How to train and test Google’s machine learning system

[Deleted] 2020.12.01 17:56 #111

Evgeni Gavrilovi:

added file paths - traing prnew.csv and test prnews.csv

but the received R2 is almost always higher than 0.9, maybe look_back is not set correctly and that's why the received mqh file is wrong, because of which the test in terminal doesn't work.

https:// colab.research.google.com/drive/1eeyRA5bGaFMfX1THnMsL5hwKmxBkqvqP

https://drive.google.com/file/d/1LIRhpk5iU_dYQbefZ-FFQM6XMV_cOh26/view?usp=sharing test data

https://drive.google.com/file/d/18RpJec9EGSCSknwaHsevgHcZuCeoOvP5/view?usp=sharing training data

I'll look at it later, I'm busy at work.

Evgeni Gavrilovi 2020.12.01 18:23 #112

Maxim Dmitrievsky:

I'll look at it later while I'm busy at work.

Okay.

Here's that mqh file: https: //drive.google.com/file/d/1UquXcaRJjIR2lxE81P8Pm2BWFQ9uM0N1/view?usp=sharing

The tester shows the following error: 2020.12.01 21:19:23.252 2020.08.03 00:05:00 array out of range in 'cat_model.mqh' (288,51)

Rasoul Mojtahedzadeh 2020.12.01 21:40 #113

Maxim Dmitrievsky : Hi, Rasoul. Try to reduce the training set size. It can depends of different settings, but key trick is that then less train size, better generalisation on new data. In the next article I'll try to explain this effect.

Hi Maxim,

I changed the periods of the sets to following,

1. Training Set: from 2018.01.01 to 2019.01.01

This only be used to train GMM.

2. Validation Set: from 2019.01.01 to 2020.01.01

This set will be used in brute force algorithm to find the best model.

3. Test Set: from 2020.01.01 to 2021.01.01

This set only be used to test the best model obtained from brute force algorithm.

Below is a typical result of running the script,

I am attaching the code, so you can take a look at it to find a possible mistake.

Files:

clustering_catboost_orig.py 12 kb

Is there a pattern Machine learning in trading: The neural network only

[Deleted] 2020.12.01 23:13 #114

Rasoul Mojtahedzadeh:

Hi Maxim,

I changed the periods of the sets to the following,

1. Training Set: from 2018.01.01 to 2019.01.01

This only be used to train GMM.

2. Validation Set: from 2019.01.01 to 2020.01.01

This set will be used in brute force algorithm to find the best model.

3. Test Set: from 2020.01.01 to 2021.01.01

This set only be used to test the best model obtained from brute force algorithm.

Below is a typical result of running the script,

.

I am attaching the code, so you can take a look at it to find a possible mistake.

Sometimes just need to change learning interval an settings, then model can capture better dependencies, for example:

LOOK_BACK = 1
MA_PERIODS = [15, 25, 55, 100, 150, 200, 250, 300]

SYMBOL = 'EURUSD'
MARKUP = 0.00010
TIMEFRAME = mt5.TIMEFRAME_H1
START_DATE = datetime(2018, 9, 1)
VSTART_DATE = datetime(2019, 3, 1)
TSTART_DATE = datetime(2019, 7, 1)
STOP_DATE = datetime(2021, 1, 1)

[Deleted] 2020.12.01 23:20 #115

Evgeni Gavrilovi:

All right. (chuckles)

Here's that mqh file: https: //drive.google.com/file/d/1UquXcaRJjIR2lxE81P8Pm2BWFQ9uM0N1/view?usp=sharing

The error is listed in the tester: 2020.12.01 21:19:23.252 2020.08.03 00:05:00 array out of range in 'cat_model.mqh' (288,51)

I have this suspicion that you are using a version of the bot from the last article. The bot in this article is different. Check it, there should not be such an error.

R^2 0.9 is good, I often get this too

Need help indentifying indicator Automatic checking of products [Branch closed!] EURUSD -

Rasoul Mojtahedzadeh 2020.12.01 23:21 #116

Maxim Dmitrievsky:

Sometimes just need to change learning interval an settings, then model can capture better dependencies, for example:

Thanks for your quick reply!

Looks good with your settings! :)

Best regards,

Rasoul

[Deleted] 2020.12.01 23:23 #117

Rasoul Mojtahedzadeh:

Thanks for your quick reply!

Looks good with your settings! :)

Best regards,

Rasoul

look_back just need to set 1, from my experience... and more different MA's. And sometimes need to change learning periods

sometimes need to change number of clusters in GMM from 75 to another... and so on )

maybe need to add better features instead of MA's, but I don't know which exactly... need to experiment

Discussion of article "Self-organizing Server version in Opener How the conversation of

Evgeni Gavrilovi 2020.12.01 23:38 #118

Maxim Dmitrievsky:

I have a suspicion that you are using a version of the bot from the last article. The bot in this article is different. Check it, there should not be such an error.

R^2 0.9 is good, I often have it too

only the new version has brute_force function, but the point is different - the received mqh file gives an error array out of range and it does not allow to test the bot with high R^2.

Array out of range Experts: Self Adapting EA Array out of range

[Deleted] 2020.12.01 23:40 #119

Evgeni Gavrilovi:

only in the new version there is a function brute_force, but the matter is different - the received mqh file gives an error array out of range and it does not allow to test the bot with high R^2.

I'm talking about the EA file that you compile.

Evgeni Gavrilovi 2020.12.01 23:45 #120

Maxim Dmitrievsky:

I'm talking about the EA file you're compiling.

Yes, that's it.

it says

#include <MT4Orders.mqh>

#include <Trade\AccountInfo.mqh>

#include <cat_model.mqh>

and the most important thing is that when loading mqh directly from jupyter notebook everything works fine, I was surprised by that

Errors, bugs, questions Print() function does not Libraries: MT4Orders QuickReport

Discussion of article "Advanced resampling and selection of CatBoost models by brute-force method" - page 12