[R-SIG-Finance] Advice on Forecasting
ilya.kipnis at gmail.com
Wed Nov 18 02:14:45 CET 2015
Please provide a minimum reproducible example to the mailing list, not just
On Tue, Nov 17, 2015 at 8:11 PM, Dan Mack <dmack10 at verizon.net> wrote:
> 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
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