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  #231 (permalink)  
Old 05-30-2008, 08:10 AM
Senior Member
 
Join Date: Mar 2006
Posts: 1,069
barnix is on a distinguished road
Strategy Tester Report for SVM_v_16a_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 =0; //0-libsvm,1-svmlight
extern int BasePeriod =PERIOD_M5;
extern int TrainPeriod =PERIOD_H4;
extern int class_type =1; //0-multiclass,1-class(0,1,-1), 2-class(-3,-2,-1,0,1,2,3)
extern int TrainStopLoss =40; //30-50pips
extern int TrainTakeProfit =40;
extern int TradeStopLoss =60; //30-50pips
extern int TradeTakeProfit =60;
extern int FutureWindow =5;
extern int Signal =8;
extern bool UseRamDisk =true;
extern datetime BeginDate = D'2008.04.01 08:15';
extern bool ReverseSignal=false;
//////////////////////////////////////////////////
///////////////////////////////////////

calc2(r1,rv1);
calc2(r2,rv1);
calc2(r3,rv1);
calc2(r4,rv1);
calc2(r5,rv1);
/*
calc2(r6,rv1);
calc2(r7,rv1);
calc2(r8,rv1);
calc2(r9,rv1);

calc2(r10,rv1);
calc2(r11,rv1);
calc2(r12,rv1);
calc2(r13,rv1);
calc2(r14,rv1);
calc2(r15,rv1);
calc2(r16,rv1);
calc2(r17,rv1);
calc2(r18,rv1);
calc2(r19,rv1);
calc2(r20,rv1);

calc2(r21,rv1);
calc2(r22,rv1);
calc2(r23,rv1);
calc2(r24,rv1);
calc2(r25,rv1);
calc2(r26,rv1);
calc2(r27,rv1);
calc2(r28,rv1);
calc2(r29,rv1);
calc2(r30,rv1);
*/
////////////////////////////////
Attached Images
File Type: gif StrategyTester_v16a_2.gif (6.5 KB, 1540 views)
File Type: gif strategytester_v16a_2_.gif (12.6 KB, 1529 views)
File Type: gif strategytester_v16a_3_.gif (14.3 KB, 1527 views)
File Type: gif strategytester_v16a_4_.gif (13.5 KB, 1542 views)
Attached Files
File Type: htm StrategyTester_v16a_2.htm (69.9 KB, 56 views)
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  #232 (permalink)  
Old 05-30-2008, 08:48 AM
Junior Member
 
Join Date: Aug 2006
Posts: 11
stef is on a distinguished road
My Gaussian PNN

For giapel, lvsefa and the others interested in NN EA,

Here a version of my PNN EA. For now, it is just the ex4 file.
You can test it, i have introduce a lot of parameters.

How to run it.
First, you have to feed the PNN with the maximum of bars (Phase 1). For this, run the EA in the history, with the create_file=true. I have good results with M5 bars.
You can parameter 4 inputs, which are differences between Ask and a moving average. You can parameter the moving averages in differents timeframe.

Once you have created the file, you can run the EA in normal mode (create_file=false). Sigma is the sensibility of the PNN, 0.1 for 1 input is good, for 3 or 4 inputs 0.3 is ok. Delta is the level where a order is opened. You can see the results of the pnn in the journal tab.
For the run, you can choose 1 to 4 inputs, but don't change the parameter of the inputs.

In this version, the PNN is not dynamic, i.e. in run mode, he doesn't leaned at each bar. I will add this fonction and others one nexts weeks.

Have good tests.

Sorry for my bad english, contact me if you don't understand me
Attached Files
File Type: ex4 GaussPNN.ex4 (17.7 KB, 282 views)

Last edited by stef; 05-30-2008 at 06:25 PM.
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  #233 (permalink)  
Old 05-30-2008, 06:21 PM
Senior Member
 
Join Date: Jun 2006
Posts: 278
giapel is on a distinguished road
Quote:
Originally Posted by stef View Post
For giapel, lvsefa and the others interested in NN EA,

Here a version of my PNN EA. For now, it is just the ex4 file.
You can test it, i have introduce a lot of parameters.

How to run it.
First, you have to feed the PNN with the maximum of bars (Phase 1). For this, run the EA in the history, with the create_file=true. I have good results with M5 bars.
You can parameter 4 inputs, which are differences between Ask and a moving average. You can parameter the moving averages in differents timeframe.

Once you have created the file, you can run the EA in normal mode (create_file=false). Sigma is the sensibility of the PNN, 0.1 for 1 input is good, for 3 or 4 inputs 0.3 is ok. Delta is the level where a order is opened. You can see the results of the pnn in the journal tab.
For the run, you can choose 1 to 4 inputs, but don't change the parameter of the inputs.

