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 Krzysiaczek99 Hi Arry and trendick, I believe such combination i.e. NS2 made net + MT4 is not ...

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Old Feb 12, 2010, 11:26am   #33
 
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Joined Feb 2010
Re: Build Neural Network Indicator in MT4 using Neuroshell

Quote:
Originally Posted by Krzysiaczek99 View Post
Hi Arry and trendick,

I believe such combination i.e. NS2 made net + MT4 is not good at all. The biggest disadvantage is lack of multithreading of MT4, lack of real time trade analysis, portfilio sizing and Money management. With this setup is also not possible to make Walk Forward analysis with cluster analysis.

I think the best combination will be to use Multicharts + MSA + Grail system.
Advantage wiil be full multithreading , WF optimizer build in, compatibile trade format wit MSA and compatiblility with Grail system.

FYI MSA - Market system Analyzer - makes real time trade analysis including MonteCarlo
analysis + Equity curve trading on single strategy and portfilio level www.adaptrade.com

Grail - www.thegrailsystem.com - its GO and WF analyzer capable to make cluster WF analysis. Another part called CASB is a genetic rule searcher.

Both those tools are compatibile with TS and MC.

For MC you can get also free FOREX data from forexite so its not a problem with it at all. MC is also capable to work with multiple data streams so it can use NN (dll) from NS2.

Krzysztof
Hi Krzysztof,

These look like very interesting systems. Have you tried using this mix or any of the components? In any case, this discussion emphasizes a very important topic on its own, (which is off-subject in this thread): What would be the right mix of trading systems/components.
Although there us no "right choice" because it should match subjective requirements and constraints, I believe it can still pay off to consider the newer systems when they offer significant advantage. For example, if Grail is much faster then NS in its global optimization engine then it's worth considering switching and paying the big penalty
of studying it and coping with the usual hustles of every new system including bad documentation and bugs. Have you tried it?
In any case, it might be worth opening a dedicated thread that introduces new products and techniques with an attempt to generate a communal critical examination of their features. Is there already such a thread here or elsewhere?
From what I've seen here and on other Forex forums it seems that you are the right person to lead such a thread .

Trendick
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Old Feb 12, 2010, 1:13pm   #34
Joined Feb 2008
Re: Build Neural Network Indicator in MT4 using Neuroshell

arryex started this thread Hi Krzys,

Thanks for the information given, I am trace them seems quite interesting.

This is my case only, it may be due to the quality of internet in my place, I've used the data feeding from data feeder with other charting software, such as esignal as data feeder and NST or other for charting. I get some problems, i.e. slippage while displaying the data. Since then I try to avoid to use a different data feeder and charting software and prefer to have an integrated one. With MT4 I never have this problem, since the charting and data feeder is in one software.

I 've seen that Multichart, trade station need a different data feeder, multicharts lifetime license is $1497, it is good if we can integrate with MT4 otherwise we need to subscribe datafeeder.

For your proposed solution, we need tradestation, multicharts, Grail system, MSA and realtime data feeder. It is good to verify them as an integrated trading tools..

thank you
Arryex
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Old Feb 12, 2010, 3:17pm   #35
Joined Jan 2009
Re: Build Neural Network Indicator in MT4 using Neuroshell

I believe the main problem here is that with MT4 setup you are not able to verify
if you will make money or not.

Quote:
I know the back test result on MT4 not as good as NST, but I should accept it as long I do not have any other tools can be used. For your information, I took the data from trained NN from MT4 on 15 minutes time frame about 2500 data since 1999 (20% out of sample) and I implement to test it on 4H time frame after 2006. For me it can be considered as a full walk forward test. It give me a hints how a robustness of my trained NN (correct me if I am wrong).
Such approach is not accurate enough. You dont know if optimization period and out of sample period are optimal, you also dont know how frequent to retrain/reoptimize.
This why Walk Forward cluster analysis can be used here.

You also dont know which MM method will me the most efficient for this strategy,
if there is a trade dependancy , if it passess MonteCarlo test etc.

All those answers you can find using MSA and Grail in this case.

Regarding my current set up. I'm using MC + MSA + Grail. As a data feed i use free
forexite data, so actually you can get this set up for free at least for 1 month
as you can take a trail of MC for one moth, trail of MSA and trail of Grail. After the trial
MC works OK offline so backtest is still possible.

Tradestation you dont need, you only need Global server which is part of TS package
but also stand alone application.

Regarding slippage....hmmmm you said that it is H4 TF than slippage should not matter so much here.

Krzysztof
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Old Feb 12, 2010, 4:27pm   #36
Joined Feb 2008
Re: Build Neural Network Indicator in MT4 using Neuroshell

arryex started this thread Hi Kryzs,

I think it is good if you can show one of your trading strategy sample result (in forex or others), how you integrate your data feeder, training and walk forward test result, Monte Carlo test..etc.
1. Regarding data feeding, are you using realtime ASCII file transfer to feed your MC or manual transfer, which forexite data you are using, do you need additional software to transfer them.
2. Training and optimization, how long it takes?
3. Can you show us the sample pictures of those process? for example any steps that required, so I can easily to see your results.

