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AN EA BASED ON B BANDS AND B WIDTH, NEED SOME URGENT HELP !! - page 3

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Dear angevoyager,

I belive Nothing is imposible in this world, if u want to become the president for USA, we can, we have to dream for it and we have start to try on it, with a proper plan, again i say i belive in " Nothing is imposible"

i dont have any programing back ground,only i have a graduation in Economics. I am studying MQL from scraps,and I have a Technical analysys certification from Bombay stock Exchange(BSE).

As i sed before i have been trying to make a width based ea with some other indicators and i dont want to follow the nural method, but for my studyes i tryed to make an width ea in nural,

last one month test i have attached, but the problem here is this ea not going Short sell :-)

Strategy Tester Report
MetaQuotes-Demo (Build 794)
 
Settings
Expert: Kundi5
Symbol: EURUSD
Period: H1 (2013.04.01 - 2013.04.10)
Inputs: StopLoss=30
  TakeProfit=100
  EA_Magic=12345
  Lot=1.00000000
  w0=0.50000000
  w1=0.50000000
  w2=0.50000000
  w3=0.50000000
  w4=0.50000000
  w5=0.50000000
  w6=0.50000000
  w7=0.50000000
  w8=0.50000000
  w9=0.50000000
  w10=0.50000000
  w11=0.50000000
  w12=0.50000000
  w13=0.50000000
Broker: MetaQuotes Software Corp.
Currency: USD
Initial Deposit: 10 000.00
Leverage: 1:100
 
Results
History Quality: 100%
Bars: 167 Ticks: 39708 Symbols: 1
Total Net Profit: 2 283.40 Balance Drawdown Absolute: 603.50 Equity Drawdown Absolute: 674.50
Gross Profit: 2 997.90 Balance Drawdown Maximal: 603.50 (6.04%) Equity Drawdown Maximal: 1 371.80 (12.82%)
Gross Loss: -714.50 Balance Drawdown Relative: 6.04% (603.50) Equity Drawdown Relative: 12.82% (1 371.80)
 
Profit Factor: 4.20 Expected Payoff: 380.57 Margin Level: 730.27%
Recovery Factor: 1.66 Sharpe Ratio: 0.60 Z-Score: -0.46 (35.45%)
AHPR: 1.0367 (3.67%) LR Correlation: 0.93 OnTester result: 0
GHPR: 1.0349 (3.49%) LR Standard Error: 606.58  
 
Total Trades: 6 Short Trades (won %): 0 (0.00%) Long Trades (won %): 6 (50.00%)
Total Deals: 12 Profit Trades (% of total): 3 (50.00%) Loss Trades (% of total): 3 (50.00%)
  Largest profit trade: 1 000.00 Largest loss trade: -303.50
  Average profit trade: 999.30 Average loss trade: -238.17
  Maximum consecutive wins ($): 3 (2 997.90) Maximum consecutive losses ($): 2 (-603.50)
  Maximal consecutive profit (count): 2 997.90 (3) Maximal consecutive loss (count): -603.50 (2)
  Average consecutive wins: 3 Average consecutive losses: 2
 
 
 
Correlation (Profits,MFE): 0.68 Correlation (Profits,MAE): 0.72 Correlation (MFE,MAE): 0.3043
 
Minimal position holding time: 1:03:40 Maximal position holding time: 82:45:40 Average position holding time: 27:28:23
 