In this version, the PNN is not dynamic, i.e. in run mode, he doesn't leaned at each bar. I will add this fonction and others one nexts weeks.

Have good tests.

Sorry for my bad english, contact me if you don't understand me
hi, stef
i' ve download expert, complete phase 1 and ready to start phase 2.
i ' ve no experience about NN, even if in my opinion is a very good strategy.

if you code dynamic-PNN count me to send it.
i' ve a suggestion about manage expert : add magic number to trade with different currency-pairs and introduce money management (if you want i can contribute ).

thanks in advance
giapel
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  #234 (permalink)  
Old 05-30-2008, 09:15 PM
Senior Member
 
Join Date: Mar 2006
Posts: 1,069
barnix is on a distinguished road
Strategy Tester Report for SVM_v_17a_EURUSD EA
Settings:
//////////////////////////////////////////
#define NR_BARS1 2000
#define NR_BARS2 2000
extern string Symb0 ="EURUSD";
extern double Lots =0.1;
extern int diff1 =true;
extern int decimalplace =14;
//extern int svmtype =0; //0-libsvm,1-svmlight
extern int BasePeriod =PERIOD_M5;
extern int TrainPeriod =PERIOD_H4;
extern int class_type =3; //0-multiclass,1-class(0,1,-1), 2-class(-3,-2,-1,0,1,2,3)
extern int TrainStopLoss =40; //30-50pips
extern int TrainTakeProfit =40;
extern int TradeStopLoss =60; //30-50pips
extern int TradeTakeProfit =60;
extern int FutureWindow =70;
extern int Signal =8;
extern bool UseRamDisk =true;
extern datetime BeginDate = D'2008.04.01 08:15';
extern bool ReverseSignal=false;
//////////////////////////////////////////////////
///////////////////////////////////////

calc3(r1,rv1);
calc3(r2,rv1);
calc3(r3,rv1);
calc3(r4,rv1);
calc3(r5,rv1);
/*
calc3(r6,rv1);
calc3(r7,rv1);
calc3(r8,rv1);
calc3(r9,rv1);

calc3(r10,rv1);
calc3(r11,rv1);
calc3(r12,rv1);
calc3(r13,rv1);
calc3(r14,rv1);
calc3(r15,rv1);
calc3(r16,rv1);
calc3(r17,rv1);
calc3(r18,rv1);
calc3(r19,rv1);
calc3(r20,rv1);

calc3(r21,rv1);
calc3(r22,rv1);
calc3(r23,rv1);
calc3(r24,rv1);
calc3(r25,rv1);
calc3(r26,rv1);
calc3(r27,rv1);
calc3(r28,rv1);
calc3(r29,rv1);
calc3(r30,rv1);
*/
////////////////////////////////
if(ReverseSignal)
rv1=rv1*(-1);

return(rv1);

}

void calc(int r1, int &rv1)
{
if(r1<8 && r1>4)
rv1++;
if(r1>0 && r1<4)
rv1--;
}

void calc2(int r1, int &rv1)
{
if(r1==1)
rv1++;
if(r1==-1)
rv1--;
}

void calc3(int r1, int &rv1)
{
/*
if(r1==1 || r1==2 || r1==3 )
rv1++;
if(r1==-1 || r1==-2 || r1==-3)
rv1--;
*/
if(r1==1 )
rv1++;
if(r1==-1 )
rv1--;

}
Attached Images
File Type: gif StrategyTester_v17a_1.gif (6.8 KB, 1472 views)
Attached Files
File Type: htm StrategyTester_v17a_1.htm (62.7 KB, 36 views)
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  #235 (permalink)  
Old 05-31-2008, 07:28 AM
Junior Member
 
Join Date: Oct 2007
Posts: 27
peri is on a distinguished road
API for RapidMiner

Quote:
Originally Posted by stef View Post
In this version, the PNN is not dynamic, i.e. in run mode, he doesn't leaned at each bar. I will add this fonction and others one nexts weeks.
If you, or someone could write and integrate an API into this EA to run and use RapidMiner´s (a free NN software) output, we could use additional correlated data series like proposed by tdion in
Neural Network Trading, Serious people only! - Page 4 (post 54).

An example how RapidMiner can be utilized to do this can be found here:
Tutorials | Neural Market Trends
> Building an AI financial market model - lesson 1-5

Ideally, this EA would have a parameter where you could specify a YAHOO symbol that would then be loaded into RapidMiner for calculation, and the results displayed in MT4.
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  #236 (permalink)  
Old 05-31-2008, 09:05 AM
Junior Member
 
Join Date: Mar 2008
Posts: 16
lvsefa is on a distinguished road
Quote:
Originally Posted by stef View Post
For giapel, lvsefa and the others interested in NN EA,

Here a version of my PNN EA. For now, it is just the ex4 file.
You can test it, i have introduce a lot of parameters.

