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pattern matching

  • #21
  • Jan 27, 2010 2:07pm Jan 27, 2010 2:07pm
  •  sloof
  • | Joined Apr 2009 | Status: Birejji (ビレッジ) ►FOREX◄ | 141 Posts
Quoting 7bit
I just uploaded new versions of

patternmatcher.mq4
patterndesigner.mq4
patternmatcher.common.mqh

to the first posting in this thread.

I changed the algorithm how the pattern is scaled into the rectangle of prices and at the same time removed all restrictions to the co-domain of the function or the value of f(0). Your function values may now reach from ±<whatever> to ±<whatever_else>, it will always be correctly scaled to the prices. This should make pattern design a lot easier. The only convention that...
I got this idea while going to school on the train lol

Wouldn't it be awesome to be able to instantly copy price within a set time period into a pattern?

Example: you know how you have the pattern designer where you can drag the vertical lines and it automatically scales the pattern. Well what if you could drag it and it automatically converts the price between the two vertical lines and saves that pattern.

I thought about it and it could be possible to make
  • #22
  • Jan 27, 2010 2:27pm Jan 27, 2010 2:27pm
Quoting sloof
Wouldn't it be awesome to be able to instantly copy price within a set time period into a pattern?
I am also thinking about such a featue. Maybe by defining important turning points (to ignore meaningless noise) by placing price labels in the chart.

Maybe also the Eureqa program we recently discussed could be used to find pattern functions, maybe an export feature of selected price ranges into the Eureqa format with x values already scaled to [0,100] would be useful.
  • #23
  • Jan 27, 2010 2:41pm Jan 27, 2010 2:41pm
I'm not sure if you have heard of the Delta Phenomenon, but I've been using Eureqa to try and model future turning points. I'm currently accurate +/- 5 days, and I'm trying to shrink that figure to a more usable 1 hour window of opportunity.

The main problem I'm having is finding a way to automatically interpret a local maximum and local minimum and plot that as +1 and -1 so Eureqa can generate a simple sinusoidal function to predict turning points in the future.

Another possibility to consider in terms of pattern-finding is a self-organizing-map. I'll attach it once I return to my main computer.
  • #24
  • Jan 27, 2010 5:54pm Jan 27, 2010 5:54pm
Quoting 7bit
.

If somebody here is willing to help me find and test better pattern shapes then he can find the complete source code attached to this posting.
Hi 7bit,

What you need to take a look at is the Autochartist.They have developed a software, as well they have adapted a plug-in for MT4. With Autochartist, you are notified of 15 of the most popular patterns, such as flags, pennants, wedges and more, as well as Fibonacci-based patterns like ABCD, three-drive, Fibonacci extensions and retracements. In addition, includes exclusive patterns, butterfly and Gartley, which have proven to be beneficial methods for finding high-probability trades.

You can sign up for 2 weeks free trial, open account with the listed brokers or just buy it.

http://autochartist.com/index.php/en...-software.html
Don't be afraid your life will end; be afraid that it will never begin.
  • #25
  • Jan 27, 2010 8:21pm Jan 27, 2010 8:21pm
  •  sloof
  • | Joined Apr 2009 | Status: Birejji (ビレッジ) ►FOREX◄ | 141 Posts
Quoting Ronald Raygun
I'm not sure if you have heard of the Delta Phenomenon, but I've been using Eureqa to try and model future turning points. I'm currently accurate +/- 5 days, and I'm trying to shrink that figure to a more usable 1 hour window of opportunity.

The main problem I'm having is finding a way to automatically interpret a local maximum and local minimum and plot that as +1 and -1 so Eureqa can generate a simple sinusoidal function to predict turning points in the future.

Another possibility to consider in terms of pattern-finding is a self-organizing-map....
that's exactly what i've been trying... I don't think I can predict exact turning points, but I can somewhat predict direction

and what I can predict is when turning points are most likely to happen
  • #26
  • Jan 27, 2010 8:58pm Jan 27, 2010 8:58pm
Inserted Code
double pattern(double x){
   x -= 20;
   return (x * x);
}
stop 0.4
target 0.3
error 0.1
max_orders 3
reverse True
GBPUSD H1, Jan. 2009 until now.

still trying to further optimize. (hint: you can make constants in the pattern function itself external parameters to optimize the pattern shape with the optimizer)

Attached Image (click to enlarge)
Click to Enlarge Name: square.png Size: 59 KB
  • #27
  • Jan 27, 2010 9:16pm Jan 27, 2010 9:16pm
Tomorrow i will add an optional feature to place pending orders at certain levels when a pattern is detected instead of directly opening a market order.
  • #28
  • Jan 28, 2010 9:35am Jan 28, 2010 9:35am
Quoting vardarski
What you need to take a look at is the Autochartist.
Thanks, but I'm not interested.

