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Pattern-Finding EA

  • #1
  • First Post: Oct 20, 2012 9:40pm Oct 20, 2012 9:40pm
Hey everyone,

I know it's been awhile since I released a new EA on this forum. I've been refining the problem I had when it comes to pattern-finding, and I have a preliminary solution.

What this EA does is it takes the moving average value of the x most recent bars on the chart. The EA then scans backward on the chart looking for that same number of bars with a similar moving average shape--measured using a simple correlation formula.

When the correlation ratio is above a certain threshold, the EA gets y number of bars following the matching set of bars and projects that into the future of the chart, creating something like the picture below.

http://content.screencast.com/users/...10-20_2227.png

Whenever there is a projection on the chart, the EA will calculate the rick reward ratio for a long trade and a short trade with the expectation that the price will reach the extreme of the projection. There are settings that are used to add a buffer based on a percentage of that projection.

I am releasing this EA into the wild in an attempt to improve it. The pattern recognition method is crude at best, but far more accurate than my previous attempt. This EA has been released as a favor to you, and in return, I would appreciate efforts to identify proven ways to improve this EA.

Here are the appropriate descriptions of the settings unique to this EA:

 

  1. extern int WindowLength = 20;

    1. This is the number of bars that the EA will try to find a match for in the history.

  2. extern int PredictionLength = 10;

    1. This is the number of bars after a matched set that the EA will project into the future

  3. extern int SearchLength = 100000;

    1. This is the number of bars to search.

  4. extern int MAPeriod = 1;

    1. This is the number of bars against which to calculate the moving average

  5. extern int MAPrice = PRICE_CLOSE;

    1. This is the price used to generate the moving average. Each number is associated with a price as found here http://docs.mql4.com/constants/prices

  6. extern int TopResults = 10;

    1. This is the maximum number of results to overlay for projecting into the future.

  7. extern double MinCorr = 0.90;

    1. This is the minimum correlation to consider a result for projecting into the future.

  8. extern double TPBuffer = 0.20;

    1. The is the percentage of the future range that the take profit will be reduced by.

  9. extern double SLBuffer = 0.10;

    1. This is the percentage of the future range that the stop loss will be increased by.

  10. extern double MinRR = 2;

    1. This is the minimum Reward / Risk ratio that the EA will place trades against.



WARNING: This EA is HIGHLY Experimental
Use at Your Own Risk

Attached File(s)
File Type: mq4 PatternFinding Correlation.mq4   25 KB | 4,649 downloads
  • #2
  • Edited 10:46pm Oct 20, 2012 9:44pm | Edited 10:46pm
Thanks a lot
Its a Pattern data mining
  • #3
  • Oct 21, 2012 12:58am Oct 21, 2012 12:58am
does it also place trades on its own? can we disable the trading function?thanks.
  • #4
  • Oct 21, 2012 1:16am Oct 21, 2012 1:16am
very cool share, RR. Will check it out.
  • #5
  • Oct 21, 2012 6:19am Oct 21, 2012 6:19am
Quoting Coolleen
does it also place trades on its own? can we disable the trading function?thanks.
Set lot size to 0
  • #6
  • Oct 21, 2012 7:04am Oct 21, 2012 7:04am
Thanks for sharing Ronald. It sure looks interesting. Got a question, how good is the accuracy of the pattern projection on future base on history bars? Will the amount of X bars looked behind help to improve the projection better?
  • #7
  • Oct 21, 2012 7:12am Oct 21, 2012 7:12am
Quoting jacktrader1
Thanks for sharing Ronald. It sure looks interesting. Got a question, how good is the accuracy of the pattern projection on future base on history bars? Will the amount of X bars looked behind help to improve the projection better?
That part is elusive.

The projection bars are a collection of the bars following the matched pattern. So if I were to overlay the bars following every matched pattern, I would come up with that projection.

As for the source data, generally matches are found close to the present, but I do leave open the possibility that matches can also happen far in the past.
  • #8
  • Oct 21, 2012 12:14pm Oct 21, 2012 12:14pm
RR, what would happen if it was left to run for the next 1000 bars uninterrupted? Does it differentiate between historical bars and live ones? And can it learn from its mistakes?
To improve is to change. To perfect, is to change often.
  • #9
  • Oct 21, 2012 1:28pm Oct 21, 2012 1:28pm
A suggestion, maybe you should show where the match was visually so that people can evaluate the matching criteria as well.

