Package: bbdetection 1.0
Valeriy Zakamulin
bbdetection: Identification of Bull and Bear States of the Market
Implements two algorithms of detecting Bull and Bear markets in stock prices: the algorithm of Pagan and Sossounov (2002, <doi:10.1002/jae.664>) and the algorithm of Lunde and Timmermann (2004, <doi:10.1198/073500104000000136>). The package also contains functions for printing out the dating of the Bull and Bear states of the market, the descriptive statistics of the states, and functions for plotting the results. For the sake of convenience, the package includes the monthly and daily data on the prices (not adjusted for dividends) of the S&P 500 stock market index.
Authors:
bbdetection_1.0.tar.gz
bbdetection_1.0.tar.gz(r-4.5-noble)bbdetection_1.0.tar.gz(r-4.4-noble)
bbdetection_1.0.tgz(r-4.4-emscripten)bbdetection_1.0.tgz(r-4.3-emscripten)
bbdetection.pdf |bbdetection.html✨
bbdetection/json (API)
| # Install 'bbdetection' in R: |
| install.packages('bbdetection', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 3 years agofrom:df69c23ec5. Checks:OK: 2. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Sep 05 2024 |
| R-4.5-linux-x86_64 | OK | Sep 05 2024 |
Exports:bb.dating.statesbb.plotbb.summary.statrun_dating_algrun_filtering_algsetpar_dating_algsetpar_filtering_alg
Dependencies:clicolorspacefansifarverggplot2gluegtableisobandlabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellnlmepillarpkgconfigR6RColorBrewerRcpprlangscalestibbleutf8vctrsviridisLitewithrxtablezoo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Prints out the dating of bull-bear states | bb.dating.states |
| Plots the log of prices and highlight bear states | bb.plot |
| Prints out the summary statistics of bull-bear states | bb.summary.stat |
| Daily data the Dow Jones Industrial Average index | djiad |
| Monthly data on the Dow Jones Industrial Average index | djiam |
| Runs the dating algorithm to identify Bull and Bear states | run_dating_alg |
| Runs the filtering algorithm to identify Bull and Bear states | run_filtering_alg |
| Sets the paramters of the dating algorithm | setpar_dating_alg |
| Sets the paramters of the filtering algorithm | setpar_filtering_alg |
| Daily data the S&P 500 index | sp500d |
| Monthly data on the S&P 500 index | sp500m |