                         
Orders
Open Time Order Symbol Type Volume Price S / L T / P Time State Comment
2013.04.01 00:00 2 EURUSD buy 1.00 / 1.00 1.28140 1.27840 1.29140 2013.04.01 00:00 filled  
2013.04.01 03:15 3 EURUSD sell 1.00 / 1.00 1.27840     2013.04.01 03:15 filled sl 1.27840
2013.04.01 04:00 4 EURUSD buy 1.00 / 1.00 1.27777 1.27477 1.28777 2013.04.01 04:00 filled  
2013.04.04 14:45 5 EURUSD sell 1.00 / 1.00 1.27477     2013.04.04 14:45 filled sl 1.27477
2013.04.04 15:00 6 EURUSD buy 1.00 / 1.00 1.27734 1.27434 1.28734 2013.04.04 15:00 filled  
2013.04.04 16:03 7 EURUSD sell 1.00 / 1.00 1.28734     2013.04.04 16:03 filled tp 1.28734
2013.04.04 17:00 8 EURUSD buy 1.00 / 1.00 1.28541 1.28241 1.29541 2013.04.04 17:00 filled  
2013.04.05 14:19 9 EURUSD sell 1.00 / 1.00 1.29541     2013.04.05 14:19 filled tp 1.29541
2013.04.05 15:00 10 EURUSD buy 1.00 / 1.00 1.29901 1.29601 1.30901 2013.04.05 15:00 filled  
2013.04.09 17:25 11 EURUSD sell 1.00 / 1.00 1.30901     2013.04.09 17:25 filled tp 1.30901
2013.04.09 18:00 12 EURUSD buy 1.00 / 1.00 1.30923 1.30623 1.31923 2013.04.09 18:00 filled  
2013.04.09 23:59 13 EURUSD sell 1.00 / 1.00 1.30812     2013.04.09 23:59 filled end of test
 
Deals
Time Deal Symbol Type Direction Volume Price Order Commission Swap Profit Balance Comment
2013.04.01 00:00 1   balance         0.00 0.00 10 000.00 10 000.00  
2013.04.01 00:00 2 EURUSD buy in 1.00 1.28140 2 0.00 0.00 0.00 10 000.00  
2013.04.01 03:15 3 EURUSD sell out 1.00 1.27840 3 0.00 0.00 -300.00 9 700.00 sl 1.27840
2013.04.01 04:00 4 EURUSD buy in 1.00 1.27777 4 0.00 0.00 0.00 9 700.00  
2013.04.04 14:45 5 EURUSD sell out 1.00 1.27477 5 0.00 -3.50 -300.00 9 396.50 sl 1.27477
2013.04.04 15:00 6 EURUSD buy in 1.00 1.27734 6 0.00 0.00 0.00 9 396.50  
2013.04.04 16:03 7 EURUSD sell out 1.00 1.28734 7 0.00 0.00 1 000.00 10 396.50 tp 1.28734
2013.04.04 17:00 8 EURUSD buy in 1.00 1.28541 8 0.00 0.00 0.00 10 396.50  
2013.04.05 14:19 9 EURUSD sell out 1.00 1.29541 9 0.00 -0.70 1 000.00 11 395.80 tp 1.29541
2013.04.05 15:00 10 EURUSD buy in 1.00 1.29901 10 0.00 0.00 0.00 11 395.80  
2013.04.09 17:25 11 EURUSD sell out 1.00 1.30901 11 0.00 -1.40 1 000.00 12 394.40 tp 1.30901
2013.04.09 18:00 12 EURUSD buy in 1.00 1.30923 12 0.00 0.00 0.00 12 394.40  
2013.04.09 23:59 13 EURUSD sell out 1.00 1.30812 13 0.00 0.00 -111.00 12 283.40 end of test
  0.00 -5.60 2 289.00 12 283.40  
 

 

angevoyageur:
What neural network has to do with your "width" ? It's hard to follow you.
Sir I am posting my new studyes , its the width i coded in nural networks, but the thing is that its not taking short conditions, can u help me to find out the issue ?
//+------------------------------------------------------------------+
//|                                                       Kundi3.mq5 |
//|                        Copyright 2013, MetaQuotes Software Corp. |
//|                                              http://www.mql5.com |
//+------------------------------------------------------------------+
#property copyright "Copyright 2013, MetaQuotes Software Corp."
#property link      "http://www.mql5.com"
#property version   "1.00"


//--- input parameters
input int      StopLoss=30;      // Stop Loss
input int      TakeProfit=100;   // Take Profit
input int      EA_Magic=12345;   // EA Magic Number
input double   Lot=1.0;          // Lots to Trade
//--- weight values                                                                   
input double w0=0.5;
input double w1=0.5;
input double w2=0.5;
input double w3=0.5;
input double w4=0.5;
input double w5=0.5;
input double w6=0.5;
input double w7=0.5;
input double w8=0.5;
input double w9=0.5;
input double w10=0.5;
input double w11=0.5;
input double w12=0.5;
input double w13=0.5;

