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Potential new machine learning style software.

  • #21
  • Dec 5, 2009 11:39am Dec 5, 2009 11:39am
  •  sloof
  • | Joined Apr 2009 | Status: Birejji (ビレッジ) ►FOREX◄ | 141 Posts
Quoting 7bit
Maybe instead of trying to model price directly as a function of time you could try to model price as a function of past prices, indicator values, indicator values of n bars in the past, prices of other pairs, etc.
Yeah I was planning on trying that after I let this 1st test run its course. I'll probably run it on one of my custom indicator's data next... I'll have to export that data first
  • #22
  • Dec 5, 2009 1:30pm Dec 5, 2009 1:30pm
  •  sloof
  • | Joined Apr 2009 | Status: Birejji (ビレッジ) ►FOREX◄ | 141 Posts
anyone out there have a script i could use to export indicator data?
  • #23
  • Dec 5, 2009 2:19pm Dec 5, 2009 2:19pm
Quoting sloof
anyone out there have a script i could use to export indicator data?

Use this EA as a starting point. The resulting text file can be directly imported into eureqa.

Inserted Code
int f;

int init(){
   f = FileOpen("foo.txt", FILE_WRITE);
   FileWrite(f, "%|y" + 
                  CharToStr(9) + 
                  "a"  + 
                  CharToStr(9) + 
                  "b"  + 
                  CharToStr(9) + 
                  "c"  + 
                  CharToStr(9) + 
                  "d"  + 
                  CharToStr(9) + 
                  "e"  + 
                  CharToStr(9) + 
                  "f"  + 
                  "|");
}

int deinit(){
   FileClose(f);
}

void onTick(){
}

void onOpen(){
   FileWrite(f, 
            iAC(NULL,0,0) +
            CharToStr(9) +
            iAC(NULL,0,4) +
            CharToStr(9) +
            iAC(NULL,0,8) +
            CharToStr(9) +
            iAC(NULL,0,12) +
            CharToStr(9) +
            iAC(NULL,0,16) +
            CharToStr(9) +
            iAC(NULL,0,20) +
            CharToStr(9) +
            iAC(NULL,0,24)
            ); 
}

int start(){
   static int numbars;
   onTick();
   if (Bars == numbars){
      return(0);
   }
   numbars = Bars;
   onOpen();
   return(0);
}
  • #24
  • Dec 5, 2009 3:01pm Dec 5, 2009 3:01pm
Quoting 7bit
PS: it is possible to connect MQL to R for the purpose of fitting and predicting all models R has to offer and do other funny things by using the mql4-python bindings and rpy, but it is difficult to set up, someone needs to write a simple and direct mql4 - R interface.
The best thing I can think of is Metatrader => MySQL => R

http://cran.r-project.org/web/packages/RMySQL/
  • #25
  • Dec 5, 2009 3:17pm Dec 5, 2009 3:17pm
Quoting Ronald Raygun
The best thing I can think of is Metatrader => MySQL => R

http://cran.r-project.org/web/packages/RMySQL/
MySql is only one of the many possible ways to transfer the data, you still need to somehow call R functions from mql. And being able to call R functions directly would then completely eliminate the use of some other means of transferring the data, you could simply pass it directly to the interpreter.

http://sites.google.com/site/prof7bi...on-integration will allow you to expose the python interpreter to mql and call python functions from mql. If Python has the rpy bindings installed then it is possible to call R via Python from mql.

I am still hoping that somebody will do the same thing for R that I did for Python, but it looks like I will have no other choice than writing an R binding myself.
  • #26
  • Dec 5, 2009 3:21pm Dec 5, 2009 3:21pm
  •  sloof
  • | Joined Apr 2009 | Status: Birejji (ビレッジ) ►FOREX◄ | 141 Posts
Quoting 7bit
Use this EA as a starting point. The resulting text file can be directly imported into eureqa.

[code]
int f;

int init(){...
Thanks! Btw I put in more 1M price data and the program has been running for a few hours now... the solutions it's finding are continuously getting better. It looks as though if you could actually put in a LOT of data (like 1M data for the past 10 years++) you may be able to get a very interesting equation. Of course it'd probably take months before you could arrive to a good equation rofl.

You're better off not doing what I did and instead try out RR's suggestions and w/e else
Quote

  1. Distance between Zigzags
  2. Distance between fractals
  3. Number of bars until a reversal
  4. Moving average direction....

  • #27
  • Dec 5, 2009 5:07pm Dec 5, 2009 5:07pm
  •  sloof
  • | Joined Apr 2009 | Status: Birejji (ビレッジ) ►FOREX◄ | 141 Posts
That 1st sim is still running lol and I discovered something!!! On the tab with the graphs the 1st graph basically tells how far away you are from getting THE equation for your data! Using that you can tell approximately WHEN it'll be able to determine the exact solution!

