Build Neural Network Indicator in MT4 using Neuroshell

This is a discussion on Build Neural Network Indicator in MT4 using Neuroshell within the Trading Software forums, part of the Commercial category; You may notice in the TradeTrek article quoted above that they retrain their net at the end of each day. ...

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Old Jan 21, 2010, 10:22pm   #9
Joined Jan 2007
Re: Build Neural Network Indicator in MT4 using Neuroshell

You may notice in the TradeTrek article quoted above that they retrain their net at the end of each day. This allows the net to adapt to nonstationarities in the FX series. The problem with using a DLL from NS is that the net is fixed in time, and unless you go through the same process (collect features, transfer to NS, train net to get DLL, use it in MT4) each and every bar (equivalent to each day at trendtech) you may be hurt by the changes in the patterns. Is there any way to simplify the training process? Is it possible to train an adaptive net, or perhaps one that used an adaptive input?
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Old Jan 22, 2010, 12:00pm   #10
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Re: Build Neural Network Indicator in MT4 using Neuroshell

arryex started this thread My experience to train the network is quite faster, as you know, neuroshell was built since 2003 where only slow processor available at that time.
Now using 2000 bar data, 20% data for testing, using turboprop and event after minimum average 1,000,000 event it can be done only within 15 minutes. I am using AMD quad processor for my PC..hence the training time is not the case for me now, I can train the network any time if necessary but I will keep the net if the result still valid.

Please advice if you have any adaptive indicator available in MT4, so I can use it to train the network.
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Old Jan 22, 2010, 12:26pm   #11
 
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Re: Build Neural Network Indicator in MT4 using Neuroshell

Quote:
Originally Posted by arryex View Post
My experience to train the network is quite faster, as you know, neuroshell was built since 2003 where only slow processor available at that time.
Now using 2000 bar data, 20% data for testing, using turboprop and event after minimum average 1,000,000 event it can be done only within 15 minutes. I am using AMD quad processor for my PC..hence the training time is not the case for me now, I can train the network any time if necessary but I will keep the net if the result still valid.

Please advice if you have any adaptive indicator available in MT4, so I can use it to train the network.
I wasn't talking about training. I meant slower to adapt to new trends as in CAT nns or more erratic as in Gr nns.
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Old Jan 22, 2010, 6:12pm   #12
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Re: Build Neural Network Indicator in MT4 using Neuroshell

Quote:
Originally Posted by arryex View Post
My experience to train the network is quite faster, as you know, neuroshell was built since 2003 where only slow processor available at that time.
Now using 2000 bar data, 20% data for testing, using turboprop and event after minimum average 1,000,000 event it can be done only within 15 minutes. I am using AMD quad processor for my PC..hence the training time is not the case for me now, I can train the network any time if necessary but I will keep the net if the result still valid.

Please advice if you have any adaptive indicator available in MT4, so I can use it to train the network.
Sorry, the only MT4 NN indicators I have seen are primative, and do not do the job. They are in forums on NNs in the MT4 website and ForexFactory.

My comment was more a set of questions.
How often do you need to retrain your nets?
Have you considered using the adaptive neural Indicators in NS as preprocessors to your final net?
If you used these, would your net last longer between retraining?

A final question: Do you use ChaosHunter?
Regards
Fralo
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Old Jan 22, 2010, 11:28pm   #13
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Re: Build Neural Network Indicator in MT4 using Neuroshell

arryex started this thread I should explain that I am using Neuroshell2 instead of Neuroshell Trader, it is one of ward product (www.wardsystems.com).

With Neuroshell2 I can build my own prediction or classification and knowing neural net architecture (back propapagation, recurrent network, Kohonen, probabilistic neural network, GRRN, GMDH, etc). While in Neuroshell Trader you can make any prediction or classification using indicators add-on. Using runtime facilities in Neuroshell2 I can make my own add-on indicator for Neuroshell Trader or other software such as MT4. Even this is an oldest product, I can still get some benefits. There are other products that they called as AI Trilogy which consist Neuroshell predictor, classifier, genehunter and runtime facilities but I do not have them.