//-------------------------

int               iBands_handle;     //  variable for storing the indicator handle
double            iBands_Basebuf[];  //  dynamic array for storing indicator values
double            iBands_Upperbuf[]; //  dynamic array for storing indicator values
double            iBands_Lowerbuf[]; //  dynamic array for storing indicator values

double            inputs[14];        // array for storing inputs
double            weight[14];        // array for storing weights

string            my_symbol;         // variable for storing the symbol
ENUM_TIMEFRAMES   my_timeframe;      // variable for storing the time frame
double            lot_size;          // variable for storing the minimum lot size of the transaction to be performed

double p_close; // Variable to store the close value of a bar
int STP, TKP;   // To be used for Stop Loss & Take Profit values
double            out;               // variable for storing the output neuron value


//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
int OnInit()
  {
//--- Do we have sufficient bars to work
   if(Bars(_Symbol,_Period)<60) // total number of bars is less than 60?
     {
      Alert("We have less than 60 bars on the chart, an Expert Advisor terminated!!");
      return(-1);
     }

//--- save the current chart symbol for further operation of the EA on this very symbol
   my_symbol=Symbol();
//--- save the current time frame of the chart for further operation of the EA on this very time frame
   my_timeframe=PERIOD_CURRENT;
//--- save the minimum lot of the transaction to be performed
   lot_size=SymbolInfoDouble(my_symbol,SYMBOL_VOLUME_MIN);
//--- apply the indicator and get its handle
   iBands_handle=iBands(my_symbol,my_timeframe,20,0,2.0,PRICE_CLOSE);
//--- check the availability of the indicator handle
   if(iBands_handle==INVALID_HANDLE)
     {
      //--- no handle obtained, print the error message into the log file, complete handling the error
      Print("Failed to get the indicator handle");
      return(-1);
     }
//--- add the indicator to the price chart
   ChartIndicatorAdd(ChartID(),0,iBands_handle);
//--- set the iBands_Basebuf array indexing as time series
   ArraySetAsSeries(iBands_Basebuf,true);
//--- set the iBands_upper indexing as time series
   ArraySetAsSeries(iBands_Upperbuf,true);
//--- set the iBands lower array indexing as time series
   ArraySetAsSeries(iBands_Lowerbuf,true);
   
//--- place weights into the array
   weight[0]=w0;
   weight[1]=w1;
   weight[2]=w2;
   weight[3]=w3;
   weight[4]=w4;
   weight[5]=w5;
   weight[6]=w6;
   weight[7]=w7;
   weight[8]=w8;
   weight[9]=w9;
   weight[10]=w10;
   weight[11]=w11;
   weight[12]=w12;
   weight[13]=w13;
   
   //--- Let us handle currency pairs with 5 or 3 digit prices instead of 4
   STP = StopLoss;
   TKP = TakeProfit;
   if(_Digits==5 || _Digits==3)
     {
      STP = STP*10;
      TKP = TKP*10;
     }
   return(0);
  }

//+------------------------------------------------------------------+
//| Expert deinitialization function                                 |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
  {
//--- delete the indicator handle and deallocate the memory space it occupies
   IndicatorRelease(iBands_handle);
//--- free the iBands Base dynamic array of data
   ArrayFree(iBands_Basebuf);
//--- free the iBand lower dynamic array of data
   ArrayFree(iBands_Lowerbuf);
//--- free the iBands upper dynamic array of data
   ArrayFree(iBands_Upperbuf);
  }
//+------------------------------------------------------------------+
//| Expert tick function                                             |
//+------------------------------------------------------------------+
void OnTick()
  {
//--- Do we have enough bars to work with
   if(Bars(_Symbol,_Period)<60) // if total bars is less than 60 bars
     {
      Alert("We have less than 60 bars, EA will now exit!!");
      return;
     }  

// We will use the static Old_Time variable to serve the bar time.
// At each OnTick execution we will check the current bar time with the saved one.
// If the bar time isn't equal to the saved time, it indicates that we have a new tick.

   static datetime Old_Time;
   datetime New_Time[1];
   bool IsNewBar=false;

