Backtesting the Bullish Harami Pattern

This is the third post in my three part series of backtesting a candlestick patterns. Earlier, I back-tested the Bullish Engulfing Pattern and the Hammer. Today, I will back test the Bullish Harami Pattern.

Quantifying the Hammer

A Bullish Harami pattern is formed when all the following conditions should be met :

1. today's bar is white (up day) and yesterday's bar is dark
2. today's candle height is less than yesterday's candle body

Back Testing the Pattern
 
DataSet : SP500
BackTest Period : 15 years

Buy Signal :

•  Look for 3 consecutive down days
• A Bullish Harami is formed on the third day and the fourth day
• Buy at Open on the fifth day

Sell Signal:

• Sell on the sixth day

Performance

I am only interested in finding out if this particular signal does act as a trend reversal signal. I am not interested in building a trading system. The best performance measure for this task is the Win-Rate as it represents the probability that my hypothesis is correct.

PERFORMANCE
Number of Trades	2,387		Winning Trades	1,115		Losing Trades	1,272
Average Profit %	-0.27%		Win Rate	46.71%		Loss Rate	53.29%
Average Bars Held	2		Average Profit %	2.54%		Average Loss %	-2.73%
			Average Bars Held	2		Average Bars Held	2

Setup