Better NN EA development - Page 22

peri · #**211** (**permalink**) 05-20-2008, 09:26 AM

Quote:

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

Couldn´t find ATLANTIS_EA there, can you post?

jturns23 · #**212** (**permalink**) 05-20-2008, 10:02 AM

Quote:

Originally Posted by peri

Couldn´t find ATLANTIS_EA there, can you post?

There is no EA for this.

stef · #**213** (**permalink**) 05-20-2008, 01:55 PM

thanks Barnix for all of your ressources
i have joined other document, simple one to understand the theory,
sorry it's for French people, but it is comprehensible for others to undertand pnn algorithm (rbf, noyau)

i work a lot on these algorithm, and it's working very well. I work on M5 with 100000 examples, and 10 inputs (ema M5, ema H1, ema D1, sto)

i've got very good results in real, near Better one, i use PNN and not SVM machine, difficult to implement SVM algo

but i want to improve the ea,

i work now on optimization of sigma, wich is a very important parameter, i optimize it by a lot of simulation
now i want to use rbf-dda algorithm to optimize it, thanks a lot for the rbf-dda.mq4 file found here , i'm going to integrate it in my EA

i will give you my results soon

if someone have already works on rbf-dda, tell me, the more we are, the best we can do

fisu · #**214** (**permalink**) 05-20-2008, 02:34 PM

Quote:

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)

Did you test it with the same data which you used for training? If not then how much training data did you use?

What kind of inputs and outputs did you use?

fisu · #**215** (**permalink**) 05-20-2008, 02:47 PM

Quote:

Originally Posted by stef

i work a lot on these algorithm, and it's working very well. I work on M5 with 100000 examples, and 10 inputs (ema M5, ema H1, ema D1, sto)

i've got very good results in real, near Better one, i use PNN and not SVM machine, difficult to implement SVM algo

Very interesting. I have been experimenting with NN and SVM. SVM performance is way less than NN but maybe I just have some problem in it. It seems that Barnix has made some progress with it but it is really hard to estimate results just from couple of screen shots. My SVM preforms really well on the training data but with test data it is just crap. NN is not too good either so I have not bothered to write EA yet.

Does your PNN perform best on M5 timeframe? Can you share any light on your outputs?

gmax111 · #**216** (**permalink**) 05-27-2008, 01:51 AM

hi barnix any updates?

barnix · #**217** (**permalink**) 05-27-2008, 03:40 AM

Strategy Tester Report for SVM_v_05_EURUSD EA
Settings:

//////////////////////////////////////////
#define NR_BARS1 2000
#define NR_BARS2 600
extern string Symb0 ="EURUSD";
extern double Lots =0.1;
extern int diff1 =true;
extern int decimalplace =14;
extern int svmtype =1; //0-libsvm,1-svmlight
extern int BasePeriod =PERIOD_M5;
extern int TrainPeriod =PERIOD_H4;
extern int class_type =2; //0-multiclass,1-class(0,1,-1), 2-class(-3,-2,-1,0,1,2,3)
extern int StopLoss =40; //30-50pips
extern int TakeProfit =40;
extern int FutureWindow =100;
extern int Signal =8;
extern bool UseRamDisk =true;
extern datetime BeginDate = D'2008.04.01 08:15';
//////////////////////////////////////////////////

///////////////////////////////////////

calc(r1,rv1);
calc(r2,rv1);
calc(r3,rv1);
calc(r4,rv1);
calc(r5,rv1);
calc(r6,rv1);
calc(r7,rv1);
calc(r8,rv1);
calc(r9,rv1);
/*
calc(r10,rv1);
calc(r11,rv1);
calc(r12,rv1);
calc(r13,rv1);
calc(r14,rv1);
calc(r15,rv1);
calc(r16,rv1);
calc(r17,rv1);
calc(r18,rv1);
calc(r19,rv1);
calc(r20,rv1);

calc(r21,rv1);
calc(r22,rv1);
calc(r23,rv1);
calc(r24,rv1);
calc(r25,rv1);
calc(r26,rv1);
calc(r27,rv1);
calc(r28,rv1);
calc(r29,rv1);
calc(r30,rv1);
*/
////////////////////////////////

barnix · #**218** (**permalink**) 05-27-2008, 05:26 AM

Strategy Tester Report for SVM_v_05_EURUSD EA
SVM_train_M5 Settings:

viktor2008 · #**219** (**permalink**) 05-27-2008, 07:40 AM

Strategy Tester Report for SVM_v_05_EURUSD EA
Settings:

///////////////////////////////////////
#define NR_BARS1 2000
#define NR_BARS2 600
extern string Symb0 ="EURUSD";
extern double Lots =0.1;
extern int diff1 =true;
extern int decimalplace =14;
extern int svmtype =1; //0-libsvm,1-svmlight
extern int BasePeriod =PERIOD_M5;
extern int TrainPeriod =PERIOD_H4;
extern int class_type =2; //0-multiclass,1-class(0,1,-1), 2-class(-3,-2,-1,0,1,2,3)
extern int StopLoss =40; //30-50pips
extern int TakeProfit =40;
extern int FutureWindow =100;
extern int Signal =8;
extern bool UseRamDisk =true;
extern datetime BeginDate = D'2008.04.01 08:15';
/////////////////////////////////////////////////
///////////////////////////////////////

calc(r1,rv1);
calc(r2,rv1);
calc(r3,rv1);
calc(r4,rv1);
calc(r5,rv1);
calc(r6,rv1);
calc(r7,rv1);
calc(r8,rv1);
calc(r9,rv1);
/*
calc(r10,rv1);
calc(r11,rv1);
calc(r12,rv1);
calc(r13,rv1);
calc(r14,rv1);
calc(r15,rv1);
calc(r16,rv1);
calc(r17,rv1);
calc(r18,rv1);
calc(r19,rv1);
calc(r20,rv1);

calc(r21,rv1);
calc(r22,rv1);
calc(r23,rv1);
calc(r24,rv1);
calc(r25,rv1);
calc(r26,rv1);
calc(r27,rv1);
calc(r28,rv1);
calc(r29,rv1);
calc(r30,rv1);
*/
////////////////////////////////

peri · #**220** (**permalink**) 05-27-2008, 09:37 AM

Quote:

Originally Posted by viktor2008

Strategy Tester Report for SVM_v_05_EURUSD EA

Could you or BARNIX provide this EA for download?

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