// copying the last bar time to the element New_Time[0]
   int copied=CopyTime(_Symbol,_Period,0,1,New_Time);
   if(copied>0) // ok, the data has been copied successfully
     {
      if(Old_Time!=New_Time[0]) // if old time isn't equal to new bar time
        {
         IsNewBar=true;   // if it isn't a first call, the new bar has appeared
         if(MQL5InfoInteger(MQL5_DEBUGGING)) Print("We have new bar here ",New_Time[0]," old time was ",Old_Time);
         Old_Time=New_Time[0];            // saving bar time
        }
     }
   else
     {
      Alert("Error in copying historical times data, error =",GetLastError());
      ResetLastError();
      return;
     }

//--- EA should only check for new trade if we have a new bar
   if(IsNewBar==false)
     {
      return;
     }

//--- Do we have enough bars to work with
   int Mybars=Bars(_Symbol,_Period);
   if(Mybars<60) // if total bars is less than 60 bars
     {
      Alert("We have less than 60 bars, EA will now exit!!");
      return;
     }

//--- Define some MQL5 Structures we will use for our trade
   MqlTick latest_price;      // To be used for getting recent/latest price quotes
   MqlTradeRequest mrequest;  // To be used for sending our trade requests
   MqlTradeResult mresult;    // To be used to get our trade results
   MqlRates mrate[];          // To be used to store the prices, volumes and spread of each bar
   ZeroMemory(mrequest);      // Initialization of mrequest structure
/*
     Let's make sure our arrays values for the Rates, ADX Values and MA values 
     is store serially similar to the timeseries array*/
//--- Get the last price quote using the MQL5 MqlTick Structure
   ArraySetAsSeries(mrate,true);
   if(!SymbolInfoTick(_Symbol,latest_price))
     {
      Alert("Error getting the latest price quote - error:",GetLastError(),"!!");
      return;
     }

//--- Get the details of the latest 3 bars
   if(CopyRates(_Symbol,_Period,0,3,mrate)<0)
     {
      Alert("Error copying rates/history data - error:",GetLastError(),"!!");
      ResetLastError();
      return;
     }
          
   int err1=0; // variable for storing the results of working with the upper buffer of the Bollinger band indicator
   int err2=0; // variable for storing the results of working with the lower buffer of the Bollinger band indicator
   int err3=0;
//--- copy data from the indicator array to the iBands_upper dynamic array for further work with them
   err1=CopyBuffer(iBands_handle,1,0,ArraySize(inputs)/2,iBands_Upperbuf);
//--- copy data from the indicator array to the iBands_Lower dynamic array for further work with them
   err2=CopyBuffer(iBands_handle,2,0,ArraySize(inputs)/2,iBands_Lowerbuf);
//--- copy data from the indicator array to the iBands_Lower dynamic array for further work with them
   err3=CopyBuffer(iBands_handle,2,0,ArraySize(inputs)/2,iBands_Basebuf);
//--- in case of errors, print the relevant error message into the log file and exit the function
   if(err1<0 || err2<0 || err3<0)
     {
      Print("Failed to copy data from the indicator buffer");
      return;
     }
   
   double d1=-1.0; //lower limit of the normalization range
   double d2=1.0;  //upper limit of the normalization range
   
//--- minimum value over the range
   double x_min=MathMin(iBands_Lowerbuf[ArrayMinimum(iBands_Lowerbuf)],iBands_Upperbuf[ArrayMinimum(iBands_Upperbuf)]);
   double x_minn=iBands_Basebuf[ArrayMinimum(iBands_Basebuf)];
//--- maximum value over the range
   double x_max=MathMax(iBands_Lowerbuf[ArrayMaximum(iBands_Lowerbuf)],iBands_Upperbuf[ArrayMaximum(iBands_Upperbuf)]);
   double x_maxx=iBands_Basebuf[ArrayMaximum(iBands_Basebuf)];
//--- In the loop, fill in the array of inputs with the pre-normalized indicator values
   for(int i=0;i<ArraySize(inputs)/2;i++)
     {
      inputs[i*2]=((((iBands_Upperbuf[i]-iBands_Lowerbuf[i])/iBands_Basebuf[i])-(x_min+x_minn)*(d2-d1))/((x_maxx+x_max)-(x_min+x_minn)))+d1;
            
     }
//--- store the neuron calculation result in the out variable
   out=CalculateNeuron(inputs,weight);
   
