zachmayer

#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)

zachmayer

#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

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

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

zachmayer

#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')

zachmayer

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)
  })

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

#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

#!/usr/bin/env python
# encoding: utf-8

#Constants.R

#Created by Kenneth J. Shackleton on 14 June 2011.
#Copyright (c) 2011 Ringo Limited.
#All rights reserved.
#R Port by Zach Mayer on 4 December 2011

zachmayer

#Setup
set.seed(1)
library(fpp) # To load the data set a10

HZ <- 12	
myControl <- list(	minObs=60,
					stepSize=1, 
					maxHorizon=HZ,