Machine Learning with algoTraderJo
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Thread: Machine Learning with algoTraderJo

  1. #1
    Hello fellow traders,

    I am starting this thread expecting to share with you a few of my improvements within the field of machine learning. Although I might not talk with you exact systems or coding implementations (don't expect to get anything to plug-and-play and get rich from this thread) I'll share with you thoughts, results of my experimentation and maybe other aspects of my work. I am starting this thread in the hopes that we will be able to share ideas and help each other improve our implementations. I will start with some simple machine learning egies and will subsequently enter more complex stuff as time goes on. Hope you enjoy the ride!

  2. #2
    Sorry - ignore me - it was clearly too late at night once I was posting!

    So - that the drawdown on the charts isn't the drawdown in terms of equity of the currently open position - it's a measure of the fall from the summit of the equilibrium graph!

  3. #3
    Sorry - ignore me - it was clearly too late at night once I was posting!

    So - that the drawdown on the charts isn't the drawdown in terms of equity of the currently open position - it's a measure of the fall from the summit of the equilibrium graph!

  4. #4
    Very interesting thread. I have just begun working on mining patterns based on candlestick formation from historical information and extract those that replicate often and generate function to create footprints for those patterns.

  5. #5
    Quote Originally Posted by ;
    Very interesting thread. I have just begun working on mining patterns based on candlestick formation from historic information and extract those that replicate often and generate function to create footprints for those patterns.
    Hello R.a,

    I'm curious about that which ML platform and coding language you're using to your pattern mining for those candlesticks...?

    Are you currently using a turn key package or building the modules yourself...?

    And do you please share a bit more about creating footprints for the candlestick patterns and how you may use them...?

    Meanwhile. . .as a novice with ML...I have played a bit with ML and candlesticks. . .using Orange ML, Encog, and Deep Thought ML.

    The previous two did have API's to connect with MT4 for Forex trading. . .but neither needed a fantastic GUI to help build and test the algorithm's. They required a lot of command line operations every time you wanted to alter something. . .so I didn't get much with the candlestick testing with these progr.

    Also. . .time series forecasting wasn't too powerful for me. . .so I believe you're on the right track to look for certain patterns in the market together with the candlesticks. . .and not just try time series analysis by itself.

    To help your candlestick research...I'm including my short collection of candlestick related ML posts for your review.

    I especially enjoy Bulkowski's Candlestick website at the bottom of the list. . .as he provides an excellent starting place for candlestick research. . .including a statistical analysis of recurring candlesticks. . .and you are able to use these stats to help determine which candlestick patterns you may want to look for with your ML algo's.

    I hope they help you in your ML jobs...

    Take good care of
    Robert

    CANDLESTICKS Research
    http://www.investopedia.com/articles...ndlesticks.asp
    http://www.heatonresearch.com/node/2304
    http://stock-market-forecast.blogspo...ndlestick.html
    http://ijidm.org/wp-content/uploads/...-10-leslie.pdf
    http://www.nirvanasystems.com/nirvan...ch/CANN-NN.asp
    http://tcf.pages.tcnj.edu/files/2013...rket-turns.pdf
    https://www.lri.fr/~hansen/proceedin...nion/p1533.pdf
    https://books.google.com/books?id=4a...al netsf=false
    http://intelligenttradingtech.blogsp...k-pattern.html
    http://www.diva-portal.org/smash/get...FULLTEXT01.pdf
    http://www.sersc.org/journals/IJHIT/vol5_no3_2012/6.pdf
    https://www.mql5.com/en/articles/1374
    http://knowledgebase.mta.org/?fuseac...8E02ED11E13A82
    http://traders.com/Documentation/FEE...adersTips.html
    http://www.devx.com/opensource/Article/44014
    http://thepatternsite.com/CandleEntry.html

  6. #6

  7. #7
    Quote Originally Posted by ;
    quote Hello, I'm curious about that which ML platform and coding language you're using for your pattern mining for the candlesticks...? Are you having a turn key package or building yourself...? And would you please share a bit more about creating footprints for the candlestick patterns and how you might use them...? In the meantime. . .as a novice with ML...I've played a bit with ML and candlesticks. . .using Orange ML, Deep Thought ML, and Encog. The last two did have API's to join with MT4 for Forex trading. . .but neither...
    I have not used any ML platform nonetheless. I just started with a dukas backup and C# but had to pause it for now.

