Automatic Pattern Search

This is a discussion on Automatic Pattern Search within the Trading Software forums, part of the Commercial category; Eduardo The book ' Profitability and Systematic Trading ' has a series of equations/formulas which, I presume, are a discussion ...

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Old Aug 22, 2008, 6:32pm   #162
Joined Apr 2004
Eduardo

The book ' Profitability and Systematic Trading ' has a series of equations/formulas which, I presume, are a discussion on the theoretical underpinnings of APS and the maths by which it works.

One of the variables that goes into the formulas is P (the percentage of winning trades within a given set of trades). It does not appear to be a trend indicator.
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Old Aug 23, 2008, 8:09am   #163
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Originally Posted by jorune View Post
Eduardo

The book ' Profitability and Systematic Trading ' has a series of equations/formulas which, I presume, are a discussion on the theoretical underpinnings of APS and the maths by which it works.

One of the variables that goes into the formulas is P (the percentage of winning trades within a given set of trades). It does not appear to be a trend indicator.
It is presented in M.Harris first two books, "Short Term Trading with Price Patterns" which is mainly about futures trading, where the subject of intermarket patterns is covered, and "Stock Trading Techniques based on Price Patterns" which is mainly about stocks, where the analysis of about 20 securities is presented.
Both cover the "P Indicator".
Both contain some formulas, though not as many as "Profitability and Systematic Trading".
I'm surprised he didn't touch on the above subjects.

Eduardo.
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Old Aug 23, 2008, 8:52pm   #164
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Eduardo, I exchanged a few emails with APS support on the issue of pattern mean reversion. This prompted Mr. Harris to update one of his articles dealing with QQQQ pattern performance. Basically, APS identified those patterns during 2002 and the results were published in a magazine:

Tradingpatterns.com Michael Harris article

Summary: After 6 years, 2 patterns have reverted to mean (50% success rate) but the performance of 2 other patterns has increased while the remaining patterns have more or less at the same performance level.
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Old Aug 24, 2008, 11:38am   #165
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Originally Posted by intradaybill View Post
Eduardo, I exchanged a few emails with APS support on the issue of pattern mean reversion. This prompted Mr. Harris to update one of his articles dealing with QQQQ pattern performance. Basically, APS identified those patterns during 2002 and the results were published in a magazine:

Tradingpatterns.com Michael Harris article

Summary: After 6 years, 2 patterns have reverted to mean (50% success rate) but the performance of 2 other patterns has increased while the remaining patterns have more or less at the same performance level.
I missed this article, thanks for the link; I still think that M. Harris is somewhat optimistic, but then, that's me - I've always been told that I'm a kind of half empty glass guy, anyway.
I'm convinced that if I could somehow be certain of the direction of the trend (short term, that is) and only trade those patterns which reflect that trend, I would increase their profitability and useful life.
This calls for judgemental calls, I guess; anybody experimented on this? How did it go?

Eduardo.
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Old Aug 24, 2008, 9:20pm   #166
 
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Originally Posted by ZEPPO View Post
I'm convinced that if I could somehow be certain of the direction of the trend (short term, that is) and only trade those patterns which reflect that trend, I would increase their profitability and useful life.
Eduardo.
Very hard to do that, Eduardo. You risk a lot, like missing that short trade just before the trend reversal, or a long trade just before price trend changes to the upside.

IMO, Mr. Harris has created a wonderful tool that has tremendous potential but it's up to the user to figure out what to do with the patterns.

My strategy is based on calculating probabilities of a signal to reach a profit target based on the weighted profitability of each pattern. Much like the p-indicator you mentioned. I do that in excel by the way. This indicator has signaled short-term trend reversals with a high rate of success.

Actually, now that I think of it, I do the exact opposite of what you suggested. I use the pattern signals to establish short-term trend direction and trade with it.

Ron
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Old Aug 25, 2008, 10:40am   #167
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Very hard to do that, Eduardo. You risk a lot, like missing that short trade just before the trend reversal, or a long trade just before price trend changes to the upside.

IMO, Mr. Harris has created a wonderful tool that has tremendous potential but it's up to the user to figure out what to do with the patterns.

My strategy is based on calculating probabilities of a signal to reach a profit target based on the weighted profitability of each pattern. Much like the p-indicator you mentioned. I do that in excel by the way. This indicator has signaled short-term trend reversals with a high rate of success.

Actually, now that I think of it, I do the exact opposite of what you suggested. I use the pattern signals to establish short-term trend direction and trade with it.

Ron
Seen from here, what you do takes a lot of guts - a true contrarian approach; I haven't got such self-confidence myself, that's why I am ready to sacrifice profits and trades.
But I am sure we all would like to know more about your system - I sure would!
I'm not trying to copy you (it wouldn't work anyway) but to develop ideas, there is always something to learn and I am a keen student myself; every individual is a universe of ideas.
Please keep commenting, I'm all eyes (well I'm reading this aren't I?).

Eduardo.
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Old Aug 25, 2008, 6:07pm   #168
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Originally Posted by equtrader View Post
Hi Pat, I know use APS with 15 minute forex bars and I have some excellent back tests. I will be using the software for real time trading soon. I have figured out a way to use the scan function real-time on 3, 5, 7 and 12 minute bars.
Which forex markets are you looking at for the 15 min timeframe and whats the profit target/stop loss please?
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