Real Time Structural Break

April 27, 2012 | klr

Yesterday as I played with bfast I kept thinking “Yes, but this is all in hindsight.  How can I potentially use this in a system?”  Fortunately, one of the fine authors very generously commented on my post Structural Breaks (Bull or Bear?...
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Structural Breaks (Bull or Bear?)

April 26, 2012 | klr

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: Jan Verbesselt, Rob Hyndman, Glenn Newnham, Darius Culvenor...
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