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 <dmac...@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 > [[alternative HTML version deleted]] > > _______________________________________________ > R-SIG-Finance@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. > [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.