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Jase
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I'm trying to write an online algorithm in Python to detect this below Down-Up-Down pattern in time-series.

It's not hard to do roughly if I calculate 3 contiguous non-overlapping moving averages, and just check that the first and last are both < -X, and the middle one is > 1.5*X.

But this has many downsides. For example, the time frames need to be strictly hardcoded. And, it ignores intrawindow variation that may obviously invalidate the overall pattern if a human were to eyeball it as a sense check.

What can I do? Would wavelets be the best place to start?Wavelets aren't ideal because of edge effects .. I need an online algorithm that computes in real-time.

enter image description here

I'm trying to write an online algorithm in Python to detect this below Down-Up-Down pattern in time-series.

It's not hard to do roughly if I calculate 3 contiguous non-overlapping moving averages, and just check that the first and last are both < -X, and the middle one is > 1.5*X.

But this has many downsides. For example, the time frames need to be strictly hardcoded. And, it ignores intrawindow variation that may obviously invalidate the overall pattern if a human were to eyeball it as a sense check.

What can I do? Would wavelets be the best place to start?

enter image description here

I'm trying to write an online algorithm in Python to detect this below Down-Up-Down pattern in time-series.

It's not hard to do roughly if I calculate 3 contiguous non-overlapping moving averages, and just check that the first and last are both < -X, and the middle one is > 1.5*X.

But this has many downsides. For example, the time frames need to be strictly hardcoded. And, it ignores intrawindow variation that may obviously invalidate the overall pattern if a human were to eyeball it as a sense check.

What can I do? Wavelets aren't ideal because of edge effects .. I need an online algorithm that computes in real-time.

enter image description here

Source Link
Jase
  • 163
  • 6

Algorithm to detect down-up-down pattern in time series

I'm trying to write an online algorithm in Python to detect this below Down-Up-Down pattern in time-series.

It's not hard to do roughly if I calculate 3 contiguous non-overlapping moving averages, and just check that the first and last are both < -X, and the middle one is > 1.5*X.

But this has many downsides. For example, the time frames need to be strictly hardcoded. And, it ignores intrawindow variation that may obviously invalidate the overall pattern if a human were to eyeball it as a sense check.

What can I do? Would wavelets be the best place to start?

enter image description here