Thank you & regards,
Arryex
How long you do the optimization, is it realtime data?
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Old Feb 12, 2010, 5:02pm   #37
Joined Jan 2009
Re: Build Neural Network Indicator in MT4 using Neuroshell

Quote:
Originally Posted by arryex View Post
Hi Kryzs,

I think it is good if you can show one of your trading strategy sample result (in forex or others), how you integrate your data feeder, training and walk forward test result, Monte Carlo test..etc.
1. Regarding data feeding, are you using realtime ASCII file transfer to feed your MC or manual transfer, which forexite data you are using, do you need additional software to transfer them.
2. Training and optimization, how long it takes?
3. Can you show us the sample pictures of those process? for example any steps that required, so I can easily to see your results.

Thank you & regards,
Arryex
How long you do the optimization, is it realtime data?
1) I use real time forexite data feed. You can download small application from forexite
site which dowloads forex data to your PC. Than Global Server read this and transfers to MC. See enclosure.

2) For MC as it is multithread so all CPU cores are used so for quad core PC it is 4 times
faster than in NSDT. Additionally you can see optimization surface as a 3D picture
See this.

http://www.forex-tsd.com/indicators-...tml#post329009

see post 351-353

In case you use Grail speed is about the same like in NSDT but Grail is very specialized application for this so you can see e.g. a lot of different equity curves and other parameters. Than trades files created by Grail GO are input for Grail WFA to make detailed WF analysis.

3) I will post some examples of reports and some screenshoots later this day.

Krzysztof
Attached Files
File Type: pdf Free_Forex_data for TradeStation 2000i.pdf (550.2 KB, 1222 views)
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Old Feb 12, 2010, 5:15pm   #38
Joined Jan 2009
Re: Build Neural Network Indicator in MT4 using Neuroshell

a few screens from MSA
Attached Thumbnails
s1.jpg   s2.jpg   s3.jpg  

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Old Feb 12, 2010, 5:48pm   #39
Joined Jan 2009
Re: Build Neural Network Indicator in MT4 using Neuroshell

http://neuroforex.net/index.php?opti...id=27&catid=10

http://forex.kbpauk.ru/showflat.php/...0/fpart/2/vc/1

Here are the russian threads which describe integration NS2 and MT4 for those who are intrested
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Old Feb 12, 2010, 6:55pm   #40
Joined Jan 2007
Re: Build Neural Network Indicator in MT4 using Neuroshell

It seems to me that the tools you use to build and test a system depend a lot on the stage of development. MT4 and an NS2 generated DLL should be adequate to simply try to test the robustness of a NN. But I'm not sure just what that means as explained below.

Regarding the slow speed of testing with MT4, I think this can be overcome using a DLL. e.g. a DLL to compute the Corona spectral indicators might speed things up a lot. The Net that Arryex uses would probably run very slowly if implemented in MLQ code. You can even multi thread the DLL if necessary.

It may be desireable to use other apps to make additional tests after the system has been developed and tweaked using MT4. And you may very well want to use a more rigorous test bed including MC, etc before you trade live. Krzysztof rightly points out some advantages of MC, MSA and the Grail.

But I have had enough talk of the tools. Each of us can select our own (the discussion so far has been very helpful in this regard). What about the concept? Does this EA backtest really verify that there are useful patterns in multiple markets? Do the patterns change with time? What is the best way to exploit the patterns if they exist? I am afraid that tests that use an EA may hide the true value, because they depend as much on the testing platform and the trading system as on the indicator.

I am initially concerned with two things:
1. How accurate are the predictions? (The mse is not a sufficient measure for me).

Suppose, for example that you could predict the next bar high and low perfectly. Then you could write an EA that entered at one extreme and exited at the other. A Holy Grail system!

But there are no such thing as perfect predictors. The question is, how large are the errors, and how are they distributed. e.g. if the 90% confidence intervals on the high and low predictions do not overlap for some set of values of predicted range, then one should be able to develop a trading system with controlled risk/reward ratio and controlled average gain per trade. There is no need for immediate testing with an EA, or for optimization. Such testing may easily hide the value of the prediction.

We do not need to rely on a difficult to program and understand platform for testing the error distribution. An Excel spread sheet will do the trick. However, we do need many predictions. I will volunteer to do the error measurements if Arryex will supply a file of at least 10000 predictions, or provide an indicator that can be used to make the predictions.

2. Are the errors stationary?
If the errors are not stationary, then it may be necessary to retrain the net periodically, or to use some form of adaption. This too can be measured with a spread sheet. If the mean and variance of the errors do not change with time or duration, then the errors are stationary enough. I know, I know, this is not the best, or even a complete test of stationarity, but it is good enough test to decide whether the Nets must be periodically retrained. I will also volunteer to make these measurements, because they are simple enough for me to grasp. We can all agree on what they mean. The performance of an EA is so dependent on the details of the EA that we probably would all disagree on what it meant.

Of course I would much prefer that you (Arryex) make the measurements, but if you are too busy, or not interested, then please post a file of the predicitions, or the indicator to make them.

Regards
Fralo...MadCow elsewhere.
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