Feature Engineering, Strategy Mining, Economic Value and The Profitability Rule with Michael Harris

Michael Harris started trading rates and derivatives 30 years ago. He is the Founder of Price Action Lab and the developer of the first commercial software for identifying parameter-less patterns in price action 20 years ago. In the past 10 years he has worked on the development of DLPAL, which is a software program designed to identify short-term anomalies in market data for use with fixed and machine learning models.

 

In this wide ranging interview we discuss:

 

• Back testing and generating trading signals on an Atari Console
• Loss Compression and Forecasting
• Data Mining – microfeatures, micropatterns and trend following
• The hit rate, payoff ratio, profit factor and the Profitability Rule
• Data Mining Bias and Data Snooping
• The Seven Weekly Strategies
• The direction of probability

 

The conversation was interesting and enlightening as Michael provided new insights into emerging financial technologies. We hope you enjoy it. Thank you for listening.