Automatic Pattern Search

[jorune]

Sounds fine to me. Also look at this:

Using APS FAQ

Yep, I agree about the book. Down to earth writing, no hype like other authors, sensible advice. Michael Harris is a real trader.

Ron

Ron,

Thank you for your comment and I have now re-read through the FAQ. I think one of the interesting aspects about the seeing the results from APS is the frequency of signals. When performing a search with a common setup in a workspace, >67% winners, <3 cumulative losers, 5% target/stop I saw 3-5 trades a year when using daily data. For anyone who wishes to avoid overtrading, APS wins hands down.

APS produces a list of high probability trades which could be followed with confidence. In his seminal work, Market Wizards, Jack Schwager sought to answer the question " What makes the best traders tick? ". He looked at the best in all markets from intraday to long term investors. The answer was that they all had created a system / set of values that made sense to them on a psychological/personal level.

I believe that after reading books on system development and trading that the psychological experience is a key element in determining trading success. APS or indeed anything, can a successful building block for trading success. It is when traders bring their personal bias to the question of system development that they introduce problems and cause a successful system to fail. To paraphrase Larry Williams, I believe he said ' I could give you all my systems with step by step instructions but you wouldn't trade them. You would ignore some signals and then introduce new ones. You would do that because my systems wouldn't seem right to you. '

While one could imagine methods to increase the frequency of trades from APS perhaps that is missing one of the points of the results. High confidence trades come along infrequently and if a trader feels a psychological need to trade regurlarly then maybe they will start to introduce new signals and miss others.

Is there anything you have learnt from APS?

 

[jorune]

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.

 

[ZEPPO]

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.

 

[intradaybill]

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.

 

[ZEPPO]

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.

 

[ronblack]

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

 

[ZEPPO]

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.:idea:
Please keep commenting, I'm all eyes (well I'm reading this aren't I?).

Eduardo.

 

[mballagan]

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?

 

[ronblack]

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.:idea:
Please keep commenting, I'm all eyes (well I'm reading this aren't I?).

Eduardo.

I'm really excited because tradingpatterns finally came up with a solution for fully utilizing cpu power:

APS Automatic Pattern Search - Multiple CPU Running

Basically, if you have a quad core you can run 4 x APS, each exe looking for different patterns.

I may be able to use the program to do real-time scans in 15 minute bars. Very excited about this :clap:

Ron

 

[ZEPPO]

I'm really excited because tradingpatterns finally came up with a solution for fully utilizing cpu power:

APS Automatic Pattern Search - Multiple CPU Running

Basically, if you have a quad core you can run 4 x APS, each exe looking for different patterns.

I may be able to use the program to do real-time scans in 15 minute bars. Very excited about this :clap:

Ron

Well...er...it's a bit out of my depth, really; but someone who runs a fund, or even an arcade, could well use 22 computers for the pattern search.
I haven't got dual core - to tell the truth, I don't even know what that is! But it appears that M.Harris is going all the way to help traders, God bless him!
I've got an old Advent with a Pentium 4 and rather limited capital, so I won't be contacting M.Harris any time soon, but it is indeed a very welcome development as I would use that facility if I could.
Thank you for the link, Ron, I can see why you are so excited; enjoy the search (doesn't it tickle your hunting instincts?).

Eduardo.

 

[ronblack]

Well...er...it's a bit out of my depth, really; but someone who runs a fund, or even an arcade, could well use 22 computers for the pattern search.
Eduardo.

Eduardo, I was only thinking of getting two copies of the program to run in parallel on a dual-core CPU computer. I think 22 computers is the maximum number you can use to get the minimum possible execution time.

I have two computers, both have XP OS, 2 GB RAM and a dual 2 core 6600 CPU running at 2.40 GHz. I got them a year and a half ago and they are now considered old, if not obsolete. I use one for running APS and the other for real-time data, charting and other trading related tasks.

A dual-core integrates two processors on one CPU chip:

Dual Core Processors: Are Tow Really Better Than One?

Most software applications do not take advantage of multiple processors. I think the tradingpatterns solution is very clever.

Ron

 

[ZEPPO]

Eduardo, I was only thinking of getting two copies of the program to run in parallel on a dual-core CPU computer. I think 22 computers is the maximum number you can use to get the minimum possible execution time.

I have two computers, both have XP OS, 2 GB RAM and a dual 2 core 6600 CPU running at 2.40 GHz. I got them a year and a half ago and they are now considered old, if not obsolete. I use one for running APS and the other for real-time data, charting and other trading related tasks.

A dual-core integrates two processors on one CPU chip:

Dual Core Processors: Are Tow Really Better Than One?

