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; Originally Posted by arryex Supremegizmo, I think you may add stop loss in exit strategy..possible to add higher time frame ...

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Old Apr 25, 2011, 1:05pm   #511
Joined Mar 2009
Re: Build Neural Network Indicator in MT4 using Neuroshell

Quote:
Originally Posted by arryex View Post
Supremegizmo,

I think you may add stop loss in exit strategy..possible to add higher time frame signal for exit confirmation..
Arry

I left the neural net to select the exit threshold. I mean the long/short entry/exit

thresholds are selected by neural nets and it not interfered by me. Its ok atleast its giving me some decent returns

No that I know nsdt is truly amazing if one uses practical methods with a bit of '3D' imgaintiaon then he can create strategies
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Old Apr 26, 2011, 7:30am   #512
Joined May 2008
Re: Build Neural Network Indicator in MT4 using Neuroshell

Hi,

back from holiday

A 5 stars article:
http://www.mql5.com/en/articles/252

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Old Apr 26, 2011, 10:00am   #513
Joined Feb 2008
Re: Build Neural Network Indicator in MT4 using Neuroshell

arryex started this thread Thanks Superluz...

Here the link to download encoge

http://code.google.com/p/encog-cs/downloads/list

All information are available at http://www.heatonresearch.com/

Fully programming and customize neural network..
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Old Apr 28, 2011, 4:49am   #514
Joined Feb 2008
Re: Build Neural Network Indicator in MT4 using Neuroshell

arryex started this thread Take benefit for the USD low interest rate ...

Till when..I do not know...

Happy trading
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Old Apr 30, 2011, 11:13am   #515
sgr
Joined Aug 2008
Re: Build Neural Network Indicator in MT4 using Neuroshell

Hi All,
I do little observation and found that indicator created from NS2 recurrent network (Jordan-Elman) tends to repaint. It might be as a result of recurrent network behavior that memorized input sequence. Can anybody confirm it? If it really true, is there any idea so that we can still take an advantage of this kind of recurrent network model?
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Old Apr 30, 2011, 1:03pm   #516
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Re: Build Neural Network Indicator in MT4 using Neuroshell

arryex started this thread Hi Sgr,

Welcome to the thread..

There are few possibility that making your indicator repaint, again it may depend on what inputs and output you are using in your NN.

Another possibility is during presenting the trained net as indicator, I prefer to use the previous completed values to draw indicator instead of current Close price which is not completed yet. My self, using previous completed indicator value to generate the trade signal, if you are using current indicator as trade signal, most probable the signal will repaint.

Anyway I will try to train a net using recurrent network and compare to other nets.
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Old Apr 30, 2011, 1:04pm   #517
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Re: Build Neural Network Indicator in MT4 using Neuroshell

arryex started this thread Sgr..

Kita sama2 orang Indonesia?...he..he..
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Old Apr 30, 2011, 1:17pm   #518
sgr
Joined Aug 2008
Re: Build Neural Network Indicator in MT4 using Neuroshell

Thanks Arryex,
Currently, I use no-repaint inputs, and use previous completed values to draw indicator. I compare two networks, one with recurrent network, and the other using Ward Nets, by using the same indicator code and inputs.The first one is repaint, and the second one is not repaint. During my observation, it is easier to get higher R square and correlation coefficient using recurrent network rather than ward nets.
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Old Apr 30, 2011, 11:50pm   #519
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Re: Build Neural Network Indicator in MT4 using Neuroshell

arryex started this thread Can you post your data, hence we can use the same problem reference? I could not work based on guessing..

Thanks
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Old May 1, 2011, 12:39am   #520
sgr
Joined Aug 2008
Re: Build Neural Network Indicator in MT4 using Neuroshell

Quote:
Originally Posted by arryex View Post
Can you post your data, hence we can use the same problem reference? I could not work based on guessing..

Thanks
Hi Arryex, please check your PM..
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Old May 1, 2011, 1:10am   #521
Joined Feb 2008
Re: Build Neural Network Indicator in MT4 using Neuroshell

arryex started this thread Hallo Mas Sgr,

I have tested my own neuroMACD based on Back Propagation net vs Recurrent Net, the training result and indicator values are different but not repainted and both of them generate same signal almost at the same time.

I will have a look for your data.
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training-net01-bp-vs-recurrent-n07.png   aaneuromacd-n01-vs-n07.png  
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Old May 1, 2011, 2:42am   #522
Joined Feb 2008
Re: Build Neural Network Indicator in MT4 using Neuroshell

arryex started this thread Hi Sgr,

Please find here my own trained net and implemented chart, all are using your data.

Based on your data I do not know what instrument pair and the output that you try to predict but I just assume that you try to predict MACD and I implemented on XAUDUSD.

Please tell me what is the pair and output prediction, if it is not XAUUSD then I conclude that the net is applicable for other pairs.
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sgrmacd1.png   sgrmacd2.png   sgrmacd-training.png  


Last edited by arryex; May 1, 2011 at 2:48am.
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Old May 1, 2011, 3:14am   #523
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Re: Build Neural Network Indicator in MT4 using Neuroshell

arryex started this thread And here you can compare the indicator result based on your data and my own data..either inputs, output and pair data used should impact the quality of prediction
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Old May 1, 2011, 3:31am   #524
sgr
Joined Aug 2008
Re: Build Neural Network Indicator in MT4 using Neuroshell

Hi Mas Arryex,
I tried to predict MACD on EU TF 4H. Below I attach indicator output value screenshots for both of networks. The left one is back propagation and the right one is recurrent network. The top one is running value, while the bottom one is static value. On the back propagation, both the running value and static indicate identical value, while on recurrent network indicate slightly different value (repaint). On recurrent network, the OOS R square is quite intriguing, though
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net.png   net2.png  

Last edited by sgr; May 1, 2011 at 4:52am.
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Old May 1, 2011, 5:17am   #525
sgr
Joined Aug 2008
Re: Build Neural Network Indicator in MT4 using Neuroshell

I quote from Wikipedia:
...This special case of the basic architecture below was employed by Jeff Elman. A three-layer network is used, with the addition of a set of "context units" in the input layer. There are connections from the middle (hidden) layer to these context units fixed with a weight of one.[3] At each time step, the input is propagated in a standard feed-forward fashion, and then a learning rule is applied. The fixed back connections result in the context units always maintaining a copy of the previous values of the hidden units (since they propagate over the connections before the learning rule is applied). Thus the network can maintain a sort of state, allowing it to perform such tasks as sequence-prediction that are beyond the power of a standard multilayer perceptron...

The input sequence does matter in recurrent network like Elman network, and current output impacts previous outputs. See the diagram. I think it explains previous repaint behavior as I noted.
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