[R-SIG-Finance] Advice on Forecasting

[Dan Mack]

Nick, IIyla,   Thanks,  I will post some this weekend.  I am finishing my grad school semester this week so my time is limited until the week end.  My code to get to this point is about 800 lines of code and this is a very reduced snippet of it.  Let me get it in a form where I can share and show where I had questions.

Thanks,  Dan 


On Nov 18, 2015, at 11:02 PM, Nick White <n-e-w at qtradr.net> wrote:

> Dan,
> 
> this sounds like an interesting problem and one that several members of the list could help you with. As Ilya said, please give us a reproducible example so we can help you out.
> 
> On Wed, Nov 18, 2015 at 12:11 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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