Simple Single Layer Perceptron EA - MetaTrader 4のためのエキスパート

1. About Perceptrons

About Perceptron: Dr. Mark Humphrys Single-layer Neural Networks (Perceptrons)

I referred to "Artificial Intelligence" as the logic of Perceptron.

2. Algorithm

2.1. Inputs

The w1, w2, w3 and w4 are weights which set the values decided by your optimization.

input int    x1 = 0;//weight1
input int    x2 = 0;//weight2
input int    x3 = 0;//weight3
input int    x4 = 0;//weight4

2.2. Perceptron

For making a simple EA, threshold is zero. And output isn't changed "fires" 1, "doesn't fire" 0.

double w1 = x1 - 100;
 double w2 = x2 - 100;
   double w3 = x3 - 100;
   double w4 = x4 - 100;

   //Perceptron before one bar 2017/03/18

   double a11 = ((iRSI(Symbol(), 0, 12,PRICE_MEDIAN,1))/100-0.5)*2; 

 double a21 = ((iRSI(Symbol(), 0, 36,PRICE_MEDIAN,1))/100-0.5)*2; 
   double a31 = ((iRSI(Symbol(), 0, 108,PRICE_MEDIAN,1))/100-0.5)*2; 
   double a41 = ((iRSI(Symbol(), 0, 324,PRICE_MEDIAN,1))/100-0.5)*2; 
   double Current_Percptron = (w1 * a11 + w2 * a21 + w3 * a31 + w4 * a41);

   //Perceptron before two bar 2017/03/18

   double a12 = ((iRSI(Symbol(), 0, 12,PRICE_MEDIAN,2))/100-0.5)*2;

 double a22 = ((iRSI(Symbol(), 0, 36,PRICE_MEDIAN,2))/100-0.5)*2;
   double a32 = ((iRSI(Symbol(), 0, 108,PRICE_MEDIAN,2))/100-0.5)*2;
   double a42 = ((iRSI(Symbol(), 0, 324,PRICE_MEDIAN,2))/100-0.5)*2;
　 double Pre_Percptron = (w1 * a12 + w2 * a22 + w3 * a32 + w4 * a42);

I use RSI in this EA, but I think that other oscillators are OK. RCI, W%R and so on.

2.3.Order Opening and Closing

When previous Perceptron under 0 and current Perceptron upper 0, if there is a short position, it is closed.

And EA sends a long order.

if(Pre_Percptron < 0 && Current_Percptron > 0) //long signal
   {
      //If there is a short position, send order close
      if(pos < 0)
      {
         ret = OrderClose(Ticket, OrderLots(), OrderClosePrice(), 0);
         if(ret) pos = 0; //If order close succeeds, position status is Zero
      }
      //If there is no position, send long order
      if(pos == 0) Ticket = OrderSend(
                                       _Symbol,              // symbol
                                       OP_BUY,                 // operation
                                       Lots,              // volume
                                       Ask,               // price
                                       0,            // slippage
                                       0,            // stop loss
                                       0,          // take profit
                                       Trade_Comment,        // comment
                                       MagicNumber,// magic number
                                       0,        // pending order expiration
                                       Green  // color
                                       );
   }

Conversely, when current Perceptron under 0 and previous Perceptron upper 0, if there is a long position, it is closed.

And EA sends a short order.

3. Optimization

Load "Slime_Mold_RSI_template.set", and You choose "open price only" for Model.

4. Comment and Magic Number

I set Magic Number the duration used for optimization, this EA uses Magic Number in comment.

string Trade_Comment = IntegerToString(MagicNumber,5,' ') + "Days-Optimization";

5. Related article (in Japanese)

https://qiita.com/Kei-Sanada/items/cd6b8d9c02bc9eea1e01