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.