Tag Archives: Machine generation of trading systems

Forward Performance of Machine Designed Trading Systems For 2012

Posted on March 3, 2013 by Michael Harris

Forward performance testing is considered the third and often the final stage before employing a trading system in actual trading. The first two stages usually involve the in-sample and out-of-sample testing. This is a report of the forward performance of trading systems for … Continue reading →

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The Price Action Lab SPY2p5 System Outperformed the Market in 2012

Posted on January 11, 2013 by Price Action Lab

The SPY2p5 system, which was generated by Price Action Lab on April 7, 2012, outperformed the market in 2012 by a wide margin.

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Price Patterns With Delayed Entry

Posted on December 18, 2012 by Price Action Lab

The introduction of a delay in the entry of a position after a price pattern is formed can under certain circumstances act as a filter of price corrections that often follow. In the absence of a delay, positions may suffer an immediate … Continue reading →

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Machine Designed High Reward-Risk SPY Trading System

Posted on October 5, 2012 by Michael Harris

In this example of machine generation of trading systems, the steps are presented for discovering price patterns with a high reward-risk ratio for SPY using the Price Action Lab search function. The in-sample results are tested on a portfolio of ETFs and also cross-validated in an out-of-sample to eliminate … Continue reading →

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Developing Mean Reverting Systems with Price Action Lab

Posted on September 28, 2012 by Michael Harris

In this post I will discuss for the benefit of Price Action Lab users how the program can be used to find trading systems with mean-reverting performance. The specific notion of mean reversion that will be used in the examples is that of … Continue reading →

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Portfolio Backtest and Cross-validation of Machine Designed Trading Strategies

Posted on August 11, 2012 by Michael Harris

It is easy for trading system developers to be fooled by randomness especially when the underline process that is used for discovering the trading systems is in itself inherently random. Out-of-sample testing is not enough to guarantee statistical significance of any results obtained because … Continue reading →

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Report of the Forward Performance of Machine Designed Trading Systems

Posted on July 23, 2012 by Price Action Lab

This is a report of the forward performance of machine designed trading strategies for SPY, QQQ and DIA using Price Action Lab. We call “forward performance” the results obtained for the systems after the end of the out-of-sample period used during the development phase. These … Continue reading →

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Automated Discovery of Trading Systems

Posted on June 25, 2012 by Price Action Lab

There are many ways of accomplishing automated trading strategy discovery. The idea is simple in principle and I have described it in more detail in my (out-of-print) books since 1999. In a nutshell, historical data series are used to discover robust … Continue reading →

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Machine Generated GBPUSD Patterns and Trading Systems

Posted on June 6, 2012 by Price Action Lab

In this example of machine generation of trading systems, the steps are presented for discovering price patterns to develop a position trading system for GBPUSD spot currency. The patterns are discovered using the Price Action Lab search function in an in-sample of daily historical data. The in-sample results … Continue reading →

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Machine Generated DIA Patterns and Trading Systems

Posted on May 27, 2012 by Price Action Lab

The steps are presented here for discovering price patterns in DIA (SPDR Dow Jones Industrial Average) historical daily data using the Price Action Lab search function, testing the results in an out-of-sample and then creating a trading system. It is shown that Price Action Lab can identify … Continue reading →

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