bjorskog

# Some code to asses an SVM with a two-dimensional feature space:
# trend (price - simple moving average) and relative strength index.
# The code is an adaptation of the code found in the following linkedin post:
# "Trading the RSI using a Support Vector Machine"
# "https://www.linkedin.com/pulse/article/20141103165037-172934333-trading-the-rsi-using-a-support-vector-machine"

# Settings
sma.window = 50 # Number of observations in simple moving average.
rsi.window = 3  # Number of observation in relative strength index (RSI)

bjorskog

#analyze breakpoints with the R package bfast
#please read the paper 
#Verbesselt J, Hyndman R, Newnham G, Culvenor D (2010)
#Detecting Trend and Seasonal Changes in Satellite Image Time Series.
#Remote Sensing of Environment, 114(1), 106–115.
#http://dx.doi.org/10.1016/j.rse.2009.08.014

require(bfast)
require(quantmod)

bjorskog

#analyze breakpoints with the R package bfast
#please read the paper 
#Verbesselt J, Hyndman R, Newnham G, Culvenor D (2010)
#Detecting Trend and Seasonal Changes in Satellite Image Time Series.
#Remote Sensing of Environment, 114(1), 106–115.
#http://dx.doi.org/10.1016/j.rse.2009.08.014

require(bfast)
require(quantmod)