A quick preview of what I am currently working on: using Matrix Profile to search for time series motifs, using the R tsmp package. The exact motifs I'm looking for are the various "initial balance" set ups of Market Profile charts.
To do so, I'm concentrating the investigation around both the London and New York opening times, with a custom annotation vector (av). Below is a simple R function to set up this custom av, which is produced separately in Octave and then loaded into R.
mp_adjusted_by_custom_av <- function( mp_object , custom_av ){
## https://stackoverflow.com/questions/66726578/custom-annotation-vector-with-tsmp-r-package
mp_object$av <- custom_av
class( mp_object ) <- tsmp:::update_class( class( mp_object ) , "AnnotationVector" )
mp_adjusted_by_custom_av <- tsmp::av_apply( mp_object )
return( mp_adjusted_by_custom_av )
}
