Better NN EA development - page 2
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For those of you who understand NN behavior, you can clearly see where and why the sell was taken the way it was taken. Not a lot of elaboration needed. Even with a non-linear behavior.
first post
Hi,
I'm writing on this forum first time, but I've been following
quite a lot of things happening here for a while.
I have to tell that what is being formulated here is very
interesting, and I would like to participate as well.
I've good programming experience in several languages that is
what I learnt at university:).
There are quite a lot of valuable information collected already
here on this thread. As I see what needs to be done is
designing the model behind which is I guess the most tricky
part in all this. After it can be programmed easily, I mean
anything can be programmed, that is not an issue.
If the implementation is first done in C++, we can use this
stuff as a dll, or can be implemented in mql if necessary.
What we know about Better system: (at least what I realized:)
-It is trading 2-3 times a day, which is something I really like.
-Using static stop loss of 60, and taking 30-60, sometimes more
pips profit.
-It is using PNN, input some moving avarages, (what time frame,
what length is question)
-It is built up from 3 subsystem (maybe this is the 3 inputs fxspeedster
referring to)
So for me it seems that it is predicting the most probable next 30-60
movement.
I think that the biggest question is that what are the inputs of
the PNN and what is the output it is trained against.
I mean is it some moving avarage value of +t time, or what else
could be?
Here I see that some guys have very good knowledge in NN, could
they start thinking about such a concept, to start implementing
some propototype based on?
Why I beleave in NN? Systems with 100+pips/month can be
created and existing, but these are working for some time, and
after some months or maybe years the market change and the
system stops performing. The advantege of NN is that it can be
always retrained continously adapting to the recent past market
behaviour which is more likely that it will behave like that in the near future.
Hunter
project1072, Thanks for your post. First let me say that I have a lot of admiration for your work. You are a very talented programmer. In response to your post I agree 100% that you cannot clone a non-linear EA. The idea here is to mimic its logic and learn from it. We know that this EA is based on PNN and it takes 3 inputs. That in itself is very valuable information. If you analyze trade after trade the author's comments you will start to make sense of the 5 numbers that he displays for each trade. This is also very valuable information. Considering this as a good starting point, one can build on these concepts. We will not have a perfect clone of the EA, but considering its shortcomings on money management, one can end up in the end with even a superior product. One never knows until the development is carried out and tested. As you know from experience, the entries do not play that major of a role in a good EA, but MM does. Take a good EA with excellent entries and poor MM versus a mediocre EA with good MM and you will end up much better resultson the latter. I hope I make some point here.
Why MAs?
It has been my experience that using NNs to predict a MA is very difficult. There is simply too much variability (noise) to deliver a profitable model. This is just my experience and I'm obviously wrong if this NN model is going to win the EA contest.
Monte Carlo Method
Next steps:
1.Generating random trades with SL:60 and TP:30-60
(with MSVC6 command line tester or other changed version of this tester)
2.Separate proftable trades and non profitable trades
3.Training (input) data for PNN: Profitable trades with filter values.
Filter Values is:
-MACD val, Kalma filter val, etc.
MA crosses instead of random trades?
What if instead of random trades, we would use
all possible MA crossing points like Better's system
and the training input would be those trades
from this set which are profitable?
Would it work that way?
Next steps:
1.Generating random trades with SL:60 and TP:30-60
(with MSVC6 command line tester or other changed version of this tester)
2.Separate proftable trades and non profitable trades
3.Training (input) data for PNN: Profitable trades with filter values.
Filter Values is:
-MACD val, Kalma filter val, etc.Random trade:
Place an order with TP=30 Sl=30 at DateTime= MathRand()
Filter:
MACD, Kalman Filter, RSI etc.
First time we need a simplified command line tester
obtainined from posted msvc6 command line tester!!!!!!
Monte-Carlo Evaluation of Trading Systems
development tean
nice idea gents. I'd like to toss my hat into the ring and assist where needed. I especially like the idea of less "noise".
I can be reached at pipaholic [at] shaw.ca and skype: mflexie. References are available if needed.
Mark