ -1,2 +1,2 @@ | ||
TPSL_Level | ||
100 | ||
40 |
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