zachmayer

Coefficients:
            Estimate Std. Error t value Pr(>|t|)    
(Intercept)  1.18471    0.12130   9.767 1.08e-12 ***
Sheep       -0.71154    0.08546  -8.326 1.16e-10 ***

zachmayer

rm(list = ls(all = TRUE))

daysSinceHigh <- function(x, n){
   apply(embed(x, n), 1, which.max)-1
}

myStrat <- function(x, nHold=100, nHigh=200) {
	position <- ifelse(daysSinceHigh(x, nHigh)<=nHold,1,0)
	c(rep(0,nHigh-1),position)
}

zachmayer

#Load current know recessions
library(xts)
ModRec <- read.csv("http://dl.dropbox.com/u/7428423/Modified%20NBER%20Recession%20Data.csv")
ModRec$DATE <- as.Date(ModRec$DATE)
ModRec <- xts(ModRec[,-1],order.by=ModRec[,1])

#Load actual recessions
library(quantmod)
getSymbols('USREC',src='FRED') 

zachmayer

rm(list = ls(all = TRUE))
memory.limit(size = 4000)

#Get Data
library(quantmod)
getSymbols('^GSPC',from='1900-01-01')
myStock <- Cl(GSPC)
bmkReturns <- dailyReturn(myStock, type = "arithmetic")

#Apply our strategy to tomorrows returns

zachmayer

#Setup 
rm(list = ls(all = TRUE)) 
set.seed(1)
nsims <- 1000 
library(quantmod) 
library(PerformanceAnalytics)
#Load Data 
getSymbols('^GSPC',from='1900-01-01') 
spyReturns <- dailyReturn(GSPC$GSPC.Adjusted, type = "arithmetic")

zachmayer

#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))

zachmayer

install.packages(c('caret', 'doParallel', 'ggplot2', 'data.table', 'caTools', 'XML', 'quantmod'), dependencies=TRUE)

zachmayer

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")

zachmayer

#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))

zachmayer

rm(list = ls(all = TRUE))
#http://etfprophet.com/days-since-200-day-highs/

require(quantmod)
getSymbols('^GSPC',from='1900-01-01')

daysSinceHigh <- function(x, n){
   apply(embed(x, n), 1, which.max)-1
}