[R-SIG-Finance] Advice on Forecasting

[Dan Mack]

Hello,  I could use some advice on a problem I have trying to solve for projecting forward some predict functions.  I have a backtest that is working very well but would like a more sound projection because I am feel I not doing this as well as I could.   I feel I am at the limit of the predict() function and need a bridge to a forecast() like function.

I am interested in making a next prediction on a stock going up or down and use the following equation.  This is one of many algorithms I use but they are all set up the same way.

I run the follow example code to fit and predict the model:

 strat.fit <- glm(DirNDay ~l_UUP.Close + l_FXE.Close + MA50 + +MA10 + RSI06 + BIAS10 + BBands05, data=STCK.df,family="binomial")


strat.probs <- predict(strat.fit, STCK.test.df,type="response")

I am also trying to predict the direction DirNDay (Direction Next Day).  I have moved the next day up t+1 against day t EOD Data.  This collectively works well with many algorithms in a stacking scheme.   

What I would really like to do is to be able use my algorithms (a combination of regression classifiers, decision trees and meta learners) and get them to do a forecast like function like used with a time series.   An example would be to use something like an ADABoost to fit and then merge it with an ARIMA like function.   Any suggested methods or functions (packages) would be helpful.

Thanks,  Dan
	[[alternative HTML version deleted]]