Wednesday, July 16, 2014

Can I Play With MA(C)Dness?

Blame this one entirely on @K162space.  He got me playing with Quantmod in R.  Also, shout out to CCP Quant for showing off the original bits, and CCP Foxfour for the CREST market history.

After all my EVE data experiments, I've had a very hard time finding predictive correlations between datasets.  Even trying to bring in destruction data showed no predictive properties, instead only showing correlation to corroborate market volumes.  Also, I've tried my best to get into Varakoh's analysis, but have never been able to internalize his methods enough to consider rolling it into my own analysis (also getting reliable candlesticks for EVE data is a pain)

Then Blake over at K162space.com sent me this tidbit:

Quantmod opened a whole new realm of tools I never knew about (full listing here).  The most interesting to me has been Moving Average Convergence Divergence (MACD).  I wouldn't be so bold as to say "use this to make money", but the results are extremely interesting when using IRL stock data.

INTC - YTD
For those that have never seen an MACD plot, the theory is relatively simple: Different line crosses are signals for buy/sell operations (specifics here and here).  Though the signals are imperfect, and will by no means catch every peak and valley, they can be an excellent sanity check for the longer trend.  For many IRL stocks these trends can have very strong correlation and are a popular tool among amateurs.  It is less useful for the minute-to-minute daytrading or arbitrage, but can be a powerful data source for the long-term investor.

Can this be useful for an EVE trader?  Well....

Let's look at a few plots:
PLEX - YTD - click to embiggen
Tritanium - YTD - click to embiggen
Phenolic Composites - YTD
I had to do a little fudging to get open/close bars to work correctly (though high=close=avg is roughly the same).  The trend information is interesting, but the crossover signals aren't lining up well.  Using the traditional 12,26,9 configuration, many of the crossover signals arrive 2-3 days late.  If you ended up using these charts as-is, I think you'd end up at best breaking even.  Though there are some secondary things you could do like buy and sell in the swings up and down, these charts aren't going to be immediately useful.

I then started playing with shorter windows, and pairing a fast and a slow chart might be a better way forward.  Unfortunately, I'm blindly fiddling knobs right now, but I'm actively hunting down documentation to better fine tune the charts.  I was thinking a 10-15d window might be more accurate, and a 25-30d window would serve well as a "slow" chart.

Also, I think the weakness has a bit to do with the quality of data here.  Where MACD is looking for close prices, we're feeding it daily averages.  This might be a good excuse to finally work on a better snapshot tool using eve-central data.  Though I had a lot of trouble processing down the raw archive, starting up a stupid-script that pulls periodically from the traditional API would be a quick solution that could start crunching in the background.  Once I can get my industry tools refactored, I expect to get back into the data mining game pretty seriously.

In the meantime, be sure to subscribe to my channel on Twitch, and follow on Twitter.  I will be doing some random streams over the next week as I get back into a reasonable routine again.