msaltieri / algotrading

A library for algorithmic trading with R
MIT License
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Linear Regression Model #2

Open msaltieri opened 6 years ago

msaltieri commented 6 years ago

A new workspace has been created

Please check this Gist I've just created to sketch the LinearRegression Class Object in R. I have used R6 classes structure which is - in my opinion - the best object oriented implementation within R (there are many!).

The goal is to structure the linear regression block in the most functional way, then trying to make tests with respect to simulated data. With @mattiapenati we talked about the importance to use simulated data at this stage: they're built on known dynamics, then it's possible to understand if the parameters' estimator are working properly or not.

Please let me know if the sketch seems reasonable to you or if something's missing.

A note about Gist

I am not a big fun of Gist and I prefer to work by branching on the actual repository. Anyway, for the initial phase of brainstorming and becoming familiar with the programming language it's okay to proceed in this way. Do not be surprised if at a certain point I decide to switch and insert the code directly in the package.