The equation that tells you when it'll reach THE solution is like

y = -0.0651Ln(x) + 1.05

for my data... as you can see it involves ln(x) so you'll have to wait an infinite # of seconds to reach the holy grail lmao
  • #28
  • Dec 5, 2009 11:47pm Dec 5, 2009 11:47pm
A few years back, when I was experimenting with CFD trading, I discovered Curve Expert 1.3, best-fit solution freeware written by Daniel Hyams. It's similar to Eureqa, although it will attempt a wider range of fit models.

Install and run it at your own risk.
The install ZIP is attached to this post.
Unzip, and run the SETUP.EXE

Enjoy.
Attached File(s)
File Type: zip cxptw138.zip   1,017 KB | 551 downloads
  • #29
  • Edited 6:58pm Dec 7, 2009 6:21pm | Edited 6:58pm
  •  sloof
  • | Joined Apr 2009 | Status: Birejji (ビレッジ) ►FOREX◄ | 141 Posts
I've discovered something veeeeery interesting

So I finally got around to exporting some custom indicator data and such... as you can see things look, well, predictable! I have found the equation for the G/U pair! Well a part of it anyway =)

It would be interesting to see this as a function of the price or the reverse of that rather than just time. If anyone has any suggestions post it.

EDIT: (SORRY I HAD TO REMOVE THE IMAGE)
  • #30
  • Dec 7, 2009 6:42pm Dec 7, 2009 6:42pm
  •  sloof
  • | Joined Apr 2009 | Status: Birejji (ビレッジ) ►FOREX◄ | 141 Posts
Some more info on the data...

it's based on the 5M data of G/U from 8/20/2009 to 12/8/2009

On the graph (and equation) X represents time. Time b/w each point is 5Min... using this you can graph out the oscillation on a G/U chart +/- some time depending on your time zone, data stored in your MT, etc.
  • #31
  • Dec 7, 2009 6:51pm Dec 7, 2009 6:51pm
Wow Sloof, it looks like you can predict turning points.
  • #32
  • Dec 7, 2009 6:57pm Dec 7, 2009 6:57pm
  •  sloof
  • | Joined Apr 2009 | Status: Birejji (ビレッジ) ►FOREX◄ | 141 Posts
Quoting Ronald Raygun
Wow Sloof, it looks like you can predict turning points.
OH MY GOD! You're absolutely right! Holy sh!t I better remove this before I ruin the balance of nature!
  • #33
  • Dec 7, 2009 7:11pm Dec 7, 2009 7:11pm
  •  sloof
  • | Joined Apr 2009 | Status: Birejji (ビレッジ) ►FOREX◄ | 141 Posts
Here's just two trades that would be done based on this info...

Red is where you'd sell and blue where you'd buy
Attached Image (click to enlarge)
Click to Enlarge Name: example.gif Size: 29 KB
  • #34
  • Dec 8, 2009 6:01am Dec 8, 2009 6:01am
why did you remove the image before i had the chance to see it?
  • #35
  • Dec 8, 2009 7:00am Dec 8, 2009 7:00am
why did you have to remove the image? :S
  • #36
  • Edited 3:21pm Dec 8, 2009 7:06am | Edited 3:21pm
  •  sloof
  • | Joined Apr 2009 | Status: Birejji (ビレッジ) ►FOREX◄ | 141 Posts
Quoting 7bit
why did you remove the image before i had the chance to see it?
Because the information in that image is just waaaay too good =P I'll put again, just make sure you guys don't take credit for it.

So I used the info and applied it to my GU chart and tried live trading off of it... so far it works!

EDIT: Sorry, I gotta delete some important images
  • #37
  • Dec 8, 2009 7:14am Dec 8, 2009 7:14am
Quoting sloof
Because the information in that image is just waaaay too good =P I'll put again, just make sure you guys don't take credit for it.

So I used the info and applied it to my GU chart and tried live trading off of it... so far it works!
that's a pretty simple solution. nice.
  • #38
  • Dec 8, 2009 7:36am Dec 8, 2009 7:36am
Hi Sloof


are you willing to put the formula in here u used for that test ?
  • #39
  • Dec 8, 2009 7:48am Dec 8, 2009 7:48am
  •  sloof
  • | Joined Apr 2009 | Status: Birejji (ビレッジ) ►FOREX◄ | 141 Posts
Quoting PrymeTyme
Hi Sloof


are you willing to put the formula in here u used for that test ?
The formula is in the pic and of course if you try and apply it, you need to figure out where in the cycle your MT4 history starts to adjust the formula.
  • #40
  • Dec 8, 2009 7:50am Dec 8, 2009 7:50am
Could you explain how you applied this to the chart.
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