Predicting up/down movement of S&P500 using 20 years of historical data using R
*Work here is experimental and serves no other purpose except to explore and learn.
We are going to add additional features:
(The selections are arbitrary for the most part).
- 10 year treasure bond rate
- cattle futures
- coffee price
- copper price
- crude oil futures
- lumber futures
- US dollars futures
- VIX
Techniques:
- Principal Component Analysis
- Naive Bayes
- GLM (Generalized Linear Model) "binomial"
- RPART (Recursive Partitioning And Regression Trees)
- GBM (Generalized Boosted Regression Models)
- LDA (Linear Discriminant Analysis)