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

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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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