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############################################################
## Using Genetic Algorithms in Quantitative Trading   
##
## thertrader@gmail.com - Mar 2014
############################################################
library(PerformanceAnalytics)
library(rgenoud)
library(quantmod)
library(TTR)

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rCharts + dimplejs Visualization of bfast on S&P 500

Interactively analyze the effect of h on the R package bfast breakpoints with a d3.js visualization using rCharts.

Code to replicate and more

Original R bfast code from blog post

For a better understanding of bfast please see the following paper.

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// Use Gists to store code you would like to remember later on
console.log(window); // log the "window" object to the console

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# -*- coding: cp1252 -*-

# Minimize a continuous differentialble multivariate function. Starting point
# is given by "X" (D by 1), and the function named in the string "f", must
# return a function value and a vector of partial derivatives. The Polack-
# Ribiere flavour of conjugate gradients is used to compute search directions,
# and a line search using quadratic and cubic polynomial approximations and the
# Wolfe-Powell stopping criteria is used together with the slope ratio method
# for guessing initial step sizes. Additionally a bunch of checks are made to
# make sure that exploration is taking place and that extrapolation will not