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The identification procedures for chart patterns using algorithmic methods. It covers three major identification methods used in academic literature, including smoothing price data, zigzag-ing, and matrix templates. The document also explores academic approaches in finance and computer science and provides examples of published algorithms for chart pattern identification.
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Key Benefits
Algorithmic Identification of
Chart Patterns
literature (finance and computer science)
Outline of the Talk
Three major identification methods in academic financial literature.
Academic Approaches (Finance)
2 nd^ Method (“Zigzag-ing”)
(disregard changes below x% cutoff
Trough
Trough
Peak
Peak
Peak
Academic Approaches (Finance)
A matrix template models the desired 0 0 0 0 0 0 0 An iconic 12x12 matrix template for H&S
- + pattern using weights - + - 0 +2 +2 + - + - + - +2 + - +2 +
- + - + - +2 +2 + - +2 + - +2 + - +2 + - +2 + - +2 + - +2 +2 +2 + - +2 +2 + - +2 + - +2 +2 +2 +2 + - +2 + - + - + - +
- +1 + - + - + - +
- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -1 -1 - - -1 -
3 rd^ Method (Matrix Templates)
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The price action is
then converted into
matrix form
Academic Approaches (Finance)
3 rd^ Method (Matrix Templates)
Sum up all weights for
the price action
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The higher the sum, the
better the price action fits
the pattern model
Academic Approaches (Finance)
My Published Algorithms on Chart
Pattern Identification
Focus on:
To accomplish the above:
I created different algorithms per case (pattern)
Simple ideas I have Used (I)
Simple ideas I have Used (II)
When a branch of a chart pattern is more or less curved, you can usually identify its important points
(no matter the scale)
Example:
Identifying the top of the head in H&S
The highest of them is the top of the head
What is a Cup pattern?
Identifying the Cup
A
Let C be the lowest low of all red bars
C