HMM_Portfolio_Project.R

library(HMM)
library(TSstudio)
data<-read.table("C:/Users/gokul/Downloads/MBB.csv",header=TRUE,sep=",",as.is=TRUE)
#data<-read.table("C:/Users/gokul/Downloads/VMBS.csv",header=TRUE,sep=",",as.is=TRUE)
closepricedata<???as.double(data$Close[1:183])
closepricedate<???data$Date[2:183]
timeDate<???as.Date.character(closepricedate)
closepricedata
A<???matrix(1:4,2,2)
A<???A/rowSums(A)
Timelen<???as.numeric(length(closepricedata))
B<???matrix(1:4,2,2)
B<???B/rowSums(B)
init<???c(0.3,0.7)
dataclose<???vector("numeric",Timelen???1)
for(i in 2:Timelen){
  v<???((closepricedata[i]???closepricedata[i???1])/closepricedata[i???1])*100
  if(v<0)
    dataclose[i???1]<???1
  else if(v>=0)
    dataclose[i???1]<???2
}
statesHMM<???c('re1','gr1')
symb<???c(1,2)
hmm<???initHMM(statesHMM,symb,init,A,B)
print(hmm)
start.time<???Sys.time()
bw<???baumWelch(hmm,dataclose,maxIterations=500,delta=1E???6)
print(bw$hmm)
end.time<???Sys.time()
time.taken<???end.time???start.time
time.taken
vb<???viterbi(bw$hmm,dataclose)
print(vb)
len<???length(vb)
a<???vb
b<???as.matrix(1,len???1)
time1<???as.matrix(1:len???1,len???1)
for(i in 1:len){
  if(a[i]=="re1")
    b[i]<???1
  else: 
    b[i]<???2
}