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pattern finder
Giuseppe Moriconi
posted Dec 8, 2015
Seeking Help Getting Started Research Statistics

Hello, i am working on this idea of finding in the historical prices of a security some pattern that are similar to the current one
(more detailed explanation in the notebook)

I have this problem:
i choose correlation (spearman) to decide wether or not 2 patterns are similar, and i have done it just because i have a p_value that confirm the correlation.
The other condition in that the 2 patterns must have a performance quite similar (5% plus or minus) overall
The problem:
when i plot the patterns they don't seem very much correlated, so maybe someone can point me in a better direction to find patterns similarities

thank you
-Giuseppe

5 responses
Peter Bakker
Dec 9, 2015

what's odd that when you choose a short pattern you get less matches then if you create a long pattern. Intuition says it should be the other way?

Giuseppe Moriconi
Dec 10, 2015

hi Peter i think the problem is in the fact that the correlation is based on the p_value so it's not very efficent for short series like this.

I'm having lots of troubles to identify the right aproach to perform the correlation function because - for example - not all values of the series has to be correlated the same way, maybe high and lows or start and ends anr more important than the in-between noise

Giuseppe Moriconi
Dec 17, 2015

slightly improved, but still nothing special for now..

Anyone have some suggestion about the logic to apply to extract similar patterns beside correlation?

chan john
Dec 24, 2015

@ Giuseppe Moriconi how can we use this to find identical chart? say... I want to find.. identical chart of S&P500 for example... thanks.

Teoh Kai Chiat
Jun 24, 2019

Anyone can help to fix the code for Quantopian version 2?

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