Build Neural Network Indicator in MT4 using Neuroshell

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Old Feb 28, 2012, 10:01am   #813
Joined May 2008
Re: Build Neural Network Indicator in MT4 using Neuroshell

...a nice reading on the subject.
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File Type: pdf The Million Model Test.pdf (679.5 KB, 1466 views)
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Old Feb 28, 2012, 3:45pm   #814
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Re: Build Neural Network Indicator in MT4 using Neuroshell

arryex started this thread Development update..try to implement neural network indicators on Forex pair ...
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Old Mar 13, 2012, 3:16pm   #815
 
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Re: Build Neural Network Indicator in MT4 using Neuroshell

Quote:
Originally Posted by Highfreq View Post
Here is a related paper.
http://math.nyu.edu/faculty/avellane...tArb071108.pdf

They propose a portfolio allocation model based on the Ornstein-Ulenbek process. They do a cross-sectional PCA on the instrument of the portfolio. What I do is different; I use CSSA on a single instrument. It is equivalent to doing an incremental cross-sectional PCA but on lagged versions of itself. Anyway, don’t pay too much attention to this stuff. My system is very simple:

The Ornstein-Ulenbek is like that: dX(t) = k (m – X(t))dt + sdW(t) (see p16 of the pdf)

My system is:
1. Do dX(t) = CSSA(price) – detrended price
2. Use a neural net to predict price and do k(m–X(t))dt = prediction

Use the method described p16 and 17 to calculate the parameters k m and s of the model. When done, calculate the s-score as described p20; s-score = (X – m) / sigma. You are almost done.

Use the s-score to generate signals:
s-score > threshold1 go short
s-score < threshold2 go long

that’s it!!
Isn´t this process the normal calculation of the Z-score, just with different inputs?
Like
z-Score = ("actual value" - "mean of value") / "Standard deviation of value"?

I think your approach is really interesting. Do you detrend the price by calculating the logarithm of the price?
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Old Mar 18, 2012, 12:44pm   #816
 
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Talking Re: Build Neural Network Indicator in MT4 using Neuroshell

Quote:
Originally Posted by arryex View Post
This is the comparison result the NS2 neural network configuration made in Matlab, with some consideration:
- all transfer function in NS2 may not available yet in matlab, such as tanh15, symmetric logistic, gaussian, etc.
- Any single link in NS2 contains weight and bias, while in matlab we will have only a single bias in a layer. Means if you have two link into a slab then you will have 2 weight and 2 bias in NS2 but in matlab you will have 2 weight and 1 bias.
- Slab 1 in NS2 shall be considered as input normalization, then Slab N in NS2 equal to Layer N-1 in Matlab.

Please consider for educational purpose only, no intention in advising to use any software, technology, or trading ..you are responsible to your decision
"this file is password protected" he he he thx
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Old Mar 19, 2012, 3:38am   #817
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Re: Build Neural Network Indicator in MT4 using Neuroshell

Thank you arryex and others for very interesting thread.

How do you use chaoshunter model together with neural net? do you use a committee or one as the filter for the other or something else?

I do not get how you get such great results with ch. The training period equity curve is always very smooth but after that it is usually down or choppy.
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Old Mar 19, 2012, 7:29am   #818
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Re: Build Neural Network Indicator in MT4 using Neuroshell

and another question, what advantage is there to predicting indicators (macd and rsx) instead of %change a few bars ahead?
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Old Mar 31, 2012, 2:38am   #819
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Re: Build Neural Network Indicator in MT4 using Neuroshell

arryex started this thread Hi Nsvv,

You have a free choice to insert any predicted nets into a new net, and you can put also them into a committee in order can select which are the best.

My result is an empirical result, a method may not work in other instruments, for example one method that used for gold may not work in eurusd. Most of time, on CH, I change the input formula and also the search setting (evolution or swarm) .

Basically, Neuroshell trader advised to predict percent change, you may have benefit to predict MACD since MACD is less whipsaw compare to other indicator, means you will have a less false signal as well.

Sorry for the late reply.

Last edited by arryex; Mar 31, 2012 at 9:53am.
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