Certainly an interesting idea, well done


Mike Haran
  • #10
  • Oct 21, 2012 2:32pm Oct 21, 2012 2:32pm
Quoting Mike Haran
A suggestion, maybe you should show where the match was visually so that people can evaluate the matching criteria as well.

Certainly an interesting idea, well done


Mike Haran
agree with the suggestion...

agree even more that RR ideas are outstanding.
  • #11
  • Oct 21, 2012 3:33pm Oct 21, 2012 3:33pm
Thanks for sharing
  • #12
  • Oct 21, 2012 3:49pm Oct 21, 2012 3:49pm
Quoting forexhard
RR, what would happen if it was left to run for the next 1000 bars uninterrupted? Does it differentiate between historical bars and live ones? And can it learn from its mistakes?

  1. The EA will create new predictions based on the new information coming in.
  2. Yes--thats how it works.
  3. No, I'm not sure how to implement that sort of 'learning'

Quoting Mike Haran
A suggestion, maybe you should show where the match was visually so that people can evaluate the matching criteria as well.

Certainly an interesting idea, well done


Mike Haran

See attachment. There will be blue rectangles around areas that match closely based on their simple correlation with the seed bars.
Attached File(s)
File Type: mq4 PatternFinding Correlation.mq4   26 KB | 2,971 downloads
  • #13
  • Oct 21, 2012 4:42pm Oct 21, 2012 4:42pm
hi rr

Nice idea. What happens when you have multiple > 90% correlation within the search history? You choose the latest one to extrapolate
into the future?
  • #14
  • Oct 21, 2012 4:56pm Oct 21, 2012 4:56pm
Quoting forexhard
RR, what would happen if it was left to run for the next 1000 bars uninterrupted? Does it differentiate between historical bars and live ones? And can it learn from its mistakes?
learning from mistakes sounds like a nn or gn issue. A learning algorithm tries to smooth out results based on your criteria. In this case after a pattern is found it can be used as an input with the output being how well the pattern was predicted based on criteria. A crude criteria would be that if pattern predicts a bear and price closes below the open if the prediction bar then it is labelled as success otherwise failure.

Using that approach you can train previous patterns before going live and enter on say patterns with 90% correlation and 90% expectancy to go your direction.

Learning algorithms are good to average results such that you can determine with some confidence if a setup will be good or not. Overtraining will lead to very few trades and undertraining will render it useless. Might be suitable application for this method as it relies on averages which might used in combjnation with tge correlation formula might be able to crunch
over larger datasets in less time to determine profitable trade setups...
  • #15
  • Oct 21, 2012 6:30pm Oct 21, 2012 6:30pm
Quoting sidhujag
hi rr

Nice idea. What happens when you have multiple > 90% correlation within the search history? You choose the latest one to extrapolate
into the future?
The EA combines all of the solutions into a composite and projects that into the future.
  • #16
  • Oct 21, 2012 6:44pm Oct 21, 2012 6:44pm
Quoting Ronald Raygun
The EA combines all of the solutions into a composite and projects that into the future.
composite as in sum of all found patterns?
  • #17
  • Oct 21, 2012 6:48pm Oct 21, 2012 6:48pm
Quoting sidhujag
composite as in sum of all found patterns?
Sum in the sense that every pattern is projected over each other then combined.
  • #18
  • Oct 21, 2012 6:59pm Oct 21, 2012 6:59pm
Quoting Ronald Raygun
Sum in the sense that every pattern is projected over each other then combined.
yup sounds logical i guess. So if two patterns match current pa and one eas projected bearish while other was bullish you would project a big mess lol so which way woukd the ea trade? Use close of last projected bar relative to close of current last bar of live pa?
  • #19
  • Oct 21, 2012 7:40pm Oct 21, 2012 7:40pm
Quoting sidhujag
yup sounds logical i guess. So if two patterns match current pa and one eas projected bearish while other was bullish you would project a big mess lol so which way woukd the ea trade? Use close of last projected bar relative to close of current last bar of live pa?
It wouldn't because there is no favorable bias.

The EA calculates the risk reward of a long trade and a short trade using the extremes of the projection as price targets (minus the buffers). If the risk reward is below a certain threshold, it does not trade.
  • #20
  • Oct 21, 2012 9:01pm Oct 21, 2012 9:01pm
Quoting Ronald Raygun
It wouldn't because there is no favorable bias.

The EA calculates the risk reward of a long trade and a short trade using the extremes of the projection as price targets (minus the buffers). If the risk reward is below a certain threshold, it does not trade.
I see sounds good will test it out
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