Automatic Pattern Search

Well, maybe there is a difference. You are using data that came with the demo.
I was using real life datafeed provided by Tradestation. Their date range starts from 03/10/1999. By the way Yahoo Finance provides historical prices for QQQQ starting from 03/10/1999 as well. There is total 2402 daily bars until 09/23/2008.
Can you try the demo with the same data range and confirm my results?

Thanks

Why try with your data range when I have more data to try it on?

It seems that your data range is small enough to filter good patterns out and to get patterns with bad performance in out_of_sample data. Not enough bars in your file.

Also, neither yahoo finance nor Tradestation are considered very reliable daily data sources.

If you have the demo like you said you can try it yourself. I have to prepare for tomorrow's trading, it will be a volatile day it seems.

I think you should not put blame on APS when it finds patterns that do not perform well in out_of-sample data. The program value is in identifying those bad patterns and keeping the good ones. Even if none of the patterns performs well out_of_sample this is still valuable information. It maybe that you have to change your risk/reward criteria, increase your in_sample or forget about this particular market all together and try something different.

Well, I tried QQQQ data included with the demo using same in-sample, out-of-sample ranges you have.
in sample: 48 patterns found.

out of sample:
Only 23 remain profitable, including 2 with 100% success rate.

Are you counting patterns that become even as winners also?

I don't understand how you got 33 winners.

I use the profit factor and not the success rate alone. If the profit factor is > 1 then the pattern is profitable.

Still, I would only select the patterns with profit factor greater than 1.50 for example to develop a more robust system and keep the remaining in a separate system to monitor their signals. Some of the losers may return to profitability.

There is all kinds of strategies you can try. If you add a few short-term trend indicators to the system you may be able to come up with a neat trend following system based on price patterns like the ones described in this paper by Michael Harris:

Tradingpatterns.com Michael Harris article

I'm interested in buying this product, but I was hoping that someone could run a scan for me before I make my decision.

Can someone run a scan on EUR/USD (daily) with a 100 pip sl/tp? I would like to see some out-of-sample results for the last 2 years if possible.

There is actually a forex signal provider who I believe utilizes this software to generate his systems: hytechfx.com

Unfortunately, the past results don't always compare to future results.

Any help would be greatly appreciated.

Thanks

You can download the demo and do that yourself:

APS Automatic Pattern Search Demo

You can export free day forex data from MetaTrader.

I ran an extended search on EURUSD 15 min data for the year 2007 (24542 bars) with a search range of 4000 and a target profit & stop of 25pips with a 70% profitable target.
This gave 38 long patterns and 9 short patterns. A trading system was created based on these patterns as following:

Buy if two or more long patterns occur at the same time (target/stop of 25 pips)
Sell if two or more short patterns occur at the same time (target/stop of 25 pips).

Testing this system on the Metatrader platform on EURUSD 15 min data from 01.01.2008 - 11.08.2008 produced an equity line that was largely flat in the first quarter of 2008, moved up slightly in the second quarter but then trended down ending in a loss. The amount of the loss depended on the lot size traded on each trade.

As mentioned before there are many ways of combining patterns to form systems and there may be better ways to combine the patterns to form systems such as using delay patterns. I created a similar system on EURAUD 4HR data with a 100pip profit/stop loss and entered this system into the Automated Trading Championship. The patterns were extracted on data from 01.01.2008-19.10.2008. Unfortunately the system has lost money in simulated trading down from $10000 to just over $1000 in 10 days and will probably be eliminated from the competition.

I havent yet looked at the idea of multiple timeframe confirmation using APS but will explore this idea. So far I have not managed to achieve the kind of success you have described using APS patterns.

The other thing I have noticed is that the number of long or short pattens found by APS will depend on the trend of the market during the period being sampled. So for example the EURUSD was trending largely upwards in 2007 hence many more long patterns found than short patterns in the pattern search I described on EURUSD 15 min data.

This could cause problems if the market trend changes so for example the EURUSD went largerly sideways from March 2008-July 2008 and then trended down after. So if you have a system biased by a greater number of long patterns you may lose money in a falling market. My conclusion is there should be a way of determining the trend of the market before executing a trade based on a long or short pattern signal. I suppose the multitimeframe idea you have mentioned may be the way to do this.

There are roughly 10 x 4 x 5 x 6 = 1200 4H bars in that period.

This is a number that is very small for statistical analysis purposes. You need to consider a time span where there is at least one primary uptrend and a primary downtrend and extract your patterns from there. In this way you cover both longs and shorts.

I hope the 10K was virtual money because a 90% loss in 10 days/4H bars is a clear indication of overtrading and non-existent risk management. Basically, in 60 bars you lost 90% of your account. Based on your pip stops I will assume that each trade was closed in maybe 2 to 3 bars minimum. I will also assume that you stayed flat for at least 1 bar so this sums up to about 4 bars.

Summary: I estimate that in about 15 trades or less you lost 90% of your account. This is not related to trading technique but to risk management. Your loss shouldn't have exceeded 15 - 20% max drop from high mark.

I risk 0.5% of my account on each trade and in your case that would account to maybe a 10% drop and you would have plenty of time to change/modify system and maybe end up with making a profit.

Risk management is more important that trading system. System may be good but in the process of experiencing a drawdown and if one is overtrading often it is given no chance of recovering.