We are pleased to announce that Price Action Lab has developed automatic code generation capability for the Quantopian platform and that will allow our customers to join this community and take advantage of the functionality it has to offer, such as generating more accurate backtests, developing live trading systems and participating in contests and profit sharing in case a profitable strategy.
The strategy code in the attached backtest was generated by Price Action Lab, a program that identifies price patterns that fulfill user-defined performance criteria and risk/reward parameters. The in-sample for the identification was from SPY inception to 12/31/2008 and the results were first published in an article on April 6, 2015. The Quantopian backtest shows realistic backtest results in the out-of-sample from 01/02/2009 to 08/15/2016 based on 1-minute data with the code that was automatically generated by Price Action Lab.
There are 30 price patterns in the strategy, 23 long and 7 short. The patterns were identified in daily bars. The profit target is 2% and the stop-loss is at 4% and in the Quantopian code they are monitored in 1-minute bars. This particular strategy uses only the close of daily OHLC bars. Although the performance is lower than buy and hold, it is out-of-sample performance and free from look-ahead bias. Note that this system is just an example and it is not recommended in its present form for live trading but something similar could serve as a foundation for further development.
Price Action Lab users can just copy and paste generated code in an algorithm in Quantopian. We will continue improving the code generation of Price Action Lab based on feedback received. This is the first version, it has been challenging and the code is basic but it offers a good starting ground.
Edit on 07/23/2018: backtest and code were removed due to being outdated.