Matrix-Profile Motif Discovery

Install and import#

bash

npm install fintech-algorithms

import { discover } from "fintech-algorithms/geometric-chart-patterns/pattern-matching/matrix-profile-motif-discovery";

Signature#

discover()

Worked example#

executed This entry is a thin wrapper its test never calls directly, so it was invoked with the arguments its shared implementation received. Real output, not asserted against a published figure.

Input#

argument 1

[99.881237, 100.116364, 100.33311, 100.355799, 100.226037, 100.187182]

Showing 6 of 120 elements.

argument 2

argument 3

null

Call#

discover()

Returns#

object with 7 fields: window, exclusion_zone, profile, profile_index, motif_pair, motif_distance, normalization

{
  "window": 16,
  "exclusion_zone": 8,
  "profile": [
    1.442017209318879,
    1.4259996875986038,
    1.5353435003673506,
    1.6155150461182326,
    1.885889075174815,
    3.93842156909414
  ],
  "profile_index": [12, 13, 14, 15, 15, 53],
  "motif_pair": [20, 72],
  "motif_distance": 3.6400104112014625e-15,
  "normalization": "population-z-score-per-subsequence"
}

Diagrams#

How it works#

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References#

Foundations of Technical Analysis — Andrew W. Lo, Harry Mamaysky, and Jiang Wang
SciPy `find_peaks` — SciPy project
The Probability of Backtest Overfitting — David H. Bailey, Jonathan M. Borwein, Marcos López de Prado, and Qiji Jim Zhu
Matrix Profile I: All Pairs Similarity Joins for Time Series — Chin-Chia Michael Yeh, Yan Zhu, Liudmila Ulanova, Nurjahan Begum, Yifei Ding, Hoang Anh Dau, Diego Furtado Silva, Abdullah Mueen, and Eamonn Keogh
Applicability decision