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Polynomial Pattern Recognition and Forecasting Indicator (www.mooretechllc.com)


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Polynomial Pattern Recognition and Forecasting Indicator (www.mooretechllc.com)

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  #1 (permalink)
 RodS 
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Has anyone looked at this before. They uses polynomials within a specific length and compares it historically for projections for future movements.

Here is the link to the video: YouTube - ‪Polynomial Pattern Recognition and Price Forecasting Indicator for NinjaTrader‬‏

Looks very interesting!

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 Fat Tails 
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RodS View Post
Has anyone looked at this before. They uses polynomials within a specific length and compares it historically for projections for future movements.

Here is the link to the video: YouTube - ‪Polynomial Pattern Recognition and Price Forecasting Indicator for NinjaTrader‬‏

Looks very interesting!

The problem with a polynomial approach is that it really assumes that the price-time-series can be described by a continuous function. However, price behaves in a different way, as it is takes a fractal structure. So my first reaction to that idea is negative, but of course, I can be wrong.

Best, check it and make various backtests by using it, and you will know.

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 GoldStandard 
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RodS View Post
Has anyone looked at this before. They uses polynomials within a specific length and compares it historically for projections for future movements.

Here is the link to the video: YouTube - ‪Polynomial Pattern Recognition and Price Forecasting Indicator for NinjaTrader‬‏

Looks very interesting!


In the video he finds 10 recent price patterns similar to the current one and averages the results of what happened next. It seems questionable to me that this information would have any bearing on what happens next, or if it does, whether 10 examples is enough to be meaningful.

He doesn't even actually claim that it has any utility in trading, though, or show any backtesting results.

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 RodS 
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Quoting 
The problem with a polynomial approach is that it really assumes that the price-time-series can be described by a continuous function. However, price behaves in a different way, as it is takes a fractal structure. So my first reaction to that idea is negative, but of course, I can be wrong.

Is this actually time based? He states that it works just as well with any type charts. It appears he is comparing like polynomial equations from the slope of the line over a certain length. He does say that he has only tested this for the last 3 months. So no his history is limited.

I just think it is a unique approach to look at the market. Plus could this be a way to measure price action? If the slope of a line that forms a head and shoulder pattern can be measured and similar can be found using the same slope.... doesn't this give us a trade able pattern? A cup and handle? Double top or double bottom?

I don't know I am not that smart...I leave this to the Fat Tails and Big Mikes of the group....but it does make some sense?

Rod

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 ThatManFromTexas 
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RodS View Post
Is this actually time based? He states that it works just as well with any type charts. It appears he is comparing like polynomial equations from the slope of the line over a certain length. He does say that he has only tested this for the last 3 months. So no his history is limited.

I just think it is a unique approach to look at the market. Plus could this be a way to measure price action? If the slope of a line that forms a head and shoulder pattern can be measured and similar can be found using the same slope.... doesn't this give us a trade able pattern? A cup and handle? Double top or double bottom?

I don't know I am not that smart...I leave this to the Fat Tails and Big Mikes of the group....but it does make some sense?

Rod

Isn't that what we do in actuallity... see something we believe we have seen enough times in the past to make us feel we have an edge...

I'm just a simple man trading a simple plan.

My daddy always said, "Every day above ground is a good day!"
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 RodS 
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ThatManFromTexas View Post
Isn't that what we do in actuallity... see something we believe we have seen enough times in the past to make us feel we have an edge...

Exactly...but could this be a way of backtesting what we see?

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 Fat Tails 
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RodS View Post
Exactly...but could this be a way of backtesting what we see?

It is not backtesting and it does not substitute for backtesting. The indicator

-> analyzes past price action to fit into a simple pattern structure
-> it then compares recent price action with the detected historical patterns
-> if the recent price action is matched by 50 simple historical patterns the indicator will calculate an average from the 50 possible outcomes
-> the average will be projected into the future and used as a forecast

Let us look at it like this:

If 100 boys sleep with their girlfriends 50 times without using contraceptives, the indicator detects that half of the girls are pregnant and half of them are not. Using this knowledge, it will then make a prediction what will happen to your daughter, if you leave her alone with her boyfriend.

The indicator will duly predict: HALF-PREGNANT.

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 forrestang 
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That is a cool idea. I've wanted to collect various statistics on things as the market moves. Such as the average size of bars, moves after HHs for example, could collect stats on anything.

I don't know if this is actually practical for trading, but the idea of it is definitely cool.