How to run it.
First, you have to feed the PNN with the maximum of bars (Phase 1). For this, run the EA in the history, with the create_file=true. I have good results with M5 bars.
You can parameter 4 inputs, which are differences between Ask and a moving average. You can parameter the moving averages in differents timeframe.

Once you have created the file, you can run the EA in normal mode (create_file=false). Sigma is the sensibility of the PNN, 0.1 for 1 input is good, for 3 or 4 inputs 0.3 is ok. Delta is the level where a order is opened. You can see the results of the pnn in the journal tab.
For the run, you can choose 1 to 4 inputs, but don't change the parameter of the inputs.

In this version, the PNN is not dynamic, i.e. in run mode, he doesn't leaned at each bar. I will add this fonction and others one nexts weeks.

Have good tests.

Sorry for my bad english, contact me if you don't understand me

Hi Stef:
Thanks for all of your works,It so great and valuable!
For the sharing of EX4 EA now we can do more further discuss....
Now I'll research into it,it's really a pleasantly surprised gift! Thank you Stef.

the PNN dynamic study code may be like this:

Code:
if (time2study < Time[0]) {
//study code here....;
time2study = Time[0] + Period() * 60 * forecastBars
}
Best wishes
Lvsefa

Last edited by lvsefa; 05-31-2008 at 03:33 PM.
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  #237 (permalink)  
Old 05-31-2008, 08:16 PM
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Join Date: Oct 2006
Posts: 206
aegis is on a distinguished road
How can anyone be sure that Better was even using Neural Nets? It looks like his system hasn't seen a new equity high in a while: Ìîíèòîðèíã òîðãîâûõ ñ÷åòîâ.: Ãðàôèê ñ÷åòà
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  #238 (permalink)  
Old 06-03-2008, 12:40 AM
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Join Date: Feb 2007
Posts: 87
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This is my MLP NN up to 50 inputs and up to 5 layers with online learning.
Under development.

bbop
Attached Images
File Type: gif MLP.gif (131.4 KB, 1263 views)
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  #239 (permalink)  
Old 06-03-2008, 08:47 PM
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Join Date: Oct 2007
Posts: 27
peri is on a distinguished road
Quote:
Originally Posted by BigBoppa View Post
This is my MLP NN up to 50 inputs and up to 5 layers with online learning.
Under development.

bbop
Stell das dochma´ hier rein. (Why don´t you post this work in progress here, I mean, in full...)
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  #240 (permalink)  
Old 06-07-2008, 05:34 AM
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Join Date: Mar 2006
Posts: 1,069
barnix is on a distinguished road
SVM_v_23a_EURUSD EA
Interbank FX real mini account.
//////////////////////////////////////////
#define NR_BARS1 6000
#define NR_BARS2 2000
extern string Symb0 ="EURUSDm";
extern double Lots =0.01;
extern int diff1 =true;
extern int decimalplace =14;
//extern int svmtype =0; //0-libsvm,1-svmlight
extern int BasePeriod =PERIOD_M5;
extern int TrainPeriod =PERIOD_H1;
extern int class_type =10; //0-multiclass,
//1-class(0,1,-1),
//2,3-class(-3,-2,-1,0,1,2,3)
//4-class(-6,-5,-4,-3,-2,-1,0,1,2,3,4,5,6)
extern int TrainStopLoss_buy=20;
extern int TrainStopLoss_sell=20;
extern int TrainTakeProfit_buy=20;
extern int TrainTakeProfit_sell=20;

extern int TradeStopLoss =60; //30-50pips
extern int TradeTakeProfit =60;
extern int FutureWindow =120;
extern int Signal =8;
extern bool UseRamDisk =true;
extern datetime BeginDate = D'2008.05.01 14:00';
extern bool ReverseSignal=false;
extern bool TradeEnabled =false;
//////////////////////////////////////////////////


Indicators used:
#SVM_b4_dd_pred8.mq4
SvmPower.mq4

===================
1.Extarct 07.rar into a windows folder
2.View as a slide show
Attached Images
File Type: gif testerEURUSDm1212755400.gif (8.8 KB, 1033 views)
File Type: gif testerEURUSDm1212755700.gif (6.8 KB, 1021 views)
Attached Files
File Type: rar 07.rar (1,012.3 KB, 287 views)
File Type: mq4 SvmPower.mq4 (8.2 KB, 190 views)
File Type: mq4 #SVM_b4_dd_pred8.mq4 (9.9 KB, 193 views)

Last edited by barnix; 06-07-2008 at 05:41 AM.
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