I finally got around to publishing my time series cross-validation package to github, and I plan to push it out to CRAN shortly.
You can clone the repo using github for mac, for windows, or linux, and then run the following script to...

Last night I was working on a difficult optimization problems, using the wonderful DEoptim package for R. Unfortunately, the optimization was taking a long time, so I thought I'd speed it up using a foreach loop, which resulted in the fo...

This is a quick post on the importance of benchmarking time-series forecasts. First we need to reload the functions from my last few posts on times-series cross-validation. (I copied the relevant code at the bottom of this post so you don't...

I've updated my time-series cross validation algorithm to fix some bugs and allow for a possible xreg term. This allows for cross-validation of multivariate models, so long as they are specified as a function with the following ...

There's already a lot of great posts out there about poker hand evaluators, so I'll keep this short. Kenneth J. Shackleton recently released a very slick 5-card and 7-card poker hand evaluator called SpecialK. This evaluator is li...

In my previous post, I shared a function for parallel time-series cross-validation, based on Rob Hyndman's code. I thought I'd expand on that example a little bit, and share some additional wrapper functions I wrote to test other forecasting ...

Rob Hyndman has a great post on his blog with example on how to cross-validate a time series model. The basic concept is simple: You start with a minimum number of observations (k), and fit a model (e.g. an arima model) to those observation...

Note: This post is NOT financial advice! This is just a fun way to explore some of the capabilities R has for importing and manipulating data.
In part 2, we found that our 200-day high, hold 100 days strategy yielded average annual return...

Note: This post is NOT financial advice! This is just a fun way to explore some of the capabilities R has for importing and manipulating data.
In a previous post, I examined a simple stock trading strategy: Find the high point over the la...

In Recession Forecasting Part II, I compared the accuracy of Hussman's recession forecasts to the accuracy of a naive forecast that assumed the current state of the recession variable would continue next month.
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