Originally Posted by dmeliki

Hello Barnix,
I have been working on PNN, found some implementations of it from fxreal.ru, have modified something, it works fine however, have to optimize sigma. I have been thinking if rbf-dda has been implemented, as far as understand it will find optimal sigma on its own during training process.

Here are the results of ea that works on pnn and trades on day close.

Strategy Tester Report
Atlantis[pnn]v2
InterbankFX-Demo Accounts (Build 216)

Symbol GBPUSDm (Great Britain Pound vs US Dollar)
Period Daily (D1) 2008.03.16 00:00 - 2008.05.15 00:00 (2008.03.16 - 2008.05.16)
Model Every tick (the most precise method based on all available least timeframes)
Parameters Lots=0.2; pBalanceTraded=1; adjustLotsOk=true; tradeAtDayClose=true; sl=140; tp=10; rp=0.7; pnn="----------pnn parameters----------"; sigma=0.1; fcastbars=2; Patterns=30; Inputs=6;

Bars in test 1053 Ticks modelled 505698 Modelling quality 90.00%
Mismatched charts errors 66

Initial deposit 1000.00
Total net profit 292.34 Gross profit 328.60 Gross loss -36.26
Profit factor 9.06 Expected payoff 18.27
Absolute drawdown 8.60 Maximal drawdown 68.01 (6.05%) Relative drawdown 6.05% (68.01)

Total trades 16 Short positions (won %) 11 (90.91%) Long positions (won %) 5 (80.00%)
Profit trades (% of total) 14 (87.50%) Loss trades (% of total) 2 (12.50%)
Largest profit trade 43.58 loss trade -31.58
Average profit trade 23.47 loss trade -18.13
Maximum consecutive wins (profit in money) 11 (217.01) consecutive losses (loss in money) 1 (-31.58)
Maximal consecutive profit (count of wins) 217.01 (11) consecutive loss (count of losses) -31.58 (1)
Average consecutive wins 7 consecutive losses 1

# Time Type Order Size Price S / L T / P Profit Balance
1 2008.03.17 00:00 sell 1 0.20 2.0191 2.0339 0.0000
2 2008.03.18 00:00 close 1 0.20 1.9972 2.0339 0.0000 43.48 1043.48
3 2008.03.20 00:00 buy 2 0.21 1.9836 1.9691 0.0000
4 2008.03.25 00:00 modify 2 0.21 1.9836 1.9843 0.0000
5 2008.03.26 00:02 close 2 0.21 2.0020 1.9843 0.0000 39.87 1083.35
6 2008.03.28 00:00 sell 3 0.22 2.0067 2.0206 0.0000
7 2008.03.31 00:00 close 3 0.22 1.9937 2.0206 0.0000 28.25 1111.59
8 2008.03.31 00:00 buy 4 0.22 1.9937 1.9792 0.0000
9 2008.04.01 05:40 s/l 4 0.22 1.9792 1.9792 0.0000 -31.58 1080.02
10 2008.04.03 00:00 buy 5 0.22 1.9869 1.9726 0.0000
11 2008.04.04 00:00 close 5 0.22 1.9938 1.9726 0.0000 15.50 1095.52
12 2008.04.07 00:00 sell 6 0.22 1.9930 2.0072 0.0000
13 2008.04.08 00:00 close 6 0.22 1.9880 2.0072 0.0000 10.65 1106.16
14 2008.04.10 00:00 sell 7 0.22 1.9733 1.9874 0.0000
15 2008.04.14 00:01 close 7 0.22 1.9675 1.9874 0.0000 12.06 1118.22
16 2008.04.14 00:01 buy 8 0.22 1.9675 1.9530 0.0000
17 2008.04.15 00:00 close 8 0.22 1.9727 1.9530 0.0000 11.76 1129.98
18 2008.04.17 00:00 buy 9 0.23 1.9718 1.9575 0.0000
19 2008.04.18 00:00 close 9 0.23 1.9906 1.9575 0.0000 43.58 1173.56
20 2008.04.21 00:00 sell 10 0.23 1.9981 2.0122 0.0000
21 2008.04.22 00:00 close 10 0.23 1.9827 2.0122 0.0000 35.05 1208.61
22 2008.04.24 00:00 sell 11 0.24 1.9788 1.9929 0.0000
23 2008.04.25 00:00 close 11 0.24 1.9728 1.9929 0.0000 14.02 1222.63
24 2008.04.28 00:00 sell 12 0.24 1.9831 1.9972 0.0000
25 2008.04.30 00:00 close 12 0.24 1.9682 1.9972 0.0000 34.99 1257.62
26 2008.05.01 00:00 sell 13 0.25 1.9867 2.0006 0.0000
27 2008.05.02 00:00 close 13 0.25 1.9781 2.0006 0.0000 21.10 1278.72
28 2008.05.05 00:00 sell 14 0.26 1.9738 1.9877 0.0000
29 2008.05.07 00:00 close 14 0.26 1.9715 1.9877 0.0000 5.15 1283.87
30 2008.05.08 00:00 sell 15 0.26 1.9507 1.9646 0.0000
31 2008.05.14 00:00 close 15 0.26 1.9450 1.9646 0.0000 13.16 1297.02
32 2008.05.15 00:00 sell 16 0.26 1.9461 1.9602 0.0000
33 2008.05.15 23:59 close at stop 16 0.26 1.9479 1.9602 0.0000 -4.68 1292.34