Re: Pattern Recognition in Stock Market Data
- To: mathgroup at smc.vnet.net
- Subject: [mg22364] Re: Pattern Recognition in Stock Market Data
- From: Keith Erskine <keithe69 at ozemail.com.au>
- Date: Fri, 25 Feb 2000 21:14:22 -0500 (EST)
- Sender: owner-wri-mathgroup at wolfram.com
Hello: I wish to get advice/thoughts/ideas as to whether Mathematica can provide a solution to the following. It relates to scanning a set of files of price-time data of stockmarket data (eg the Australian Stock Exchange - ASX). This is end-of-day data, which has Open-High-Low-Close-Volume for each stock traded on the day. We are talking about 3000 separate files to search through. that may lead to what is termed a 'breakout' in price. These are movements that can be quite profitable. I wish to scan through this end-of-day data, looking for what can be termed an emerging pattern, that is, BEFORE the breakout occurs. Where this emerging pattern is detected, these particular stocks are put into a 'watch list'. Some will breakout, others will not, there are no guarantees. But those in the watch list can be monitored, and a breakout then detected by other means. One such pattern that occurs all the time is the ascending triangle. See simplistic figure below: ^ | X X Price Breakout X x x x x x x x x x x x Resistance X x x x x x x x x x X x x x x x x x X x x x x x X x x x Time ---> Above is the most simplistic representation of all, where each column of x's represents the High-Low price range for each successive day. There can be quite abstract variations on this pattern, with oscillatory type behaviour within the triangle, but nevertheless the price sooner or later converges towards the top side of the ascending triangle, known as a line of price resistance. Once this resistance is broken, typically the price can keep going, hence the term breakout. Any suggestions as to whether this problem is suited to Mathematica, or can provide a guide to how this would be solved using Mathematica would be greatly appreciated. Thanks in advance. K.//