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Better Neural Network

Better Neural Network is the next generation of Kub Expert Advisor, which won the Automated Trading Championship'2007.

It is based on the modified probabilistic neural network forecasting price dynamics for the next several bars. Compared with the standard probabilistic network, the Expert Advisor is provided by preliminary inputs quantization to reduce the network dimension. Also, it has recurrence relations in the neurons output layer to better determine the time patterns.

Besides, the network architecture has built-in means to consider quotes dynamics at different times of day (or at different periods of a trading session). Therefore, the Expert Advisor is designed primarily for intraday trading.

The Expert Advisor consists of two interconnected modules - neural network and trading ones. After learning on the history data, the neural network starts transmitting the forecasts to the trading module, while continuing the learning process on each new bar. The trading module makes decisions on opening/closing positions based on these forecasts. This is a reverse trading system with interchangeable long and short deals without additions and partial closings.

Expert Advisor parameters can be divided into two groups: 

Neural Network Module Parameters 

The neural network has two inputs receiving technical indicators values calculated on a specified time frame. Users can select any of the 18 built-in indicators, as well as specify the period for each of them.

  • Indicators time frame - indicators calculation timeframe (from M5 to M30, selected from the drop-down list).
  • Input indicator #1, Input indicator #2 - input indicators (selected from the drop-down list).
  • Period of indicator #1, Period of indicator #2 - indicators periods.

Trading Module Parameters

  • Threshold - configurable parameter connecting neural network and trading modules of the Expert Advisor. If the network forecasts a movement at least on Threshold points in the nearest future, the Expert Advisor opens a new position or reverses an existing one in a specified direction. The lower the Threshold value, the more often deals are performed.
  • SL - Stop Loss in points.
  • TP - Take Profit in points.
  • Money Management - money management type. Two cases are possible: 
    (1) Fixed lot size - trading is performed using a fixed lot.
    (2) Fixed fraction of equity - specified fraction of the current funds is used to open a new position.
  • Lot size / Fraction of equity - a lot size is specified in this parameter, if trading is performed using a fixed lot (case 1) or a fraction of used funds (case 2).

Testing options: EURUSD, M1 (2009.06.01 - 2012.06.01, every tick).

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