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 monpere 
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Must be one resource intensive indicator on your PC. Wonder how it performs, if I want to look for patterns for the past 3 years.

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 Fat Tails 
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monpere View Post
Must be one resource intensive indicator on your PC. Wonder how it performs, if I want to look for patterns for the past 3 years.

That is true indeed. For example I have coded a relative volume VWAP. It analyzes the intraday volume over the last year and then calculates a volume-weighted average price by using that forecasted volume distribution rather than real volume. And I have not posted it, because you need to wait a little after applying it to a chart. However, it is only slow, while the historical data is being treated, in real-time those backward calculations are not necessary, as the results are sitting in an array and do not need to be recalculated with every incoming tick.

The NinjaTrader forum VWAP however calculates back to the beginning of the session with every incoming tick, so this will definitely kill your CPU.

The approach is like running a backtest prior to trading, The problem is that you should have a training and a forward testing period for any backtest, and only trade, if the forecast parameters calculated by using the training period have well performed during the forward testing period. I do not think that the indicator can do that, so it will not be a substitute for proper backtesting.

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 forrestang 
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Fat Tails View Post
That is true indeed. For example I have coded a relative volume VWAP. It analyzes the intraday volume over the last year and then calculates a volume-weighted average price by using that forecasted volume distribution rather than real volume.
And I have not posted it, because you need to wait a little after applying it to a chart. However, it is only slow, while the historical data is being treated, in real-time those backward calculations are not necessary, as the results are sitting in an array and do not need to be recalculated with every incoming tick.

The NinjaTrader forum VWAP however calculates back to the beginning of the session with every incoming tick, so this will definitely kill your CPU.

The approach is like running a backtest prior to trading, The problem is that you should have a training and a forward testing period for any backtest, and only trade, if the forecast parameters calculated by using the training period have well performed during the forward testing period. I do not think that the indicator can do that, so it will not be a substitute for proper backtesting.

It seems like it would make sense to find these patterns while NOT trading. Then later not recalculate that pattern for each tic. It seems like once you find some averaged pattern that yields a profit, you would just code that pattern and have your script point that out.

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 MooreTech 
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Fat Tails View Post
That is true indeed. For example I have coded a relative volume VWAP. It analyzes the intraday volume over the last year and then calculates a volume-weighted average price by using that forecasted volume distribution rather than real volume. And I have not posted it, because you need to wait a little after applying it to a chart. However, it is only slow, while the historical data is being treated, in real-time those backward calculations are not necessary, as the results are sitting in an array and do not need to be recalculated with every incoming tick.

The NinjaTrader forum VWAP however calculates back to the beginning of the session with every incoming tick, so this will definitely kill your CPU.

The approach is like running a backtest prior to trading, The problem is that you should have a training and a forward testing period for any backtest, and only trade, if the forecast parameters calculated by using the training period have well performed during the forward testing period. I do not think that the indicator can do that, so it will not be a substitute for proper backtesting.

Most of the calculations are not necessary when loading historical data. For this reason, I do not run these calculations when loading the data, they are only run in real-time. Therefore, the indicator loads quickly. In real-time, the code only runs on the bar close (CalculateOnBarClose=true). If bars are closing every second, the indicator may have issues, but for most traders this should not be an issue.

I would also agree with your point that PROPER backtesting would require some forward testing as well. However, I do believe the indicator is performing a simple backtest in the sense that it identifies the current market pattern, looks at historical data to find what the market has done after that pattern occurred historically, then provides statistics similar to a backtest.

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 ThatManFromTexas 
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I know a lot of ya'll believe in back testing, but it just don't hold water with me. I have seen a gazillion strategies that all back tested well but failed in real time trading.

What I do put some stock in is gathering empirical data and drilling down to find commonality. For a year I kept an excel spreadsheet on every trade I could categorize. At the end of the year I ran the stats and found that certain formations did indeed have a better percentage of success than others. I still trade off of what i learned from that data. The percentages will fluctuate depending on the mood of the market, but the stats have held up.

Granted, it is quicker and easier to just run a back test . But then again I have heard a lot of guys wives and girlfriends complaining that being quick is not a good thang...

I'm just a simple man trading a simple plan.

My daddy always said, "Every day above ground is a good day!"
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 omaron 
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I know this is an old thread, i just found it while searched more information about this indicator. I guess many of the questions here could been answered if there was a trial for this indicator. I wonder why some of their products have trials but this one not...

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