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I'm trying to use the depmix S4 package in r to classify stock price movements (1 for up, 0 for down). The top few rows of my data is below:

Date      Open       High       Low        Close      Adj.Close     Volume           Movement
01/12     121.01     123.47     120.01     122.72     122.72        128166800.00     1
02/12     122.02     123.37     120.89     123.08     123.08         89004200.00     1
03/12     123.52     123.78     122.21     122.94     122.94         78967600.00     0

I understand how to use the package, but I'm unsure what the process should be? What is the best way to proceed in order to try and predict movements of up or down (1 or 0) for my test data?

Many thanks in advance.

danstringer
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1 Answers1

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depmixS4 package is for implementing Hidden Markov Models, which are an unsupervised algorithm. That means that you can't directly use it to predict your desired price movement. I would highly recommend reading up on how Hidden Markov Models (HMMs) work in order to better understand how to use this technique for analysis, trading etc.

Vladimir Belik
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