Structural Breaks (Bull or Bear?)

klr

10 years ago

[This article was first published on Timely Portfolio, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here)

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When I spotted the bfast R package, I could not resist attempting to apply it to identify bull and bear markets. For all the details that I do not understand, please see the references:

< size="1" face="Courier New">Jan Verbesselt, Rob Hyndman, Glenn Newnham, Darius Culvenor (2010). Detecting Trend and
Seasonal Changes in Satellite Image Time Series. Remote Sensing of Environment, 114(1),
106-115. doi:10.1016/j.rse.2009.08.014< >

< size="1" face="Courier New">Jan Verbesselt, Rob Hyndman, Achim Zeileis, Darius Culvenor (2010). Phenological Change
Detection while Accounting for Abrupt and Gradual Trends in Satellite Image Time
Series. Remote Sensing of Environment, 114(12), 2970 – 2980.
doi:10.1016/j.rse.2010.08.003< >

I believe the result on the S&P 500 (even with a high h and only one iteration) is a fairly close marker for bull and bear markets, and I thoroughly enjoyed applying forestry techniques to financial time series.