Deep Learning Price Action Lab™
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 analysis1. 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 strategies2.
There are three versions of DLPAL: DLPAL S, DLPAL DQ and DLPAL LS.
DLPAL S identifies parameter-less strategies in historical price data that fulfill user-defined performance statistics and risk/reward parameters. These strategies are also known as price patterns. 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 clusters3. Then, the program uses the extracted features in supervised learning mode to identify strategies and systems of strategies that fulfill the user objectives. DLPAL S generates code for strategies and systems for the Quantopian platform, Tradestation (EasyLanguage), Multicharts (EasyLanguage), NinjaTrader 7 and Amibroker AFL. Several validation methods are available for testing the significance of the results.
In 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.
Click here to download a fully-functional two-week free trial4.
DLPAL DQ has most of the functionality of DLPAL S but for the purposes of an EOD scanner. The program identifies parameter-less strategies in historical price data that fulfill user-defined performance statistics and risk/reward parameters as of the last bar in the input data files. These strategies are also known as price patterns. DLPAL DQ generates code for strategies and systems for the Quantopian platform, Tradestation (EasyLanguage), Multicharts (EasyLanguage), NinjaTrader 7 and Amibroker AFL. It also offers two validation methods.
DLPAL LS 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 long and short candidates in a universe of securities. The long/short identification is based on a set of calculated features and the user has flexibility in ranking the results according to their values. The output of the program can be saved in csv format and can be used in conjunction with trading platforms to automatically execute trades. For more details click here.
DLPAL LS is used to develop algorithmic and machine learning strategies for directional and long/short trading5. Users of the program can sort results based on different criteria and generate output for trading APIs. Historical files of features can be generated for backtesting the strategies and for machine learning.
For articles with examples using all three versions of DLPAL click here.
Click here to request free trials.
1. If a data-mining method exhibits stochasticity by generating different results each time it runs with same data and parameters then it cannot be cross-validated.
2. Monte Carlo simulation is not available because it is not an appropriate method when trading strategies are determined from the data and for this reason it can generate misleading results.
3. DLPAL does not use pre-programmed strategies as it is the case with some other commercial programs that work based on a database of patterns they apply on each case. DLPAL determined patterns from price action.
4. DLPAL S and DLPAL DQ free trials are for two weeks. The program user can generate unlimited strategies and test them with the code program generates.
5. DLPAL LS is available only to hedge funds.