Databases
StackOverflow2013
Postsdbo
POR Rolling Random Forest for Variables Selection
 

Note that there are some explanatory texts on larger screens.

plurals
  1. POR Rolling Random Forest for Variables Selection
    primarykey
    data
    text
    <p>I've got a daily OHLC dataset of the Euro Stoxx 50 index since 2008 which looks like that :</p> <pre><code> Open High Low Close Volume Adjusted 2008-01-02 4393.53 4411.59 4330.73 4339.23 0 4339.23 2008-01-03 4335.91 4344.36 4312.34 4333.42 0 4333.42 2008-01-04 4331.25 4343.46 4253.69 4270.53 0 4270.53 2008-01-07 4268.43 4294.45 4257.22 4283.37 0 4283.37 2008-01-08 4292.40 4330.56 4292.40 4295.23 0 4295.23 2008-01-09 4285.34 4285.34 4246.92 4258.32 0 4258.32 </code></pre> <p>I've computed several technical rules using the <code>TTR</code>package. I thus get a bigger dataset like that :</p> <pre><code> RSI2 RSI3 RSI4 RSI5 RSI10 RSI20 SMA5 SMA20 SMA60 EMA5 EMA20 EMA60 atr SMI 2009-01-07 97.964071 92.62210 87.21605 82.40040 66.95642 55.19221 19720.64 18655.29 17758.68 2556.777 2556.777 2556.777 82.06602 27.52145 2009-01-08 43.766573 58.62387 62.97794 64.03382 60.23197 52.99739 19756.44 18666.60 17754.07 2566.499 2566.499 2566.499 80.33416 29.12141 2009-01-09 27.182247 44.97072 52.29336 55.50633 56.74068 51.80171 19776.92 18674.31 17750.34 2523.372 2523.372 2523.372 78.65886 29.37878 2009-01-12 13.371347 30.46561 39.97055 45.24210 52.16207 50.17764 19788.02 18683.05 17748.76 2524.466 2524.466 2524.466 78.58966 28.17871 2009-01-13 6.141462 19.52298 29.30404 35.68593 47.25383 48.32987 19772.25 18693.01 17749.35 2488.165 2488.165 2488.165 76.08326 25.34705 2009-01-14 2.712386 11.97834 20.69541 27.26891 42.10718 46.23469 19747.87 18694.16 17742.88 2449.353 2449.353 2449.353 75.42231 20.65686 </code></pre> <p>I would like to know for each working quarter what are the most significant technical rules. I've decided to use the Random Forest-RI algorithm which have been coded in the <code>randomForest</code>package, compute the Breiman importance measure (thanks to the <code>importance</code>function) and selection the technical rules that have a variable importance measure greater that the mean of the quarterly sample. Eventually, I would like to get the reduced dataset of technical rules during the whole period to compute statistics and so on.</p> <p>Given that the number of significant technical rules can vary over time, the dimensions of the array which contains the most significant technical rules are not the same from a quarter to antoher. As a consequence, I can't put all my values in a single object.</p> <p>Is there a convenient way to store all my quarter dataset?</p> <p>thanks.</p>
    singulars
    1. PO
      singulars
      1. PTAnswer
    1. This table or related slice is empty.
    1. PTQuestion
    1. USmarino89
    1. USmarino89
    plurals
    1. PL
      singulars
      1. LTLinked
    1. PL
      singulars
      1. LTLinked
    1. This table or related slice is empty.
    1. PO
      singulars
      1. PTAnswer
    1. VO
      singulars
      1. POR Rolling Random Forest for Variables Selection
      1. This table or related slice is empty.
      1. VTUpMod
    1. COThis request for coding up an automated analysis system appears to be larger in scope than SO is designed to handle ... except for the question about what type of R object should be used. The premise that there is no R-way to hold items that vary in size is just plain wrong. The list structure is available and used for that purpose all the time.
      singulars
      1. POR Rolling Random Forest for Variables Selection
      1. US42-
 

Querying!

 
Guidance
A row detail

Detail views are divided into sections. All the information in the data section comes from columns in the selected row. The other sections display data from other, related rows.

Related data can be related in a to-one or a to-many fashion. Captions of data related in a to-many fashion link to a list view showing a filtered view of the table.

Try moving around until you find a non-empty to-many entry and click on the label to get to one. You can move back to the root by clicking on the database name in the header.

SQuiL has stopped working due to an internal error.

If you are curious you may find further information in the browser console, which is accessible through the devtools (F12).

Reload