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 supastas Fralo, what exactly features did you used, what is "EU,EG,GJ,GU, UJ" - EuroUsd ( already used ...

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Old Nov 1, 2010, 6:36pm   #273
Joined Jan 2007
Re: some conclusions

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Originally Posted by supastas View Post
Fralo, what exactly features did you used, what is "EU,EG,GJ,GU, UJ" - EuroUsd ( already used ), EuroGpb, GpbJpy, etc ?
I think, for EuroUsd it makes sense to use corresponding to Euro and Usd instruments - EuroGpb, GpbUsd and UsdJpy from your list.
I've been watching your thread for a couple of weeks, i think Neural Networks are not so good for price predictions. For a few years, a lot of articles and researches showing SVM ( Support Vector Machines ) as better alternative for market predictions. SVM has no local-minimum traps and overfitting.
Right now i'm checking strategy for SVM+WAVELETS combination, based on Electricity market research. It can't predict minimum/maximum of feature price bar very well, but can do it well to predict future price movements.
I'm using MATLAB + MetaTrader, one for calculations and another for input data ( indicators, EU, EG, GU, etc. ) provider.
As soon as i'll complete tests, i'll publish results here.
Sorry to take so long to answer. Yes e.g. EU is EURUSD, etc.
I used 3 T3 filters on a pair: High, Low, and Close
Then found the difference between H,L,C and the filters.
Call these dH,dL,dC
Call the slope and momentum of the filter ST3 and MT3
For the data base that resulted in 10 pip rmse, I used
From EU: dH,dL,dC and lag1 and lag2 of these, for 9 elements of the input vector
and added ST3 and MT3 for high or low depending on the target.
Then I added dH,dL, and ST3,MT3 for EG,GJ,GU,and UJ for 16 more elements.
Total 27 elements in the input vector.

I used dH as one target and dL as the other.

All of the elements are at least first differences, so they are at least quasi-stationary, which I think is necessary for good generalization.

However, it seems like a pretty complicated way to get a prediction that is still pretty poor.

Regarding SVM. Since SVM transforms data to a much higher dimensional space, it suffers from the curve-fitting problem as much as other models. (The higher the dimensionality of a model, the more adjustable parameters, so the easier to curve-fit). Finding an SVM model on one block of data may not generalize any better or even as well as properly trained NN's.
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Old Nov 22, 2010, 3:21pm   #274
Joined Aug 2010
Re: Build Neural Network Indicator in MT4 using Neuroshell

Has anyone heard of '' neural network trainning: using sliding window concept''?
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Old Nov 22, 2010, 6:06pm   #275
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Re: Build Neural Network Indicator in MT4 using Neuroshell

Quote:
Originally Posted by tovim View Post
Has anyone heard of '' neural network trainning: using sliding window concept''?
I'm not sure what you're looking for, but you might look at this:
http://www.cse.msu.edu/ei/miln_new.html
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Old Nov 23, 2010, 12:05pm   #276
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Re: Build Neural Network Indicator in MT4 using Neuroshell

...........

Last edited by tovim; Nov 24, 2010 at 6:51am.
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Old Nov 23, 2010, 3:37pm   #277
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Re: Build Neural Network Indicator in MT4 using Neuroshell

Thanks for the link Fralo,

I am looking for self trained neural network( retraining on every bar or someting close) like similar to neuroshell's adaptive turboprob oradaptive nets.Is sliding window concept the sma thing http://www.forexfactory.com/showpost...38&postcount=2 thanks.
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Old Nov 23, 2010, 6:35pm   #278
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Re: Build Neural Network Indicator in MT4 using Neuroshell

arryex started this thread Hi All,

So long not to check ..seems so far so many development on going here..

Tovim, if you have already an neural network engine (program, dll etc) which is used to to train the NN to produce the predicted output, then you can call it to run whenever the new data (Close or other) completed. Since it will become an online training, then it will depend on some factors: input, output, complexity and method of NN calculation and your computer speed.

Most of case if your calculation used to train is longer than the used time frame ..the prediction will be useless since the output is delayed, example if you PC can train the NN based on new data within 3 minutes, you should not use it to predict 1 minutes data. Just an opinion...
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Old Nov 23, 2010, 6:52pm   #279
 
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Thumbs up Re: Build Neural Network Indicator in MT4 using Neuroshell

I haven't read all the pages from this thread, but I read more than enough and I can see you guys have considerable interest in AI algorithms for trading. Unfortunately I also think you're taking the wrong approach. The company I represent has successfully built an MT4 indicator which can predict the MACD with good accuracy and is now in progress of building other indicators on the same principle, so I'd like to share a few thoughts:

You're trying too many strategies! There's a reason neural networks have been successful. They work great in recognizing patterns and that's what Forex is all about! If you haven't found a solution, then you haven't searched hard enough, because the solution exists. There's also a reason why SVM's and other algorithms are or should be successful. They work too, in classification or other stuff specific to each algorithm. They all work and they should all work in Forex. Pick a strategy and stick to it no matter what. Learn it by heart, learn how to adapt it and learn how changing it's parameters changes it's behavior. Don't try too many different things or you won't be successful in neither.

Normalize the data you're using. If you don't know what this means, google it. It's one of the most important things you can do, no matter which algorithm you pick.

Adding more layers to a neural network doesn't make it better. 3 layers is more than enough, if you choose the correct number of neurons.

Performing more iterations doesn't make the solution better. It will probably make it worse. I saw references here to >1.000.000 iterations. Are you kidding me? This is way too much. You're just over-training your algorithm and it's not going to perform well in practice.
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Old Nov 23, 2010, 8:31pm   #280
Joined Feb 2008
Re: Build Neural Network Indicator in MT4 using Neuroshell

arryex started this thread Hi Proteus,

Congratulation, for your development of indicator.

Since beginning, the initial idea of this thread is to share and develop the knowledge how to build indicator/EA in MT4 using Neural Network whatever the software used.

So far you mentioned on your web:
- inputs NN are some indicator RSI, price, etc
- output NN is 5 bar MACD (20, 200,20)
- You used out of sample data to define the accuracy of prediction (bar #1 - MACD main: 90%, MACD signal: 95%; bar #2 - MACD main: 88%, MACD signal: 92% etc), those are made based on 150 random test over 20K training data). How do you make such percentage? currently we use term of MSE, RMSE, same sign, etc to measure the accuracy. I do not think we use similar value as percentage, for example put 100% correct if all predicted values are same as actual.If you have 90% accuracy, means over the 20000 values of MACD, your prediction has 90% same value..I do not know the pip you are using 5 digit or 4 digit decimal?

I don't know your way to display the indicator, either firing the net by putting trained NN in mq4 code or calling dll. For saving your code, I guest dll calling is preferred.

Do you have develop also the EA based on your indicator? only by knowing the trading statistic we can conclude that indicator is useful or not.

Hope you can share your idea as well...
Arryex
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