Hi guys, yes…thanks for asking this.
@martyf, you nailed it. Yes, anomaly detection is what will help our models get to the next level in terms of better capturing profits, especially in a variety of market conditions.
The big dependency for this was we needed to build our data set going back very far such that we can better evaluate performance in terms of big market cycles (which typically only swings a couple of times per year). This involved a lot of scripts and web scraping.
The good news is we have the data now and are pushing forward.
We owe another report on where we are with features and when to expect things, so more to come soon!