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Statistical analysis in QC

Hello, I was just wondering whether QC includes any sort of .NET statistical library, to perform stuff like hypothesis testing, parameter estimations, principal component analysis, cointegration, ARCH/GARCH modeling, optimization, etc.?
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For some reason backtest statistics got included into this post. I apologize for that.
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Welcome to QC Domen - I removed the backtest from the post for you. If you attach a backtest when you submit a post it will include it in the forum.

We have the Math.NET library (mathnetnumerics.codeplex.com) which includes a lot of functions for analysis and can add almost any requested. It will be included in the next deploy we send. Do you have a preference?

To use it include the reference to the library at the top of your algorithm "using MathNet.Numerics;". The version live at the moment is fairly old but will be updated soon.
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I think that SuanShu by Numerical Method covers quite a lot of stuff. It would be great if you could add it. Here's the link: http://www.numericalmethod.com/trac/numericalmethod/wiki/SuanShu/DotNet
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We did look at adding Numerical Method but it wasn't a real .NET port - it used a java-NET interpreter and had all the security vulnerabilities of Java with none of the speed. We also tried "ILNumerics" but they don't truly support linux yet.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


I see. I guess I'll try doing stuff manually then.
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We did have integration with R - would this help? It will be re-enabled next week. It let you run R scripts directly in your algorithm
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


That would be great yes.
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Woah, R in my C#? You are blowing my mind. Looking forward to that.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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