Zach Deane-Mayer zachmayer
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zachmayer
/ 1. Load Data.R
Last active
December 11, 2015 16:48
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| #Load the dataset, adjust, and convert to monthly returns | |
| set.seed(42) | |
| library(quantmod) | |
| getSymbols('^GSPC', from='1990-01-01') | |
| GSPC <- adjustOHLC(GSPC, symbol.name='^GSPC') | |
| GSPC <- to.monthly(GSPC, indexAt='lastof') | |
| Target <- ClCl(GSPC) |
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| #Download S&P 500 data, adjust, and conver to monthly | |
| set.seed(42) | |
| library(quantmod) | |
| getSymbols('^GSPC', from='1990-01-01') | |
| GSPC <- adjustOHLC(GSPC, symbol.name='^GSPC') | |
| GSPC <- to.monthly(GSPC, indexAt='lastof') | |
| Target <- ClCl(GSPC) | |
| #Calculate some co-variates | |
| periods <- c(3, 6, 9, 12) |
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| #Multi-Class Summary Function | |
| #Based on caret:::twoClassSummary | |
| require(compiler) | |
| multiClassSummary <- cmpfun(function (data, lev = NULL, model = NULL){ | |
| #Load Libraries | |
| require(Metrics) | |
| require(caret) | |
| #Check data |
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| rm(list = ls(all = TRUE)) | |
| memory.limit(size = 4095) | |
| #Get Data | |
| library(quantmod) | |
| getSymbols('^GSPC',from='1900-01-01') | |
| myStock <- Cl(GSPC) | |
| bmkReturns <- dailyReturn(myStock, type = "arithmetic") |
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| install.packages(c('caret', 'doParallel', 'ggplot2', 'data.table', 'caTools', 'XML', 'quantmod'), dependencies=TRUE) |
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| #Setup | |
| rm(list = ls(all = TRUE)) | |
| setwd('path.to/cv.ts') | |
| #Load Packages | |
| require(forecast) | |
| require(doParallel) | |
| source('R/cv.ts.R') | |
| source('R/forecast functions.R') |
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| setClass("parDEoptim", representation(optim="list", member="list")) | |
| parDEoptim <- function (fn, lower, upper, n=1, control = DEoptim.control(), .packages=NULL, ...) { | |
| library("DEoptim") | |
| library("foreach") | |
| segSizes <- (upper-lower)/n | |
| segments <- lapply(1:n, function(x){ | |
| lower+segSizes*(x-1) | |
| }) |
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| #Function to cross-validate a time series. | |
| cv.ts <- function(x, FUN, tsControl, xreg=NULL, ...) { | |
| #Load required packages | |
| stopifnot(is.ts(x)) | |
| stopifnot(is.data.frame(xreg) | is.matrix(xreg) | is.null(xreg)) | |
| stopifnot(require(forecast)) | |
| stopifnot(require(foreach)) | |
| stopifnot(require(plyr)) |
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| #Function to cross-validate a time series. | |
| cv.ts <- function(x, FUN, tsControl, xreg=NULL, ...) { | |
| #Load required packages | |
| stopifnot(is.ts(x)) | |
| stopifnot(is.data.frame(xreg) | is.matrix(xreg) | is.null(xreg)) | |
| stopifnot(require(forecast)) | |
| stopifnot(require(foreach)) | |
| stopifnot(require(plyr)) |