//--- we have no errors, so continue
//--- Do we have positions opened already?
   bool Buy_opened=false;  // variable to hold the result of Buy opened position
   bool Sell_opened=false; // variables to hold the result of Sell opened position

   if(PositionSelect(_Symbol)==true) // we have an opened position
     {
      if(PositionGetInteger(POSITION_TYPE)==POSITION_TYPE_BUY)
        {
         Buy_opened=true;  //It is a Buy
        }
      else if(PositionGetInteger(POSITION_TYPE)==POSITION_TYPE_SELL)
        {
         Sell_opened=true; // It is a Sell
        }
     }

// Copy the bar close price for the previous bar prior to the current bar, that is Bar 1
   p_close=mrate[1].close;  // bar 1 close price
/*
    1. Check for a long/Buy Setup : MA-8 increasing upwards, 
    previous price close above it, ADX > 22, +DI > -DI
*/
//--- Declare bool type variables to hold our Buy Conditions
   bool Buy_Condition_1=(out<0); // MA-8 Increasing upwards
   //--- Putting all together   
   if(Buy_Condition_1 )
     {
       // any opened Buy position?
         if(Buy_opened)
           {
            Alert("We already have a Buy Position!!!");
            return;    // Don't open a new Buy Position
           }
         ZeroMemory(mrequest);
         mrequest.action = TRADE_ACTION_DEAL;                                  // immediate order execution
         mrequest.price = NormalizeDouble(latest_price.ask,_Digits);           // latest ask price
         mrequest.sl = NormalizeDouble(latest_price.ask - STP*_Point,_Digits); // Stop Loss
         mrequest.tp = NormalizeDouble(latest_price.ask + TKP*_Point,_Digits); // Take Profit
         mrequest.symbol = _Symbol;                                            // currency pair
         mrequest.volume = Lot;                                                 // number of lots to trade
         mrequest.magic = EA_Magic;                                             // Order Magic Number
         mrequest.type = ORDER_TYPE_BUY;                                        // Buy Order
         mrequest.type_filling = ORDER_FILLING_RETURN;                             // Order execution type
         mrequest.deviation=100;                                                // Deviation from current price
         //--- send order
         OrderSend(mrequest,mresult);
         // get the result code
         if(mresult.retcode==10009 || mresult.retcode==10008) //Request is completed or order placed
           {
            Alert("A Buy order has been successfully placed with Ticket#:",mresult.order,"!!");
           }
         else
           {
            Alert("The Buy order request could not be completed -error:",GetLastError());
            ResetLastError();           
            return;
           }
        
     }
/*
    2. Check for a Short/Sell Setup : MA-8 decreasing downwards, 
    previous price close below it, ADX > 22, -DI > +DI
*/
//--- Declare bool type variables to hold our Sell Conditions
   bool Sell_Condition_1 = (out>0);  // MA-8 decreasing downwards
   
//--- Putting all together
   if(Sell_Condition_1 )
     {
      // any opened Sell position?
         if(Sell_opened)
           {
            Alert("We already have a Sell position!!!");
            return;    // Don't open a new Sell Position
           }
         ZeroMemory(mrequest);
         mrequest.action=TRADE_ACTION_DEAL;                                // immediate order execution
         mrequest.price = NormalizeDouble(latest_price.bid,_Digits);           // latest Bid price
         mrequest.sl = NormalizeDouble(latest_price.bid + STP*_Point,_Digits); // Stop Loss
         mrequest.tp = NormalizeDouble(latest_price.bid - TKP*_Point,_Digits); // Take Profit
         mrequest.symbol = _Symbol;                                          // currency pair
         mrequest.volume = Lot;                                              // number of lots to trade
         mrequest.magic = EA_Magic;                                          // Order Magic Number
         mrequest.type= ORDER_TYPE_SELL;                                     // Sell Order
         mrequest.type_filling = ORDER_FILLING_RETURN;                          // Order execution type
         mrequest.deviation=100;                                             // Deviation from current price
         //--- send order
         OrderSend(mrequest,mresult);
         // get the result code
         if(mresult.retcode==10009 || mresult.retcode==10008) //Request is completed or order placed
           {
            Alert("A Sell order has been successfully placed with Ticket#:",mresult.order,"!!");
           }
         else
           {
            Alert("The Sell order request could not be completed -error:",GetLastError());
            ResetLastError();
            return;
           }
        
