[R-SIG-Finance] Pattern Recognition / Classification in R for Financial Time Series

[Ian Seow]

Hi I was wondering if there are any good packages in R that would be
useful in Time Series Pattern Recognition (3rd party software
suggestions are also welcome!) .

My search problem description is this: Given a specific 5 day OHLC
sequence in a particular stock A, I want to scan through a list of
stocks B, C, etc... and return another 5 day OHLC sequence which
closely 'matches' my given sequence.

The basic brute force algorithm which I'm working on currently is to
normalize all 5 day sequences in my search universe and to calculate
the differential in HL and return the top N patterns with the lowest
differential value. If there are any elegant / intelligent ways to
solve my problem, I would love to hear it! Thanks...

Rgds
Ian