Polysomnography (PSG) is considered the gold standard to assess sleep accurately, but it can be expensive, time-consuming, and uncomfortable, specifically in long-term sleep studies. Actigraphy, on the other hand, is both cheap and userfriendly, but depending on the application lacks detail and accuracy. Our aim was to evaluate cardiorespiratory and movement signals in discriminating between wake, rapid-eye-movement (REM), light (N1N2), and deep (N3) sleep. The dataset comprised 85 nights of PSG from a healthy population. Starting from a total of 750 characteristic variables (features), problem-specific subsets of 40 features were forwardly selected using the combination of a wrapper method (Cohen's kappa statistic on radial basis function (RBF)-kernel support vector machine (SVM) classifier) and filter method (minimum redundancy maximum relevance criterion on mutual information). Final classification was performed using an RBF-kernel SVM. Non-subject-specific wake versus sleep classification resulted in a Cohen’s kappa value of 0.695, while REM versus NREM resulted in 0.558 and N3 versus N1N2 in 0.553. The broad pool of initial features gave insight in which features discriminated best between the different classes. The classification results demonstrate the possibility of making long-term sleep monitoring more widely available.