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Rで始めるシステムトレード
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Arthur Lawrence
March 02, 2019
3
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Rで始めるシステムトレード
Arthur Lawrence
March 02, 2019
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Transcript
RͰ࢝ΊΔγεςϜτϨʔυ 2019/3/2(Sat) Hioki Ryuji LT
m Introduction twitter: @Liparas1729 Work σʔλੳɾՄࢹԽ Πϯϑϥج൫ ϑϩϯτ(ReactɺGatsby)ɺαʔόʔαΠυ Hobby Python/R/SQL/NodeJS/Golang/CSS
AWS/GCP ٻ৬ɺେಓܳɺKaggleɺࣗવݴޠ։ൃɺݴޠֶशɺσʔλऩूɾՄࢹԽɺαʔϏε։ൃɺಡॻ homepage: hiokiryuji.com UI/UXɺ৺ཧֶɺ౷ܭɺεϚϒϥ
γεςϜߏஙͷඪຊ
γεςϜͷߏஙྫ σʔλऩूᶃ όοΫςετΛͯ͠ɺ౷ܭతʹઓུͷ༗ޮੑΛ͔֬ΊΔʹɺ ͋Δఔͷσʔλྔ͕ඞཁ(࣌ؒ࣠ʹΑΔ) RealtimeͰσʔλΛऩूͨ͠߹ɺ͡ΊͷϊʔυͰɺ ूܭɾՃͰ͖ͨํָ͕ͳ߹ଟ͍ͷͰɺ SQL͕͑Δσʔλϕʔε͕·͍͠ ·ͣσʔλऩू͔Β
γεςϜͷߏஙྫ ࣌ܥྻσʔλͷಛྔᶃ σʔλऩूᶄ σʔλϕʔεબൈ GridDB etc...
γεςϜͷߏஙྫ σʔλऩूᶅ RͰwebsocketʹଓ͢Δ
σʔλऩूᶆ RͰbigqueryʹଓ͢Δ
ಛྔᶃ جຊతͳςΫχΧϧࢦඪ(EMAɺSMAɺDMIɺRSIɺRCIɺMACD) ͦͷͷɺಛྔͱ͍ͯͮ͠Β͍ɺ ेʹػೳ͢Δ͕ɺ୯ମͰ͑ͳ͍ˠௐ͕ඞཁ ͦͷͷͰͳ͘มԽࠩΛ͏ͱྑ͍ Ձ֨ɺऔҾྔ൘ใɺఆσʔλ͔Βࢉग़͞ΕΔ औҾྔಛʹॏཁͳࢦඪ
γεςϜͷߏஙྫ ಛྔᶄ RͰςΫχΧϧࢦඪΛܭࢉ͢Δ ςΫχΧϧࢦඪɺେ͖͚ͯ͘2ΧςΰϦʔ ɾΦγϨʔλʔܥ ɾτϨϯυϑΥϩʔܥ
γεςϜͷߏஙྫ ಛྔᶅ NLPΛͬͯnewsͳͲͰऔҾ͢ΔͷΛ࡞ΕΔ͔ →newsoutlier(֎Ε)Ͱ͋ΓɺϞσϦϯάʹෆ͖? ·ͨɺnewsΛݟͯԠͨ͠ਓͨͪͷಈ͖Realtimeσʔλ ͷө͞Ε͏ΔͷͰɺRealtimeσʔλͰݕͰ͖Δ →ݱঢ়ͷNLPͷਫ਼͕͍ͱ͍͏ࣄ͋Δ
γεςϜͷߏஙྫ ઓུᶃ جຊతͳߟ͑ํଛখརେ Ձ͕֨େ͖͘มಈ͢Δ͜ͱ͋ΔͷͰɺ͠ෛ͚ͨͱͯ͠ɺ ౷ܭతʹ༏Ґͳઓུʹ͓͍ͯɺαϯϓϦϯάΛଓߦͰ͖ΔΑ͏ʹ ࢿۚཧΛపఈ͢Δ ্͕Δ͔ɺԼ͕Δ͔Λ༧ଌ͢ΔϞσϧͰɺ ਫ਼50%Λ͑Δ͜ͱ༰қ͕ͩɺ͚֬ͩͰແҙຯͰɺ ͲΕ͚ͩՁ͕֨ಈ͘ͷ͔ͷഒΛཧ͢Δ͜ͱ͕࠷େ
γεςϜͷߏஙྫ ઓུᶄ ଛࣦେ͖͘ݟੵͬͯɺརӹখ͘͞ݟੵΔ → ଛӹͷܭࢉʹ͓͍ͯɺ1rowͣΒͯ͠ࢉग़ͨ͠ະདྷͷՁ֨ɺ औҾࣥߦ͔ΒͷԆ͕0ͱ͍͏ཧతͳͰ࣮ࡍͷͱҟͳΔ όοΫςετͷஈ֊Ͱɺఀࢭ͢Δ݅ΛఆΊΔ ͕࣌ؒ࣠େ͖͘ͳΔͱɺҰ࣌తͳଛࣦ(υϩʔμϯ)ߴ͘ͳΔ όοΫςετͷ݁Ռ͔ΒɺଛࣦΛग़ͯ͠౷ܭతʹఆͷൣғ Ͱ͋ΕଓߦͰ͖Δ͜ͱ͕େ
σʔλՄࢹԽᶃ σʔλͷՄࢹԽ2௨ΓͰ ɾઓུΛܾఆ͢ΔࡍͷEDA ɾઓུ͕ఆ௨Γʹಈ࡞͍ͯ͠Δ͔ͷ֬ೝ ઓུ࣮ߦͷϩάɺσʔλϕʔεʹཷΊ͓ͯ͘ ҟৗ͕ىͬͨ͜߹ɺLINEɺSlack ɺDiscordͷAPI Λͬͯɺ௨Ͱ͖ΔΑ͏ʹ͓ͯ͘͠ͱ҆৺
σʔλՄࢹԽᶄ νʔϜͰΔ߹ɺRedashɺGrafanaͳͲͰे ݸਓͳΒɺJupyter notebookΦϨΦϨπʔϧͰྑ͍ ݱࡏͷଛӹɺऔҾ࣮ߦ࣌ࠁɺϙδγϣϯਪҠ ֬ೝͰ͖ΔΑ͏ʹ͓ͯ͘͠
·ͱΊ ɾσʔλϕʔεબˠσʔλՃˠੳɾઓུͷܾఆˠઓུ࣮ߦˠՄࢹԽ ɾ֬ΑΓɺഒΛίϯτϩʔϧ͢Δ͜ͱ͕େ ɾ૬ʹΑͬͯɺେ͖͘ଛࣦΛग़͢͜ͱ͋ΔͷͰɺ౷ܭతʹ ɾઓུͷதʹɺఀࢭ݅Λ͋Β͔͡ΊΈࠐΜͰ͓͘ ɾςετஈ֊Ͱͷະདྷͷɺཧతʹա͗ͳ͍ γετϨσʔλαΠΤϯεΛΔ্Ͱɺྑ͍ࡐ རӹΛੵΈॏͶΔͨΊʹɺదʹࢿۚΛҡ͍࣋ͯ͘͠ ɾσʔλऩूˠσʔλՃˠσʔλੳˠσʔλՄࢹԽ