I know this service, i even had a demo from them a few months back (since this time i have their patterns along with their advertising in my email inbox every week).

Installing the Autochartist client doesn't help me, since it is a proprietary service running on their servers, I don't know (and they won't tell me) how it works.

What I need is my own scanner, that will scan for the patterns I am looking for. I don't want the most central element of a trading strategy (identifying the trade setups) to be completely dependent on a commercial service, not even running on my own computers.

I learned the skill of programming to make my computers do what I want instead of solely depending on other people's programs that only let my computer do what they want (and not even tell me how they do it).
  • #29
  • Jan 28, 2010 3:15pm Jan 28, 2010 3:15pm
7bit,

Thanks for the good work.When I compile the patterndesigner.mq4 file or patternmatcher.mq4 file it keeps giving error '' 'patternmatcher.common.mqh' - cannot open the program file C/Documents and Settings/***/Local Settings/Temporary Internet Files/Content.IE5/O7ZIABUM/patternmatcher[1].mq4 (26, 1)

Why does it try to read the file from temporary internet files?Any suggestion to solve this?
Also have you considered harmonic patterns(gartley, bat etc.)?Thanks.
  • #30
  • Jan 28, 2010 4:23pm Jan 28, 2010 4:23pm
Quoting purley
When I compile the patterndesigner.mq4 file or patternmatcher.mq4 file it keeps giving error '' 'patternmatcher.common.mqh' - cannot open the program file C/Documents and Settings/***/Local Settings/Temporary Internet Files/Content.IE5/O7ZIABUM/patternmatcher[1].mq4 (26, 1)
Why does it try to read the file from temporary internet files?Any suggestion to solve this?
This is strange. The three .mqh files (include files) should all be in metatrader's experts/include folder. Windows does strange things when it doesn't have write access in this folder, instead of simply throwing an error message it tries to redirect file access to some strange locations somewhere else on your harddrive, causing endless confusion.

You always should install all of metatrader into a folder where you have write access (somewhere inside "my documents" for example or on another harddrive), Metatrader is not meant to be installed into c:/program files, although the installer will do this by default. The metaquotes people were not smart enough to figure out (although they had more than 10 years of time) how the directory structure of any windows version released after 1995 looks like, where to write data and where to read only, and the microsoft people didn't have balls hard enough to throw error messages whenever a program developed by such not so smart people (metaquotes) tries to write files where it shouldn't.

The end result is that you as the innocent user have to suffer from the results of this epic incompetence and failure on all levels.

You either have to run MT4 as administrator, or make it's install folder writable by the user or install it somewhere where the user has write access from the beginning on or figure out to where windows will silently redirect any forbidden write access to figure out where the mq4/mqh files have to go.

I personally prefer the installation of MT4 into a user-writable folder.

Quoting purley
Also have you considered harmonic patterns(gartley, bat etc.)?Thanks.
Yes, this might be possible, but I'm no expert with these patterns, so I haven't tried it yet.
  • #31
  • Jan 29, 2010 9:50am Jan 29, 2010 9:50am
I'm going to rewrite patternmatcher.common and the pattern function itself in Pascal before i continue.

With the incredible slowness of mql4 it is almost impossible to do any reasonable number of backtests and parameter optimizations without dying from facioplegia before seeing any results. The only solution i see is having the pattern search with its two big nested loops running as optimized native machine code.

You will need to install Lazarus to modify the pattern functions and recompile the dll.
  • #32
  • Edited 9:16pm Jan 30, 2010 4:28pm | Edited 9:16pm
Today I will continue my monologue¹ here with a complete rewrite of all performance critical routines including the pattern function itself in an efficient systems programming language, compiled into a dll.

Attached is a zip file containing the following files:

patterntrader.mq4 the EA itself, it belongs into experts
pattern.mqh belongs into experts/include.
common_functions.mqh belongs into experts/include

pattern.lpi and pattern.lpr these two files are the Lazarus project and the source code of the dll. Put these two together into a separate folder somewhere on your desktop or elsewhere, then open the .lpi file in Lazarus and compile the project. The resulting pattern.dll belongs into experts/libraries.

I have made myself a few batch files for shutting down metatrader, copying the compiled dll over to the correct location and restarting metatrader, everytime i have compiled a new version.

