Deep Learning Price Action Lab™
DLPAL is based on a proprietary deep learning algorithm that produces the same output each time it encounters the same market conditions. This determinism and the absence of stochasticity are in compliance with the standards of scientific testing and analysis. DLPAL minimizes data-mining and data-snooping bias through the use of a proprietary unsupervised learning method for feature extraction and selection. Several functions are available for validation of the results including a randomization tool for ranking the performance of strategies.
Deep Learning Price Action Lab (DLPAL) identifies strategies in historical price data that fulfill user-defined performance statistics and risk/reward parameters. The program uses primitive attributes of price action, and specifically the open, high, low and close, to extract features types in an unsupervised learning mode based on general feature clusters. Then, the program uses the extracted features in supervised learning mode to identify strategies and systems of strategies that fulfill the user objectives.
DLPAL offers three main functions: (1) Search, (2) Scan and (3) P-Indicator .
Function (1) is used to search for strategies in historical data of any timeframe. The strategies can be grouped into systems. The program can generate strategy and system code for a number of popular trading platforms. For the daily timeframe, the system tracking module of the program can be used to monitor signal generation of the strategies and systems going forward in time and as new data are available. When function (1) of the program is used, DLPAL becomes a meta-system that discovers trading systems.
Function (2) can be used as a scanner to determine whether there are strategies that fulfill the user-defined criteria as of the close of the most recent bar in historical data. The difference between functions (1) and (2) is that (2) finds only those strategies that fulfill the user-defined criteria as of the most recent bar.
Function (3) calculates the values of the p-Indicator, which is one of the most advanced technical analysis indicators ever developed. The values can be used as an indication of the probability of the direction of short-term moves. The p-indicator output of DLPAL has been used by fund managers around the world in conjunction with machine learning algorithms, such as Support Vector Machines, to identify short term opportunities in the markets, including long/short pairs for market neutral strategies. For an example click here.
Below is a diagram of the functions of DLPAL:
Deep Learning Price Action Lab generates code for strategies and systems for the Quantopian platform, Tradestation (EasyLanguage), Multicharts (EasyLanguage), NinjaTrader 7 and Amibroker AFL.