R语言基于逻辑回归模型做投资预测-正确率94%

基于逻辑回归模型，我们可以去预算市场未来的走势。

示例代码大约有94%的正确率。

要说的都在代码注释里面。

cat("\014")

# 载入示例股票

library(quantmod)
getSymbols("^DJI", src = "yahoo")
dji <- DJI[, "DJI.Close"]

# 生成技术指标

avg10 <- rollapply(dji, 10, mean)
avg20 <- rollapply(dji, 20, mean)
std10 <- rollapply(dji, 10, sd)
std20 <- rollapply(dji, 20, sd)
rsi5 <- RSI(dji, 5, "SMA")
rsi14 <- RSI(dji, 14, "SMA")
macd12269 <- MACD(dji, 12, 26, 9, "SMA")
macd7205 <- MACD(dji, 7, 20, 5, "SMA")
bbands <- BBands(dji, 20, "SMA", 2)

# 生成市场方向,收盘价与之后20天价格比较

direction <- NULL
direction[dji > Lag(dji, 20)] <- 1
direction[dji < Lag(dji, 20)] <- 0

# 合并结果
dji <-
  cbind(dji,
        avg10,
        avg20,
        std10,
        std20,
        rsi5,
        rsi14,
        macd12269,
        macd7205,
        bbands,
        direction)

dm <- dim(dji)
dm
colnames(dji)[dm[