    My strategy basically is to not mine all patterns but according to predefined targets. I segregate the OHLC information based on the size, something like 30-40 pips, 40-50 pips and so forth.

    The idea is to recognize only the important events and reduce the complexity. Together with the targets identified and filtered (it would be hardly any ), backtrack'n' candles to check the build-up/formation of their goal and extract all such string (those that fit the leadership of their'n' prior candles ). Then each of the pattern could be compared statistically to determine just how similarly close they are. The last step would be to generate the footprints which actually caused the build-up of their aims.

  8. #8
    Quote Originally Posted by ;
    quote I have not used any ML platform nonetheless. I just started using a dukas copy and C# but had to pause it for now. My strategy basically is not to mine all of patterns but based on predefined goals. I first segregate the OHLC data dependent on the size, something like 30-40 pips, 40-50 pips and so on. The concept is to identify only the essential events and reduce the complexity. With the goals identified and filtered (it would be very few), backtrack'n' candles to check the build-up/formation of their goal and then extract all of such series(those that match...
    Hi R.a.,

    Thank you for sharing your set up. I was hoping to obtain some Python packages for Forex trading with a good GUI. Good luck on creating your C# system and please share any upgrades you get excited about...!

    The post posted by Olsen-yersen (thanks Olsen) had an intriguing candle set up which could work for you locating your candle footprints...

    Not sure how ML was utilized for finding that sort of candle pattern. . .but the article shows the candle code for several of trading platforms including Metatrader.

    And that I did find a trading system which uses that candle pattern that shows a good backtest profit curve....called The Gandalf Project Research System.
    Https://www.tradingview.com/script/Z...esearch-System

    For comparisons of the candle code to get a few trading platforms... that I am just showing the CANDLE ENTRY codes below...

    TradeStation Code
    //******* SETUP ENTRY GANDALF PATTERN *******
    if ( AveragePrice[AP1] lt; MedPrice[MP1] and MedPrice[MP2] lt;= AveragePrice[AP2] and MedBodyPrice[MBP1] lt;= AveragePrice[AP3] )
    or ( AveragePrice[AP4] lt; MedPrice[MP3] and MedBodyPrice[MBP2] lt; MedPrice[MP4] and MedBodyPrice[MBP3] lt; MedBodyPrice[MBP4] ) then

    MetaTrader Code
    Entry Formula:
    avgp:= (open high low close)/4;
    medp:= (high low)/2;
    medbp:= (open close)/two;
    entrySignal:=
    (Ref(avgp lt; medp, -1) AND ref(medp,-2) lt;= ref(avgp,-1) AND ref(medbp,-2) lt;= ref(avgp, -3))
    OR (ref(avgp,-1) lt; ref(medp, -3) AND ref(medbp,-1) lt; ref(medp, -2) AND ref(medbp,-1) lt; ref(medbp, -2));
    ref(entrySignal, -1)

    In certain respects it looks like a few basic candle signal for comparing past candle sizes...

    For the ML...I am assuming that a genetic algo was utilized. . .but I haven't seen the first article to be sure (needs paid subscription?) ...

    Also thanks to algoTraderJo for this ML thread. I hope to have the ability to replie his good work as others have done.

    Good luck and good fun to all...!
    Robert

  9. #9
    Are there some Asikury members here? Any idea where to get a documentation of this F4 framework to get an overview?

  10. #10
    Quote Originally Posted by ;
    That is an algo I like, it's been trading for a little more than a year now for meimage It utilizes a two algo linear classifier ensemble. I post the csv for this particular system, if anybody wishes to research it more. file
    That is my system's return within the period 1988-2017. I have still to work a bit for reducing the nasty drawdowns, but you can view this is considerably better performing compared to Kantu-generated one.

    Open to discussion

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