Archive

Posts Tagged ‘Model’

Capacity Utilization & SPX

January 16, 2015 Leave a comment

caputil_spx011615

Initial Claims & SPX Returns

January 13, 2015 Leave a comment

IC_GSPC_011215

SPX Model Monthly Predictions Improving

December 6, 2014 Leave a comment

Improving the fit since last update:

lm_model_monthly120514

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SPX Monthly Model Preview

November 19, 2014 Leave a comment

Still under construction…

spx_model_monthly_ret

Rplot

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Day Trading Model Draft

October 30, 2014 Leave a comment

Teasers…

The SPX model accuracy (since 2010 test set) for correctly predicting positive/negative days:

es_model110514

actual_pred_LR_model103014

corrplot_daily_LR_model103014

My First SVM Model

October 22, 2014 Leave a comment

 

 

svm_daily_APM_102214As a learning exercise/practice I created a very simple SVM model using the ksvm function under the kernlab package.

The predictors I used were: VIX, Crude, Gold and Previous Day’s Close (factor).

The results were factors either returning 1 or 0 if the following day’s close was higher than the previous.

The train/test data set start date is 2007-12-31. I first tried data partitioning (75/25) the train and test sets in a random fashion irrespective of time-series. Then I tried testing it in slices (75/25) so time was continuous. Results were very little changed.

Here is how the SVM model performed using those 4 variables:

The results were fairing unimpressive but better than 50/50 is a great start.

svm_model102414

 

Some plots between SPX & VIX, P/C, etc…

October 14, 2014 Leave a comment

VIX_SPX101414

index_pc_spx101414spx_dax101414

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