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LSTM Neural Network - library for MetaTrader 5
- Published by:
- Shephard Mukachi
- Views:
- 10075
- Rating:
- Published:
- 2019.01.17 20:59
- Updated:
- 2019.05.20 21:45
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Attached are the include files for the LSTM. The files included are:
- Gates - for the 4 gates used in an LSTMs.
- TimeStep - which combines the gates, and in practical usage would represent the time series bars.
- LSTMNetwork - implementing the learning algorithms.
Also included is an example LSTMTest script using the Simple RPC indicator, also attached.
To create a new LSTM network, provide the constructor with number of patterns, number of inputs (predictors per timestep) and the number of timesteps, as shown below;
CLSTMNetwork *net=new LSTMNetwork(patterns,inputs,timesteps);
To teach the network, call the Learn function, providing it with the input array, the targets array, the learning error threshold, and the number of learning epochs as below;
net.Learn(in,tg,mse,500000);
After learning, the final error and epochs taken to converge can be acquired from the network as below;
net.MSE(); net.Epochs();
To check a particular pattern against the network, the Calculate function is called, passing the candidate pattern into the function as a parameter as shown;
net.Calculate(in);
The Calculate function returns the output. This LSTM has a single output neuron.
If anyone finds bugs or has improvements or any suggestions, please be kind enough to share. Good luck.
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