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

Resolve Riffs Investment Podcast

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3y ago 1:27:51

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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.

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