intradaybill
Registered: Feb 2008
Posts: 2962 |
06-15-12 01:46 PM
Quote from jcl:
This is a machine generated pattern, and it looks indeed like the mother of all curve fitting.
I think the problem is not that it's a complicated formula, but it seems to depend on price patterns from up to 84 days in the past, which makes no sense. A price pattern algo can not work with a pattern length of more than about 3..4 bars, because the autocorrelation of price series is zero beyond that horizon.
This looks like a typical example of how not to use or not to program a price pattern generator.
I agree with jcl on this one. It looks to me like this program draws vectors to future high points corresponding to entries and then fits patterns than make the entry profitable. Similarly to what someone would do in hindsight looking at a chart.
One way to check these exit conditions for validity is to generate random entries and apply the exits to them. You will find out that after a simulation of about 100 different runs, the returns will average 0 or even turn negative.
It looks pretty much like a geek forum there.
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