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Webinar: Ernest Chan - Comparison of Matlab, R, Python and more for trading
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Webinar: Ernest Chan - Comparison of Matlab, R, Python and more for trading

  #21 (permalink)
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Neo1 View Post

You should choose the likes of Python & R because they suit you/ fit your needs better, not because they're free.

Exactly.

The relative importance of Matlab compared with e.g. R and Python has declined over the past decade -
even in Matlab's focus groups academia, IC manufacturing, and the aerospace and defense sector.

R and Python have large online communities. But the more someone depends e.g. on "formal" and/or
SLA support, the more likely packages like Matlab, SPSS etc. become the software of choice.

(Disclosure: Historically being a SAS and Matlab user, I'm using R for most numerical/statistical problems today.)

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  #22 (permalink)
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choke35 View Post
Exactly.

The relative importance of Matlab compared with e.g. R and Python has declined over the past decade -
even in Matlab's focus groups academia, IC manufacturing, and the aerospace and defense sector.

R and Python have large online communities. But the more someone depends e.g. on "formal" and/or
SLA support, the more likely packages like Matlab, SPSS etc. become the software of choice.

(Disclosure: Historically being a SAS and Matlab user, I'm using R for most numerical/statistical problems today.)

Are these numerical/statistical problems trading related? Or more related to your line of work? I'm an amateur, however, I've noticed that when I'm researching mathematical techniques, the stuff I'm looking at is most popular within the statistical community, so a lot of the time all the packages/ examples are provided in R.

Admittedly, I've spent limited time in each language, however, for an amateur like me, with no real coding background, I've found Matlab the easiest to test ideas in. It seems like I have more of a complete package at my finger tips. IMO as a trader looking to prototype strategies, you become more of an "engineer" than anything else, and it seems like that is who Matlab is designed for.

"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
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  #23 (permalink)
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I used to work in Matlab at one of my first jobs. It was my statistics research tool of choice when I started getting into machine learning few years ago and later algotrading. Since then Python has become the clear leader IMO. Matlab is not only expensive (you don't have to buy just a license, you also have to buy the toolboxes), but is also has a ridiculously slow and hilariously badly designed programming language, forces you to use a clunky IDE and it does not have nearly the same kind of community of users that supports you with free tutorials, free software libraries and answers to your questions.

I suspect that R might be great for someone who knows how to use it well, though I never really managed to warm up to it. I also recognise that Matlab is easier to start out by significantly limiting what you can express in that language. But overall Python seems to be pulling away quite strongly now. Of those three, Python comes the closest to being a real programming language, so it's no surprise that it is a little bit more difficult to learn at the start, but I found it much easier to do complex things in. Consequently, I see no one use anything but Python to do statistics anymore. (Unless their use case is something that they will go straight to tools like SPSS for.)


Last edited by skoa; July 29th, 2017 at 09:46 AM.
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Neo1 View Post
Are these numerical/statistical problems trading related? Or more related to your line of work? I'm an amateur, however, I've noticed that when I'm researching mathematical techniques, the stuff I'm looking at is most popular within the statistical community, so a lot of the time all the packages/ examples are provided in R.

Admittedly, I've spent limited time in each language, however, for an amateur like me, with no real coding background, I've found Matlab the easiest to test ideas in. It seems like I have more of a complete package at my finger tips. IMO as a trader looking to prototype strategies, you become more of an "engineer" than anything else, and it seems like that is who Matlab is designed for.

Since I've spent most of my life at the interface of computer science and finance it's hard to draw a line

Purely in terms of efficiency I'd prefer programming in C/C++/C# or using Matlab.
fyi a regularly updated NASA link with performance comparisons for different problem categories including all
source files: https://modelingguru.nasa.gov/docs/DOC-2625
Using their sources you can also gauge the performance of your system compared with their test bed (Intel
Xeon Haswell processor node, 28 cores (2.6 GHz each), 128 Gb of available memory at the moment).

But the large R community (to me) offers another huge benefit: It is great food for thought and some half-baked
ideas from there are really worth following up on. So I get along with R well for testing many ideas that are not
critical in terms of efficiency (at least not at that stage).

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choke35 View Post
fyi a regularly updated NASA link with performance comparisons for different problem categories including all
source files: https://modelingguru.nasa.gov/docs/DOC-2625
Using their sources you can also gauge the performance of your system compared with their test bed (Intel
Xeon Haswell processor node, 28 cores (2.6 GHz each), 128 Gb of available memory at the moment).

That was very interesting. Very surprised how slow R is versus most others. Problem 1 illustrates nicely the matrix vs loop paradigm with matrix implementation being 65 times faster in R and 38 times faster in Python!

Personally I started learning Octave when I did Andrew Ng's Coursera.org Machine Learning course but quickly switched to R after that, and wonder regularly whether I should have picked Python. At the time of the choice I was focusing purely on ML but now use R a lot in my trading as well. I also use VBA in Excel a lot, but it's inability to use matrix math is extremely limiting.

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MATLAB user here, Iím around 7 months into MATLAB coming from a non-coding background. I picked MATLAB over R and Python because of this exact post. I built my own back testing framework in MATLAB and I feel that experience alone added a lot of value to my algo development and trading skills.


I quite enjoying it at the current stage. Yes it is slow. Yes the community is not that huge. Yes its functionalities are rather limiting in some cases. Also most of the toolboxes in MATLAB seem pretty clumsy to me with very little room of customization. But it is rather easy to pick up and I like its UI/working environment quite well. Cost was not even part of my consideration. I generally rule out any one-off cost thatís not remotely ridiculous as part of my consideration.


Iím attending a boot-camp on Python next month. I have a feeling I will soon become a Python fanboy and abandon my old mate MT in a heartbeat.

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