I think Chaoshunter is more advantage of GMDH neural network, I use it to get relation (formula) between variables, it can be used in many application and not limited for financial matters. I am still learning to use it, may be I can post about it after I get something useful.

You may compare Neuroshell2 and Neuroshell trader with neurosolution and Tradingsolution from neurodimension (www.nd.com) or Alyuda forecaster with Tradedecion. You can choose freely to train your network using a free software (SNNS, MBP, rapidminer etc).
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Old Jan 27, 2010, 6:27am   #14
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Re: Build Neural Network Indicator in MT4 using Neuroshell

arryex started this thread As an advice from Chris (val2004), I tried to implement the same method as described on the following ebook by Mr Kutsurelis. http://citeseerx.ist.psu.edu/viewdoc...10.1.1.26.8408, here attached.

The objective is to predict 10 bars in future EURUSD (daily bar), all inputs are modified as described in attached pictures. All data are taken from MT4 chart, some inputs are not included due unavailability data. The chart is only displayed on Neuroshell trader Chart.

I am still develop the indicator on MT4, since the inputs are coming from other charts, such as EUJPY, USDJPY, #DJC.XDJ, etc.

Cheers,
Arryex
Attached Thumbnails
indicator-inputs.png   training-display.png   predicted-close.png  

Attached Files
File Type: pdf NeuralMarketsThesis.pdf (415.1 KB, 2351 views)
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Old Jan 27, 2010, 4:26pm   #15
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Re: Build Neural Network Indicator in MT4 using Neuroshell

arryex started this thread Anybody know about VantagePoint's Intermarket Anaylisis?

As explained in the book "Trend Forecasting with Technical Analysis" by Louis Mendelsohn, intermarket analysis provide more precise trading strategies.

Based on given inputs, there 5 Neural Networks are produced: 1. predicted 1 bar high (PHigh), 2. predicted 1 bar low (Plow), 3. predicted short term 2 bar SMA5 (PTS), 4. predicted medium term 4 bars SMA10 (PTM), 5. Neural Index (based on difference between predicted 1bar and actual SMA3).

Additional indicators PTS Diff (PTS-actual SMA5) and PTM Diff (PTM-actual SMA10), PHigh Diff (PHigh - High) and PLow Diff(PLow-Low). Unfortunately, I could not found how to get "Strength Index".

Neural Network Inputs: for EURUSD chart daily.
Open,High,Low,Close,Volume,AUDJPY, AUDUSD, EURCAD,GBPJPY, GBPUSD,,^DJI, ^DJT, ^DJU, Nasdaq-100, FTSE 100. I could not include Oil, USD Index, T-Notes as mentioned in the book, due to unavailability data from MT4.

Neural Network outputs:
Lead(High,1), Lead(Low,1), Lead(Avg(Close,5),2), Lead(Avg(Close,10),4) Lead(Avg(Close,3),1)

NN design using back propagation.
The book explain how to use these indicators, such as:
- Buy when PTS Diff or PTM Diff turns positive and sell when PTS DIff or PTM Diff turns negative.
- Buy when PTS cross above TrendS or PTM cross above TrendM and sell when reverse
- Buy when PTS cross above PTM and sell when reverse
- Buy when Neural index 1 and sell when 0.

Higher probability to be used for trading, i.e. when all indicators are in confluence.
Attached Thumbnails
inputs.png   high-probability-buy.png   high-probability-sell.png  

Attached Files
File Type: pdf intermarket_analysis_of_forex_markets.pdf (518.9 KB, 3878 views)
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Old Jan 27, 2010, 6:52pm   #16
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Re: Build Neural Network Indicator in MT4 using Neuroshell

Quote:
Originally Posted by arryex View Post
Anybody know about VantagePoint's Intermarket Anaylisis?

As explained in the book "Trend Forecasting with Technical Analysis" by Louis Mendelsohn, intermarket analysis provide more precise trading strategies.
Thanks for all the info Arryex. I read the book a few years back, tried to use Neuro Solutions to reproduce Mendlsohn's results, and finally gave up. I didn't have all the data, and Neuro Solutions took a looong time training nets.

Did you use NS2 or NST for training? Have you tried using NST to develop trading rules and to backtest the rules? Any results you would care to post?
Regards
Fralo
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