Machine learning in trading: theory, models, practice and algo-trading - page 2577
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if you increase the model window from 100 to 500 or 1000, the results are more stable and earnings are 2 times more
Conclusion: it makes sense to be interested in it in principle
if you increase the model window from 100 to 500 or 1000, the results are more stable and earnings are 2 times more
Conclusion: it makes sense to be interested in it in principle
What if I trade for a year or two instead of one month?
Metatrader is giving out leaky quotes, only after 8k candles of the pound and the euro are synchronized by date/time, then there is a mess. is there normal quotes?
I do so.
By the main symbol (on which the Expert Advisor is running) we copy not quotes, but bar times. Just to have an array of dates. It is best of all on EURUSD where there are least skips of bars. Or, instead of copying dates from quotes, we may just try to copy all dates.
datetime time[]; CopyTime(_Symbol,_Period,first_Bar,rows,time);// считать время баров
Then I call functions to fill 1 line for learning by time of this line. As a result, we get synchronization on any characters.
for(int bar=0; bar<rows; bar++){
loadInputs (time[bar], ina);//входы
loadOutputs(time[bar], outa);//выходы
...
}
In the loadInputs functions - I read either bars or indicators or my own functions. All currencies are synchronized by time: I requested March 1 10:10, I get data for this time and if there was no bar at this moment, I get the previous known one. From the help " When requesting data by initial date and number of items required, only data whose date is less than (earlier) or equal to the specified one is returned . "
In loadOutputs - teacher (or from the indicator what is more obvious, but it is more reliable to duplicate/make calculation of the indicator in the expert).
Now I looked at my loadInputs - if I need for example 100 bars/features from it, then I take just pieces from the start time. For full accuracy it may be necessary to take these 100 bars by time. After all, for some symbol may fall into a gap in time (there was no bar or a trade was closed). Although, all indicators are built by pieces, for example 100 MA, is built simply by 100 bars, and for example if 10 bars are missing in quotations, then 10 older bars will be used. In general, I think inside the line does not need to be synchronized by time.
And MT has problems with synchronization.
Here's what I'm doing right now.
In loadOutputs - I read outputs from the indicator.
I added information fields to the output indicator. I start reading them in loadOutput.
I compared the output marts and it turned out that loadOutputs are not absolutely consistent.
About 50 000 lines, a few dozens of Outs (in the sample, when I request additional fields from the output of the indicator) are not equal to the Outs when I don't request additional fields. In general, reading other outputs of the indicator (at other times), for some reason, very rarely change the main output of the indicator.
I haven't figured out what is the problem yet. For the last 4 weeks I've neglected it, because I'm busy with other things. Next week I'll continue MO digging))
That is why I am inclined to count everything in Expert Advisor from the same quotes, without indicators.
if you increase the model window from 100 to 500 or 1000, the results are more stable and earnings are 2 times more
Conclusion: it makes sense to be interested in it in principle
Has anyone tried to dock to Dukascopy? to their Jforex via java? Maybe there is a java gasket from Jforex to R ? An analogue from MT4 to R ?
Why do you have to ducascopy?
Because ....
So do we know or not? At least a simple transaction copier in JForex....
Cleaned up the crooked data, left only the prices/dates that are in the pound and the yen
Of the 50k of data left 39k ... I do not know how you can so CONSTANTLY save the history, and the meta-quotes?
Something a lot is deleted. What server?
I usually do all the checks on the working server and on a working (not demo) account.
For EURUSD I very rarely miss bars on М1 - not every day and not more than 2-5, usually at night. And they are skipped because there were no ticks during the bar.
Other currencies with less active trade have more skips. The pound seems to be active, it's strange that you removed 20% of bars.
Did the test
Six months... what if you do 2-3 years?