Kalman Filter and Sensor Fusion.
In the Spring of 2012 and again in the Spring of 2019 I posted a series of posts about the Kalman Filter, which […]
Read moreCategory: intraday forex
PositionBook Chart Example Trade
As a quick follow up to my previous post I thought I’d show an example of how one could possibly use my […]
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A New PositionBook Chart Type
It has been almost 6 months since I last posted, due to working on a house renovation. However, I have still been […]
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Simple Machine Learning Models on OrderBook/PositionBook Features
This post is about using OrderBook/PositionBook features as input to simple machine learning models after previous investigation into the relevance of such […]
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OrderBook and PositionBook Features
In my previous post I talked about how I planned to use constrained optimization to create features from Oanda’s OrderBook and PositionBook data, which […]
Read moreMatrix Profile and Weakly Labelled Data – 2nd and Final Update
It has been over three months since my last post, which was intended to be the first in a series of posts on […]
Read moreMatrix Profile and Weakly Labelled Data – Update 1
This is the first post in a short series detailing my recent work following on from my previous post. This post will be […]
Read more"Matrix profile: Using Weakly Labeled Time Series to Predict Outcomes" Paper
Back in May of this year I posted about how I had intended to use Matrix Profile (MP) to somehow cluster the “initial balance” […]
Read moreAnother Iterative Improvement of my Volume/Market Profile Charts
Below is a screenshot of this new chart version, of today’s (Friday’s) price action at a 10 minute bar scale: Just by […]
Read moreMarket Profile Low Volume Node Chart
As a diversion to my recent work with Matrix Profile I have recently completed work on a new chart type in Octave, namely a Market […]
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