移動平均を使って予測してみる

gistfile1.txt

> sum(diag(tbl)) / sum(tbl)
[1] 0.4991274
>#予測力全く無し

pred.moving.average.r

#moveingAverage from http://www.cookbook-r.com/Manipulating_data/Calculating_a_moving_average/
close.ma <- movingAverage(diff(read.csv("C:\\usdjpy_d.csv")$Close), n=10)

data <- NULL
for (i in seq(1,(length(close.ma)-50),by=10)) {
  data <- rbind(data, c(close.ma[i:(i+39)],Dir = close.ma[i+50]))
}
data <- as.data.frame(data)
data$Dir <- as.factor(data$Dir > 0)

library(randomForest)

train <- data[1:(nrow(data)/2),]
test  <- data[(nrow(data)/2):nrow(data),]

model.rf <- randomForest(Dir~., train)

pred <- predict(model.rf, test)

tbl <- table(pred, test$Dir)

sum(diag(tbl)) / sum(tbl)