This paper demonstrates the ability to accurately detect the movement state of Madagascar hissing cockroaches equipped with a custom board containing a five degree of freedom inertial measurement unit. The cockroach moves freely through an unobstructed arena while wirelessly transmitting its accelerometer and gyroscope data. Multiple window sizes, features, and classifiers are assessed. An in-depth analysis of the classification results is performed to better understand the strengths and weaknesses of the classifier and feature set. The conclusions of this study show promise for future work on cockroach motion mode identification and localization.