data mining

Posted on Mar 04, 2016 by Kris Longmore
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Update 1: In response to a suggestion from a reader, I've added a section on feature selection using the Boruta package.  Update 2: Responding to another suggestion, I've added some equity curves of a simple trading system using the knowledge gained from this analysis. Update 3: In response to a comment from Alon, I've added some Lite-C code that generates the training data used in this post and outputs it to a .csv file. You can have some serious fun with this and it enables you to greatly extend the research presented here. Enjoy! Update 4: 30 March 2017: The analysis was extended the analysis to include data up to the end of 2016. Of course, I updated the post to reflect the changes. The code for performing the analysis and generating the data I used in this post, as well the data file itself and another for a different instrument that you can experiment with, are all available for free by clicking here. One of the first books I read when I began studying the markets a few years ago was David...