- For the outputs evolve a long and short trade forward a (D) number of bars. This means moving the virtual SL for the trade as specified in the system rules above. Record the trade exit for both and assign each to a separate output. Each example has C inputs and 2 outputs.
In my understanding, the specified rule implied to move on each hour your SL to keep the same distance, this within the horizon D.
In the training set (output), i dont think you will hit often the SL.. The pair need to move at least ATR20 in the hour. This is relatively rare.
This is not more easy to only use the close at the end of the horizon ?
I think this will not much afecte your learning function (linear regression).