| Type: | Package |
| Title: | Identification of Bull and Bear States of the Market |
| Version: | 1.0 |
| Author: | Valeriy Zakamulin |
| Maintainer: | Valeriy Zakamulin <valeriz@uia.no> |
| Description: | 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. |
| License: | GPL-3 |
| Encoding: | UTF-8 |
| LazyData: | TRUE |
| Depends: | R (≥ 4.0) |
| Imports: | Rcpp (≥ 0.12.5), zoo, xtable, ggplot2 |
| LinkingTo: | Rcpp |
| RoxygenNote: | 7.1.1 |
| NeedsCompilation: | yes |
| Packaged: | 2021-03-31 13:28:32 UTC; Denis |
| Repository: | CRAN |
| Date/Publication: | 2021-04-01 14:30:09 UTC |
Prints out the dating of bull-bear states
Description
This function prints out (in console window) the dating of bull-bear states. The outcome of this function is a table in LaTeX format.
Usage
bb.dating.states(price, bull, dates)
Arguments
price |
a numeric vector of price values |
bull |
a logical vector that contains the states of the market. This vector
is returned by function |
dates |
a vector of dates |
Value
A data frame object that contains the dating of bull-bear states.
Examples
{
library(zoo)
library(xtable)
library(ggplot2)
sp500 <- sp500m # choose the monthly data
dates <- index(sp500) # retrieve dates
dates <- as.yearmon(dates) # convert dates to "yearmon" format if monthly data
price <- as.vector(coredata(sp500)) # retrieve prices
setpar_dating_alg(4, 6, 4, 16, 20) # parameters for monthly data
bull <- run_dating_alg(price) # detect the states
bb.dating.states(price, bull, dates)
}
Plots the log of prices and highlight bear states
Description
This function plots the log of prices and highlights bear states
Usage
bb.plot(price, bull, dates, price.name=NULL, log.scale=TRUE)
Arguments
price |
a numeric vector of price values |
bull |
a logical vector that contains the states of the market. This vector
is returned by function |
dates |
a vector of dates in Date format |
price.name |
the name of the time-series of prices that will appear on the y-axis of the plot |
log.scale |
a logical variable that specifies whether to use log scale along the y-axis |
Value
None
Examples
{
library(zoo)
library(xtable)
library(ggplot2)
price <- as.vector(coredata(sp500m)) # retrieve monthly prices
dates <- index(sp500m) # retrieve dates from zoo-object
setpar_dating_alg(4, 6, 5, 15, 20) # parameters for monthly data
bull <- run_dating_alg(price) # detect bull-bear states
bb.plot(price, bull, dates, "S&P 500") # plot the result
}
Prints out the summary statistics of bull-bear states
Description
This function prints out (in console window) the summary statistics of bull-bear states. The outcome of this function is a table in LaTeX format.
Usage
bb.summary.stat(price, bull)
Arguments
price |
a numeric vector of price values |
bull |
a logical vector that contains the states of the market. This vector
is returned by function |
Value
A data frame that contains the descriptive statistics.
Examples
{
library(zoo)
library(xtable)
library(ggplot2)
sp500 <- sp500m # choose the monthly data
price <- as.vector(coredata(sp500)) # retrieve prices
setpar_dating_alg(4, 6, 4, 16, 20) # parameters for monthly data
bull <- run_dating_alg(price) # detect the states
bb.summary.stat(price, bull)
}
Daily data the Dow Jones Industrial Average index
Description
The daily closing prices of the DJIA index from January 1985
Usage
djiad
Format
An object of class "zoo" containing the daily closing prices of the DJIA index from January 1985
Source
See Also
Other data sets:
djiam,
sp500d,
sp500m
Monthly data on the Dow Jones Industrial Average index
Description
The monthly closing prices of the DJIA index from January 1985
Usage
djiam
Format
An object of class "zoo" containing the monthly closing prices of the DJIA index from January 1985
Source
See Also
Other data sets:
djiad,
sp500d,
sp500m
Runs the dating algorithm to identify Bull and Bear states
Description
This function implements the dating algorithm of Bry and Boschan (1971) to identify Bull and Bear states
Usage
run_dating_alg(index)
Arguments
index |
vector containing the stock price index |
Value
A logical vector that contains TRUE for Bull states and FALSE for Bear states
Note
Be aware that the states in the beginning and in the end of "index" are not properly defined.
