Quantocracy’s Daily Wrap for 08/16/2020

In the prior two posts, investigated: Subspace Projections: feature selection (1/3) Information Geometric: feature selection (2/3) In this post will evaluate feature importance as implemented by Random Forest and compare to Information Geometric approaches. Here is an outline of what would like to discuss: similarities between Decision Trees and Information Geometric approaches for feature

Since my last currency strength candlestick chart post it seemed to make sense to be able to scan said charts for signals, so below is the code for two Octave functions which act as candlestick pattern scanners. The code is fully vectorised and self-contained, and on my machine they can scan more than 300,000 OHLC bars for 27/29 separate patterns in less than 0.5 seconds. Both functions have a