ivannp

require(quantmod)
require(SIT)

dvi.indicator = function(prices) {
   dvi = TTR:::DVI(prices)[,3]
   
   indicator.long = ifelse(dvi <= 0.5, 1, 0)
   indicator.short = ifelse(dvi > 0.5, -1, 0)
   
   indicator = reclass(cbind(indicator.short + indicator.long), prices)

ivannp

#' Saves symbols (from an environment) to a specified directory
#' 
#' The files (one per symbol) are saved in \code{dir}. The file name
#' is the symbol itself, and the file extension is RData.
#' 
#' @param symbols The symbols
#' @param dir The destination folder (file system directory). It must exist.
#' @param env The environment containing the symbols
#' 
#' @examples

ivannp

require(quantmod)

prepare.indicator = function(close, indicator, roc.n, normalize=FALSE, func=mean) {
   rets = ROC(close, type="discrete", n=roc.n)
   
   if(normalize) {
      # Normalize the returns to daily
      rets = ((1 + rets) ^ (1/roc.n)) - 1
   }
   

ivannp

garchAutoTryFit = function(
   ll,
   data,
   trace=FALSE,
   forecast.length=1,
   with.forecast=TRUE,
   ic="AIC",
   garch.model="garch" )
{
   formula = as.formula( paste( sep="",

ivannp

svmComputeOneForecast = function(
      id,
      data,
      response,
      startPoints,
      endPoints,
      len,
      history=500,
      trace=FALSE,
      kernel="radial",

ivannp

// g++ -O3 -std=c++0x -o test test7.C

#include <iostream>
#include <cstdint>
#include <vector>
#include <iterator>
#include <algorithm>
#include <cassert>

using namespace std;

ivannp

armaSearch = function(
   xx,  
   minOrder=c(0,0),
   maxOrder=c(5,5),
   trace=FALSE )
{
   bestAic = 1e9
   len = NROW( xx ) 
   for( p in minOrder[1]:maxOrder[1] ) for( q in minOrder[2]:maxOrder[2] )
   {

ivannp

armaTryFit = function(
   ll,  
   data,
   trace=FALSE,
   includeMean=TRUE, 
   withForecast=TRUE,
   forecastLength=1 )
{
   formula = as.formula( paste( sep="",
                                "xx ~ arma(", ll[1], ",", ll[2], ")" ) )

ivannp

findBestArma = function(
   xx,  
   minOrder=c(0,0),
   maxOrder=c(5,5),
   trace=FALSE )
{
   bestAic = 1e9
   len = NROW( xx ) 
   for( p in minOrder[1]:maxOrder[1] ) for( q in minOrder[2]:maxOrder[2] )
   {