The users are advised to always visually check the correctness of the result
(during Bull states the prices should generally increase, during the Bear states decrease).
References
Bry, G. and Boschan, C. (1971). Cyclical Analysis of Time Series: Selected Procedures and Computer Programs. NBER.
Pagan, A. R. and Sossounov, K. A. (2003). A Simple Framework for Analysing Bull and Bear Markets. Journal of Applied Econometrics, 18 (1), 23-46.
Gonzalez, L., Powell, J. G., Shi, J., and Wilson, A. (2005). Two Centuries of Bull and Bear Market Cycles. International Review of Economics and Finance, 14 (4), 469-486.
Runs the filtering algorithm to identify Bull and Bear states
Description
This function implements the filtering algorithm of Lunde and Timmermann (2004) to identify Bull and Bear states
Usage
run_filtering_alg(index)
Arguments
index |
vector containing the stock price index |
Value
A logical vector that contains TRUE for Bull states and FALSE for Bear states
Note
Be aware that the states in the beginning and in the end of "index" are not properly defined
References
Lunde, A. and Timmermann, A. (2004). Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets. Journal of Business and Economic Statistics, 22 (3), 253-273.
Sets the paramters of the dating algorithm
Description
This function sets the paramters of the dating algorithm of Bry and Boschan (1971)
Usage
setpar_dating_alg(t_window, t_censor, t_phase, t_cycle, max_chng)
Arguments
t_window |
the half-size of the rolling window to find minima and maxima |
t_censor |
the size of the left and right margin (for the cencoring operation) |
t_phase |
the minimum phase (bull or bear) length |
t_cycle |
the minimum full cycle length |
max_chng |
the change (in percentages) in the |
Value
None
Note
All parameters but "max_chng" are given in a number of observations.
For example, if data are at the monthly frequency, "t_cycle=16" defines that the minimum cycle length should be 16 months.
References
Bry, G. and Boschan, C. (1971). Cyclical Analysis of Time Series: Selected Procedures and Computer Programs. NBER.
Pagan, A. R. and Sossounov, K. A. (2003). A Simple Framework for Analysing Bull and Bear Markets. Journal of Applied Econometrics, 18 (1), 23-46.
Gonzalez, L., Powell, J. G., Shi, J., and Wilson, A. (2005). Two Centuries of Bull and Bear Market Cycles. International Review of Economics and Finance, 14 (4), 469-486.
Sets the paramters of the filtering algorithm
Description
This function sets the paramters of the filtering algorithm of Lunde and Timmermann (2004)
Usage
setpar_filtering_alg(tr_bull, tr_bear)
Arguments
tr_bull |
threshold to idenitfy a Bull state (in percentages) |
tr_bear |
threshold to idenitfy a Bear state (in percentages) |
Value
None
References
Lunde, A. and Timmermann, A. (2004). Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets. Journal of Business and Economic Statistics, 22 (3), 253-273.
Daily data the S&P 500 index
Description
The daily closing prices of the S&P 500 index
Usage
sp500d
Format
An object of class "zoo" containing daily closing prices of the S&P 500 index starting from January 1950
Source
See Also
Other data sets:
djiad,
djiam,
sp500m
Monthly data on the S&P 500 index
Description
Monthly closing prices of the S&P 500 index
Usage
sp500m
Format
An object of class "zoo" containing monthly closing prices of the S&P 500 index starting from January 1950