This repository contains code for a project in harmonic trading in which certain patterns in price charts suggest good trading opportunities.
A friend of a neighbor approached me in the Spring of 2011 with the idea of automating currency trades based on "harmonic patterns". He was using a popular trading platform as provided by his brokers, which offered graphic pattern matching but required that he place trades manually. He wanted to automate the whole process.
While I didn't intend to do any such trading myself, and felt genuine fear concerning the liability involved with automating his trades, I enjoy hearing about systems and was looking for an excuse to program in Haskell. I decided to start by verifying (or debunking) the theory behind the patterns. I was going to read some historical price data, match the patterns as specified in the harmonic trading literature, apply his personal decision criteria, and see whether he would have made money.
I got as far as matching patterns and drawing them on a price chart when the poor fellow unexpectedly passed away. What I was preparing to tell him was that it's nonsense. The "math" involves such generous and arbitrary fudge factors, and there are so many cosmically significant "harmonic" ratios to consider, that you will see whatever you want to see.
The artifacts of this project are a few Haskell programs that analyze price data, none of which got any review for accuracy beyond my unit tests. I first tried a monadic pipeline that ran so slowly I abandoned it. Next I did what amounts to a filter that performed much better, starting with a simple "trend analysis" I read about in a book, then with the harmonic patterns. The trend analysis simulation also modeled a brokerage account with automated trades.
It was fun. I learned some Haskell basics. At ICFP 2013 I was encouraged to post the code despite its irrelevance, incompleteness and appearance. I decided to use it to learn more about Haskell and participating in the Haskell community, so I'm hoping the fun will continue.