use normalization for showing multiple timeseries on the same chart.

neurallayer · Feb 7, 2024 · 3090cdd · 3090cdd
1 parent a5a9bf4
commit 3090cdd
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Showing 5 changed files with 20 additions and 14 deletions.
diff --git a/roboquant-avro/src/test/kotlin/org/roboquant/samples/AvroSamples.kt b/roboquant-avro/src/test/kotlin/org/roboquant/samples/AvroSamples.kt
@@ -128,7 +128,6 @@ internal class AvroSamples {
         println(avgEquity)
     }
 
-
     @Test
     @Ignore
     internal fun testingStrategies() {
@@ -153,7 +152,6 @@ internal class AvroSamples {
 
     }
 
-
     @Test
     @Ignore
     internal fun signalsOnly() {
@@ -186,7 +184,6 @@ internal class AvroSamples {
         roboquant.run(feed, Timeframe.past(5.years))
     }
 
-
     @Test
     @Ignore
     internal fun simple() {
@@ -197,7 +194,6 @@ internal class AvroSamples {
         println(roboquant.broker.account.fullSummary())
     }
 
-
     @Test
     @Ignore
     internal fun aggregator() {
@@ -208,7 +204,6 @@ internal class AvroSamples {
         }
     }
 
-
     @Test
     @Ignore
     internal fun forexRun() {
@@ -230,7 +225,6 @@ internal class AvroSamples {
         }
     }
 
-
     @Test
     @Ignore
     internal fun profileTest() {
@@ -239,7 +233,6 @@ internal class AvroSamples {
         rq.run(feed)
     }
 
-
     @Test
     @Ignore
     internal fun performanceTest() {
@@ -259,7 +252,6 @@ internal class AvroSamples {
         }
     }
 
-
     @Test
     @Ignore
     internal fun cfd() {
@@ -303,7 +295,6 @@ internal class AvroSamples {
         println(account.trades.summary())
     }
 
-
     @Test
     @Ignore
     internal fun feedRecorder() {
@@ -325,7 +316,6 @@ internal class AvroSamples {
         println(t2)
     }
 
-
     @Test
     @Ignore
     internal fun generateDemoFeed() {

diff --git a/roboquant-binance/src/test/kotlin/org/roboquant/samples/BinanceSamples.kt b/roboquant-binance/src/test/kotlin/org/roboquant/samples/BinanceSamples.kt
@@ -119,8 +119,8 @@ internal class BinanceSamples {
                 val result = json["result"].asJsonArray
                 for (row in result) {
                     val arr = row.asJsonArray
-                    val time = Instant.ofEpochMilli(arr[6].asLong) // use the close time
-                    val pb = PriceBar(
+                    Instant.ofEpochMilli(arr[6].asLong) // use the close time
+                    PriceBar(
                         asset,
                         arr[1].asDouble,
                         arr[2].asDouble,

diff --git a/roboquant-charts/src/main/kotlin/org/roboquant/charts/TimeSeriesChart.kt b/roboquant-charts/src/main/kotlin/org/roboquant/charts/TimeSeriesChart.kt
@@ -56,7 +56,7 @@ class TimeSeriesChart(
 
         /**
          * Create a TimeSeriesChart chart for a number of [metrics] that can be found in the [logger].
-         * Each metric will be indexed to 1.0 for its first value.
+         * Each metric will be normalized so they fit a similar scale.
          * If there is more than one run recorded by the logger, you need to specify the [run] you want to use.
          */
         fun fromMetrics(
@@ -68,7 +68,7 @@ class TimeSeriesChart(
             require(metrics.isNotEmpty()) { "Provide at least 1 metric"}
             require(run != null || logger.getRuns().size == 1) { "More than 1 run found, please specify a run"}
             val r = run ?: logger.getRuns().first()
-            val data = metrics.associateWith { it }.mapValues { logger.getMetric(it.key, r).index() }
+            val data = metrics.associateWith { it }.mapValues { logger.getMetric(it.key, r).normalize() }
             return TimeSeriesChart(data, fractionDigits = fractionDigits)
         }
 

diff --git a/roboquant/src/main/kotlin/org/roboquant/common/TimeSeries.kt b/roboquant/src/main/kotlin/org/roboquant/common/TimeSeries.kt
@@ -137,6 +137,11 @@ class TimeSeries(val timeline: Timeline, val values: DoubleArray) : Iterable<Obs
      */
     fun index(start: Double = 1.0) = TimeSeries(timeline, values.index(start))
 
+    /**
+     * Normalize the values
+     */
+    fun normalize() = TimeSeries(timeline, values.normalize())
+
     /**
      * Return the observation that contains the maximum value.
      */

diff --git a/roboquant/src/main/kotlin/org/roboquant/common/extensions.kt b/roboquant/src/main/kotlin/org/roboquant/common/extensions.kt
@@ -18,6 +18,7 @@
 package org.roboquant.common
 
 import kotlinx.coroutines.delay
+import org.hipparchus.stat.descriptive.moment.StandardDeviation
 import org.roboquant.common.Config.EPS
 import java.lang.Integer.max
 import java.lang.Integer.min
@@ -221,6 +222,16 @@ fun DoubleArray.index(start: Double = 1.0): DoubleArray {
     return this / first
 }
 
+/**
+ * Returns a normalized array
+ */
+fun DoubleArray.normalize(): DoubleArray {
+    val data = clean()
+    val mean = data.average()
+    val std = StandardDeviation().evaluate(data, mean) + 0.000001
+    return (this - mean) / std
+}
+
 /**
  * Returns the index of the first maximum value
  */