     }
   return;
  }
//+------------------------------------------------------------------+
//|   Neuron calculation function                                    |
//+------------------------------------------------------------------+
double CalculateNeuron(double &x[],double &w[])
  {
//--- variable for storing the weighted sum of inputs
   double NET=0.0;
//--- Using a loop we obtain the weighted sum of inputs based on the number of inputs
   for(int n=0;n<ArraySize(x);n++)
     {
      NET+=x[n]*w[n];
     }
//--- multiply the weighted sum of inputs by the additional coefficient
   NET*=2;
//--- send the weighted sum of inputs to the activation function and return its value
   return(ActivateNeuron(NET));
  }
//+------------------------------------------------------------------+
//|   Activation function                                            |
//+------------------------------------------------------------------+
double ActivateNeuron(double x)
  {
//--- variable for storing the activation function results
   double Out;
//--- hyperbolic tangent function
   Out=(exp(x)-exp(-x))/(exp(x)+exp(-x));
//--- return the activation function value
   return(Out);
  }
//+------------------------------------------------------------------+
EA you post above is named Kundi3 but previous post with result of Strategy Tester show Kundi5, or you sure this is the same ?
surubabs:

Dear angevoyager,

I belive Nothing is imposible in this world, if u want to become the president for USA, we can, we have to dream for it and we have start to try on it, with a proper plan, again i say i belive in " Nothing is imposible"

i dont have any programing back ground,only i have a graduation in Economics. I am studying MQL from scraps,and I have a Technical analysys certification from Bombay stock Exchange(BSE).

As i sed before i have been trying to make a width based ea with some other indicators and i dont want to follow the nural method, but for my studyes i tryed to make an width ea in nural,

last one month test i have attached, but the problem here is this ea not going Short sell :-)


I respect your optimism but I do not share it. Anyway I am glad if I can help you, but I don't know anything about neural network yet.
angevoyageur:
I respect your optimism but I do not share it. Anyway I am glad if I can help you, but I don't know anything about neural network yet.
yes its the same one, it happent bcoz of a complet copay past of previous ea. u can back test it sir.

Obviously, as your sell condition is :

 bool Sell_Condition_1 = (out>0);  // MA-8 decreasing downwards
and out is :
   out=CalculateNeuron(inputs,weight);

Your CalculateNeuron() never return a positive number, you have to check your input parameters (inputs and weight) and your function. Use the Print function to debug your code.

surubabs:
yes its the same one, it happent bcoz of a complet copay past of previous ea. u can back test it sir.

A few questions:

1. you trained neural network - optimization of weight parameters in the strategy tester?
2. as activation function "hyperbolic tangent" that weights should be in the range of -1 to 1, you are taking a negative value after optimization?

At this point in the last report, I can see all the weights are positive, hence we expect from the negative result of the neural network does not make sense, here are obtained from only one branch of the hyperbolic tangent and as a consequence the opening trades only in one direction. 

My test


Files:
result.zip  69 kb
fyords:

A few questions:

1. you trained neural network - optimization of weight parameters in the strategy tester?
2. as activation function "hyperbolic tangent" that weights should be in the range of -1 to 1, you are taking a negative value after optimization?

At this point in the last report, I can see all the weights are positive, hence we expect from the negative result of the neural network does not make sense, here are obtained from only one branch of the hyperbolic tangent and as a consequence the opening trades only in one direction. 

My test

Sir, What u have done In the cod to get  a result like this, i couldint run the strategy tester with the parameater setting which you explaint in your article, after selecting the parameters in Tester i clicked start butten, but its not

testing .

Should i change the neural calculate formula from Hyperbolic to sigmoid ?

or is there any other function to get a result  like u have ?

or i should change the weights manualy from 0.5 to some other ?

how to calculate the weight ? 

surubabs:

It's much easier than you think.
Read again my article on neural networks, in particular the part of the "Putting It All Together".
After the code from Figure 7, there is a description of how to optimize the weight parameters.

Pay attention to the options, first choose the optimization parameters, and then turn off optimization.

surubabs:

Dear angevoyager,

I belive Nothing is imposible in this world,

How would you build an escalator to the Moon ?  some things are most certainly impossible.
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