The performance boost resulting from this rewrite is phenomenal. A backtest that would have taken half an hour with the old version is now completed in only two seconds. Parameter optimization within reasonable time is now possible.

Any comments?

_______
¹) at least i will find copies of all my source files again in case of a hard disk failure if i keep posting all my stuff somewhere on the web.
Attached File(s)
File Type: zip patterntrader.zip   25 KB | 913 downloads
  • #33
  • Jan 30, 2010 7:45pm Jan 30, 2010 7:45pm
I got compiling errors. Missing pattern.o

OCS2010
  • #34
  • Edited 8:58pm Jan 30, 2010 8:42pm | Edited 8:58pm
Quoting Ocs2010
I got compiling errors. Missing pattern.o
Huh? I have never seen this before. Maybe there are some absolute paths from my installation left in the project file somehow? the .o file should be created during compilation inside a folder called "lib". I have no idea what causes this to fail. Maybe create a new empty project and copy only the source code over and then try again, but this shouldn't be necessary. Normally, if you open (or double-click) the project file (.lpi) then it should just work.

I have made a clean fresh project file and replaced the zip archive above. Please download again and use the pattern.lpi file provided in this archive.
  • #35
  • Jan 31, 2010 8:48am Jan 31, 2010 8:48am
Please attach pattern.dll. I don't have Lazarus and don't know how to use it.
  • #36
  • Edited 11:39am Jan 31, 2010 10:31am | Edited 11:39am
Quoting Graff
Please attach pattern.dll. I don't have Lazarus and don't know how to use it.
Sorry, but this is a thread about the development of pattern functions for this EA and the intended audience are people who don't fear the direct contact with source code, IDEs and compilers. The pattern function cannot be changed without modifying the Pascal source code and recompiling the dll and I do not yet have a good pattern function. I need you all to help finding one! Currently this EA is nothing more than a framework to test such patterns, don't expect it to be already profitable!

The Lazrus IDE is free open source software, it is the de-facto standard for ObectPascal development nowadays (besides its commercial counterpart Delphi). The IDE is easy to install and easy to use and should be no problem for any programmer to get familiar with most of its functions in less than 2 minutes plus another 15 minutes to learn the basics of the Pascal language. The older semesters [35..99] amongst the programmers, those with the long gray beards, who have personally witnessed the glorious early days and/or still hold the great wisdom of the elders, should already be familiar with all of the above or remember most of it in less than 30 seconds.

I intentionally do not provide the compiled binary to filter away all the freeloaders from the very beginning on. A working EA based on this idea has to be paid with many hours of learning, understanding and applying the concepts and a working pattern function for this EA has yet to be found. This is a cruel world, there is no free lunch.

This may sound arrogant but I think i have paid for the right to enter this standpoint with enough years of hard work and learning. This does not mean that i am not willing to share my knowledge to people willing to go the same route. We may for example create a separate thread in this forum to discuss the usage of Lazarus/FPC and the ObjectPascal language in general and for the creation of metatrader DLLs in great depth and i would share everything i know about this topic, but not in this thread.
  • #37
  • Jan 31, 2010 10:46am Jan 31, 2010 10:46am
I have successfully compiled dll. Thx for your work.
  • #38
  • Jan 31, 2010 1:23pm Jan 31, 2010 1:23pm
Quoting Graff
I have successfully compiled dll.
Now try to modify the function pattern() in the dll so that it's function plot would form the shape of the pattern that you would like to search in the chart, recompile the dll, adjust the sensivity by changing the max_error value, do backtests and analyze the chart after the backtest to see if (and where) your pattern is found, what price will usually do after such a pattern is found, adjust trade direction, stop and target level, refine the pattern shape and compile again and try to find something profitable.
  • #39
  • Feb 1, 2010 3:02pm Feb 1, 2010 3:02pm
  •  sloof
  • | Joined Apr 2009 | Status: Birejji (ビレッジ) ►FOREX◄ | 141 Posts
whoa! I've been away for like a week and a new version is out?

Quote
The performance boost resulting from this rewrite is phenomenal.

NIIIIIIICE!!!!! Any other improvements? I'll try out the new version soon.
  • #40
  • Feb 1, 2010 4:05pm Feb 1, 2010 4:05pm
  •  sloof
  • | Joined Apr 2009 | Status: Birejji (ビレッジ) ►FOREX◄ | 141 Posts
I have a Q... is it possible to see if something contains fractals? Like can any programs do this? (sorry if it seems off topic)
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