guruji

nope... still looking

Hi, I am looking to find a site on the web where I enter my trades and the site keeps my portfolio and give me nice portfolio metrics. Some of the things that I am looking for in terms of portfolio metrics are: - returns - annualized returns - win ratio - alpha (historical and current) - drawdown etc I have seen one site (zignals.com)... but I think the site is slow and not very easy to use Any other sites out there

A few comments: - I am being very generous when I state on my blog that there are less than 10 instances on this strict definition of the pattern. I have NOT FOUND any instances of this pattern - The back testing was NOT done on the SP500 index. It was done all the 500 stocks that made up the SP500 index in 2010. - Yes, I agree this is a very strict interpretation on the morning star doji. I plan to back test a more relaxed interpretation soon. - I find is interesting that particular pattern that is well written about in literature actually does not exist

A morning star doji is a 3 bar pattern with bar1 (long and dark), bar 2 (doji) gaps down and bar3 (long white) gaps up. I did a Back test over SP500 stocks over 15 years and could not find this pattern. Have you seen it

Essentially you are saying that context affects the interpretation of a candlestick pattern. And I think I agree with that. From the perspective of algorithmic/automated trading the challenge is quantify the context. Thanks for the comments.

Thanks for your comments and taking the time to go thru what I did. Your comments are valuable and will probably guide me forward. A few comments : - My goal is not build a trading system based on candlestick based trading system but understand if they mean some thing. I think this exercise is valuable to build a good and robust trading system. There are infinite number of primary/secondary signals that people use. To test each combination of these signals would be a huge effort. - I am using a doji after 5 down days as a trend reversal pattern and not in isolation - Yes, trade management is key. My success rates change quite a lot if I allow my trades to last longer than the next day. I can even make them profitable. But I would like to find a primary signal that gives me 65-70% success rate before I go into optimizing trade management. (may be I won't get there... or... i will)

I am trying to find out if candlestick patterns are any good at picking out short term trend-reversals. Based on what I have done so far, they can pick next day trend reversal with a success rate of 45-52%

No, I don't hate or love the doji. I have not yet taken a position on the "goodness" of doji / candlesticks. I am trying to figure this out. Of the 4 signals that I back-tested, the doji after 5 down days is the showing the best next day reversal rates. I don't think it is enough to make a good system. Yesterday I completed a parametric study that looks at the height of the doji candle body in relation to the total length of the candle. Conventional wisdom tells us that for a doji this needs to as small as possible (open=close). However, I was surprised by the results. In fact the larger the (candle body/candle length) ratio, the better my reversal rates were. Results are posted on my blog at : Quantifying Technical Analysis: Doji : A parametric Study. Also, I found no instances of a "true" doji (close=open) after five down days. And if were to reduce this ratio from 15% to 5%, my reversal rates go down from ~52% to ~35%. PS : The goal of this post is to get a debate going and to learn of the other people's work. My work is "real" and I am back testing on Wealth-Lab with Sp500 stock for the last 15 years.

I am not sure pattern hunting is meaningless. A pattern represents a market behavior. It is not predictor of what will happen. And because the human brain is better than the computer at spotting patterns, people try to find it. A doji, by definition, represents a Close near the Open. When it happens after a few down days it probably means that the buyers are fighting the downturn and find the price attractive enough to jump in. It MAY mean a price reversal is ready to happen. Also, I agree that looking at one signal in isolation will not work and we need to look at what else is happening. But it is also important to look at one particular signal/pattern in isolation to understand the underlying strength of that particular signal. At Quantifying Technical Analysis: Summary of Candlestick Backtesting, I completed testing four candlesticks patterns and the results are summarized. In the past 15 years, the doji successfully reversed the price trend the following day in 52% of the opportunities. That, I believe is a good representation of the doji candlestick

OK... back to the topic of discussion. I completed backtesting the doji, bullish-engulfing pattern, bullish harami and the hammer. These tests were conducted over daily candles. The back test data was SP500 stocks over the last 15 years. I found that over the last 15 years, the doji reversed ~52% of the times and that it is better than the other three patterns Details are available at : Quantifying Technical Analysis: Summary of Candlestick Backtesting

I am new to the world of candlesticks and recently started to read about them. I completed a back-test on Doji as a trend-reversal signal. The results are located at: http://blog.kilotrader.com/2010/05/do-candlestick-patterns-work.html And they are NOT impressive What did I do wrong here? Do candlestick signals work?