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Maple Partners Analyzes Trading Strategies with S-PLUS

Published
  • January 01 1998, 1:00am EST

PLATFORMS: S-PLUS 4.0 runs on Windows 95, Windows NT and Windows 3.1 and can be installed as a network distributed program.

PROBLEM SOLVED: S-PLUS handled four essential aspects of creating and testing quantitative trading models for Maple Partners Financial Products. The development of new trading ideas starts with the search for basic patterns in the data. Therefore, strong 2-D and 3-D interactive graphics combined with simple, yet powerful, data transformation capabilities are needed to assist the visualization and expression of compact and valid relationships. Often these relationships are complex or non-linear, so various data-driven algorithms enable the extraction of information content from the data. Since any proposed relationships need to be assessed, a wide range of statistical and computational methods provide the foundation for making comparisons. Graphics, data objects and results can be easily integrated with Microsoft programs such as Powerpoint, Word and Excel. This helps to achieve the ultimate goal of the model evaluation process; namely, to clearly communicate to management an understanding of the potential performance and the risks of new strategies. Finally, a complete data analysis development environment allows trading ideas to be implemented more quickly and less expensively if they do not need to be recoded in another language. Instead, model analytics can be packaged directly using familiar Windows "point-and-click" graphic user interface objects such as dialog boxes and drop-down menus.

PRODUCT FUNCTIONALITY: S-PLUS enables firms to exploit their data assets by developing new ideas, applying rigorous test procedures, reporting results and rapidly deploying applications all within the same environment. This is particularly attractive to financial institutions or other industries where accuracy and flexibility of data analysis is a mission-critical objective. Command line and standard Windows user interfaces provide both novice and experienced users of statistical results a ready access to a vast library of traditional and modern statistical procedures. Import and export of multiple data formats permits data in diverse databases to be assembled for analysis. The S language, which was created specifically for vectorized programming and analysis, has been combined with a Windows-style development environment. This provides a complete workbench for creating, simplifying and packaging procedures for statistical analysis and data manipulation and results in time-saving scripts and user-friendly applications for distribution across the organization.

STRENGTHS: S-PLUS encapsulates a language and a compendium of functions specifically targeted to data analysis. Powerful exploratory graphic capabilities include brushing, spinning, plotting a matrix of pairs, contour maps, heat maps and interpolated surfaces. Simple functions can provide data animation. The software is interactive but offers an easy means to automate tasks. Automated tasks can be run either within the interactive environment or as encapsulated functions. A large academic install base ensures that MathSoft can regularly add state-of-the-art computational and analytical routines.

WEAKNESSES: Very large data sets (100,000+ data items) can be difficult to handle due to memory management issues. MathSoft has already started to address this within version 4.0, and it is reputed to be a central theme in their plans for the version 5.0 envisioned for release in 1998.

VENDOR SUPPORT: Telephone support has been generally very good.

DOCUMENTATION: The user manuals have consistently been excellent. Complete on-line help is available. The S-News electronic users group and a number of statistical textbooks address programming and technical issues.

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