Articles by Zach Mayer

Benchmarking time series models

December 29, 2011 | Zach Mayer

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... [Read more...]

Time series cross-validation 3

December 12, 2011 | Zach Mayer

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 ...
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A pure R poker hand evaluator

December 5, 2011 | Zach Mayer

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...
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Time series cross-validation 2

November 22, 2011 | Zach Mayer

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&nbsp... [Read more...]

Backtesting Part 4: random strategies

October 21, 2011 | Zach Mayer

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... [Read more...]

Backtesting a Simple Stock Trading Strategy

September 13, 2011 | Zach Mayer

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.   I recently read a post on ETF Prophet that explored an interesting stock trading strategy in Ex... [Read more...]

25+ more ways to bring data into R

August 26, 2011 | Zach Mayer

The rdatamarket post on the Revolutions blog and this post on Decision Stats reminded me about my list of Data APIs/feeds available as packages in R on Cross-Validated (which is a great site that you all should use).  Many of these packa...
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Using the google prediction API from R

August 10, 2011 | Zach Mayer

Google has a "black box" prediction API that they provide for use with creating recommender systems or filtering spam. Furthermore, they provide an R package for interfacing that API, but try as I might I cannot get it to work under windows. Here are ...
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Scraping web data in R

August 10, 2011 | Zach Mayer

In my last post, I went through a lot of effort to scrape the PMI index off the ISM website.  It turns out that was unnecessary effort, as commentator "senne" pointed out that this index is available from FRED, with the symbol NAPM. &nbs...
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Forecasting recessions

August 9, 2011 | Zach Mayer

John Hussman has a Recession Warning Composite that I am attempting to replicate/improve. The underlying data seems to be easy enough to get from FRED using the quantmod package in R. I don't quite understand the index Hussman is using for commercial...
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