A Trend-Based Segmentation Method and the Support Vector Regression for Financial Time Series Forecasting

Algorithm 2

A pseudocode for trend segments by TBSM in time series.

Input: length, oldTs // input data length and vector.

Output: newTs // a new time series vector of trading signal.

Method:

   1: Start = oldTs [1]

   2: End = oldTs[length]

   3: If Start = = −1 and End = = 1

   4:    newTs [1] = 0

   5:    For i = 1: length−1

   6:     newTs[i+1] = 1/(lenghth−1)*i

   7:   End For

   8: Else If Start = = 1 and End = = −1

   9:   newTs[length] = 0

   10:   For i = 1  : length−1

   11:     newTs[i+1] = 1/(lenghth−1)*(length−i)

   12:   End For

   13: Else

   14:  For  i = 2  : length−1

   15:   newTs[i] = 0.5

   16:   End For

   17:  End If