Most software applications do not take advantage of multiple processors. I think the tradingpatterns solution is very clever.

Ron

Thank you for the link, Ron, I really need to get up to date with these computers things.
Yes, I agree with you, the people at Tradingpatterns.com are smart; then again, look at their leader - someone with a couple of master degrees is not my idea of a moron.
M. Harris also runs a fund, I believe, so he is bound to be sensitive to their needs (fund managers).
I agree with you, this latest development will benefit us all traders.

Eduardo.

 

[alexander]

I'm really excited because tradingpatterns finally came up with a solution for fully utilizing cpu power:

APS Automatic Pattern Search - Multiple CPU Running

Basically, if you have a quad core you can run 4 x APS, each exe looking for different patterns.

I may be able to use the program to do real-time scans in 15 minute bars. Very excited about this :clap:

Ron

Thanks for the info Ron.

Alex

 

[ronblack]

Thanks for the info Ron.

Alex

I tried a two-license custom version running on a dual 2 core PC over the weekend. You get the same results in about half the time. CPU utilization rises to 100% from the 50% you get when running just one license. Very neat!

Ron

 

[matifx]

I tried a two-license custom version running on a dual 2 core PC over the weekend. You get the same results in about half the time. CPU utilization rises to 100% from the 50% you get when running just one license. Very neat!

Ron

Hi Ron, do you mean that running two APS programs at the same time cuts the search time in half?

I don't get that.

Mati

 

[alexander]

Hi Ron, do you mean that running two APS programs at the same time cuts the search time in half?

I don't get that.

Mati

Mati, this can be accomplished if the work load is split in half. This is what they do. The divide the search space in two parts and each program searches in one of those parts. More details can be found at the developer website:

APS Automatic Pattern Search - Multiple CPU Running

Alex

 

[ronblack]

Which forex markets are you looking at for the 15 min timeframe and whats the profit target/stop loss please?

mballagan, have you used APS for forex patterns?

Ron

 

[mballagan]

mballagan, have you used APS for forex patterns?

Ron

Ron,

Yes I initially extracted patterns using APS for 1 hour GBPUSD data, using one year of data then forward testing on 3 months. I was using the OR condiition on the patterns to enter a trade but as you have mentioned on a previous post this is not a good approach. I'm currently looking for 2 or more signals on the same bar to enter a trade on the next bar. I am testing on EURUSD 4 hour bars and using the Metatrader forex trading platform and get some encouraging results with a 100pip profit/stop loss. I'm interested in which forex markets youre looking at in the 15 min timeframe and what profit/stop loss you recommend?

Thanks

M Ballagan

 

[ronblack]

Ron,

Yes I initially extracted patterns using APS for 1 hour GBPUSD data, using one year of data then forward testing on 3 months. I was using the OR condiition on the patterns to enter a trade but as you have mentioned on a previous post this is not a good approach. I'm currently looking for 2 or more signals on the same bar to enter a trade on the next bar. I am testing on EURUSD 4 hour bars and using the Metatrader forex trading platform and get some encouraging results with a 100pip profit/stop loss. I'm interested in which forex markets youre looking at in the 15 min timeframe and what profit/stop loss you recommend?

Thanks

M Ballagan

Sounds like a good approach. I would also recommend delayed entry patterns. After a lot of work I was able to get a good number of patterns for 15 min timeframe in EURUSD and 2 other pairs. Please allow me not to reveal my targets.

My system is a mix of regular and delayed entry patterns. I calculate the probability of a trade using a formula from statistics and based on signals delivered by the delay entry patterns followed by the regular patterns. In addition I have added two more TA indicators for confirmation and this works very well.

Keep in mind that to find a sufficient number of statistically significant 15 min patterns you need to search historical data with at leat 50,000 bars. The shorter the time frame the more bars you need in the file to get significant results. This takes a lot of time and I am seriously considering getting a quad core CPU machine and 4 APS licenses to run in parallel. The cost will be about $5,000 I was told by sales at tradingpatterns.com but if the system performs as expected I can recover it after a few trades.

Ron

 

[auto9817]

Hi Guys


I am working on Neural net at the moments and I found the high potential of neural net in forex market. I am particularly working on intermarket analysis for GBPUSD .

If any one ever wondered that a specific market looks like influence GBPUSD but you are not 100 % sure because it is only working in probablistic manner (sometimes working and sometimes not working) . Let me know I can use my net to find out more definite relationship or some hidden pattern between GBP USD and the market .

and I can share the knowledge with you guys or I can share the knowledge in Neural net

contact me on [email protected]