R Package to Backtest Time Series Models
library(devtools)
install_github("joshoberman/backtest")
This package will run backtests on VAR, ARIMA, ETS, and MARS models for time series forecasting. It's main goal is to provide a unified interface for predictor selection in VAR models, and to afford a direct comparison between VAR and other time series models available in R.
The package exports a single function, runCalc(), that expects a well-formed JSON, an example of which can be found in the package directory after installation. The function returns a well-formed JSON with model and backtest metrics that can be stored in a database for direct model comparison.
For more direct inquiries please email joshoberman@gmail.com