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Lets build a neural network based scalper together

  • #1
  • First Post: Feb 26, 2010 7:12pm Feb 26, 2010 7:12pm
I already have some working code that has been squeezing out some pips on ERUCHF - but is rough around the edges, I believe we have some geniuses here and if we put our heads together we can create something decent (I for one need it to get out of my 9-5 rut) . I have a masters in computer science and have been trading forex, futures options for quite some time.

If this thread invokes some response, I will post my code and we can build up on it. Also if non programmers are interested in testing the system - feel free to post, the EA is visual so you can very well use it for manual scalping too.
  • #2
  • Feb 26, 2010 10:11pm Feb 26, 2010 10:11pm
What form of NN are you using?
  • #3
  • Feb 26, 2010 10:17pm Feb 26, 2010 10:17pm
  •  onu
  • | Joined Feb 2006 | Status: superior senior member | 746 Posts
I'm interested to test it

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http://www.myfxbook.com/members/pc8multifx
  • #4
  • Feb 26, 2010 10:39pm Feb 26, 2010 10:39pm
hi....

i will testing it... i am waiting this one to be develop..
  • #5
  • Feb 26, 2010 11:34pm Feb 26, 2010 11:34pm
Thats great....
I can do program little and test a lot..
  • #6
  • Feb 27, 2010 4:07am Feb 27, 2010 4:07am
hi neuro,
count me in!
please post more details, that we can start with the developement
thanks,
-ba
  • #7
  • Feb 27, 2010 6:39am Feb 27, 2010 6:39am
Thanks Ronald for your interest and Onu and tulipeverige for your offer to test.

I am not a big fan of reinventing the wheel so chose to use the excellent and very mature FANN library, then somebody did the grunt work of importing it into mql - Fann2mql project, I however had to modify Fann2mql source code to allow for 3 hidden layers (by default it allows for only 2 ). In another project on S&P futures we found 3 layers produced smaller mse than 2 though it took longer to train - more than 3 layers didn't improve mse by much.

Instructions: Copy the dlls into experts/libraries , ntann and ntcommons into includes.
Attached File(s)
File Type: zip nc.zip   84 KB | 970 downloads
  • #8
  • Feb 27, 2010 2:52pm Feb 27, 2010 2:52pm
  •  onu
  • | Joined Feb 2006 | Status: superior senior member | 746 Posts
The copyright of the EA belongs to NeuralTraders.info
U are the guy behind this membership thing?
Come on, we ain't here to develop your EAs, if this is the case, or to violate other peoples copyrights!

http://www.myfxbook.com/community/su...gh-ai-/19892,1

Somebody seems to be on a promotion tour .....



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http://www.myfxbook.com/members/pc8multifx
  • #9
  • Feb 27, 2010 3:23pm Feb 27, 2010 3:23pm
Quoting neuro
I however had to modify Fann2mql source code to allow for 3 hidden layers (by default it allows for only 2 ). In another project on S&P futures we found 3 layers produced smaller mse than 2 though it took longer to train
IIRC you won't ever need more than 2 hidden layers since 2 layers are already sufficient to approximate any function you could approximate with 3 or more layers. I can't remember exactly where I read this but IIRC this has been mathematically proven somehow.
  • #10
  • Edited Feb 28, 2010 7:00am Feb 27, 2010 7:38pm | Edited Feb 28, 2010 7:00am
Onu,
Yes I am on the Neuraltraders staff - but this particular EA - NextClose will always be in the open source domain, maybe we can also rope in a few good people from sourceforge etc. Collaborative effort develops everyone - even companies like sun & oracle develop software with open source contributions - so copyrights are not an issue, anyways I will remove all neuraltrader related stuff.


7Bit,
Thanks for your feedback, I think we should benchmark with both 2 & 3 hidden
layers and may be look at cascade trading to come up with optimal number of neurons but I think we all will agree rather than making it versatile (multi pair) lets focus on one pair and EURCHF with its relatively low spread and rangebound nature will be a good candidate - but I am open to suggestions
  • #11
  • Feb 28, 2010 7:28am Feb 28, 2010 7:28am
Here is the updated zip - added FannDoubleMT.dll (forgot to add in the previous post) , also all copyright and proprietary stuff has been removed.
Attached File(s)
File Type: zip nextclose.zip   178 KB | 1,110 downloads
  • #12
  • Feb 28, 2010 11:15am Feb 28, 2010 11:15am
  •  onu
  • | Joined Feb 2006 | Status: superior senior member | 746 Posts
OK. thx.

Still this thing doesn't work..error 126
  • #13
  • Feb 28, 2010 3:07pm Feb 28, 2010 3:07pm
I'd like to help as I was just thinking about doing some NN stuff for MetaTrader myself. I think the first thing you need to do neuro if we're really going to make this a collaborative project is to go through and clean up the source code and comment everything properly. A lot of the variable names are very vague and the code is strewn all about the file so jumping back and forth to trace everything is a pain, especially for someone like me who doesn't have experience using these NN libraries. Do you think you could go through and comment all the code thoroughly and clean it up to look nicer so we can all start from a good codebase? If we're going to develop something to be open source we have to make sure good coding standards are followed from the beginning.
  • #14
  • Mar 1, 2010 9:44am Mar 1, 2010 9:44am
hi,

i check the file... actually, i don't even know where to put all of those file.
which one is expert or indicator, and the other file, what is that?

are those expert or indicaator?
  • #15
  • Mar 16, 2010 1:50pm Mar 16, 2010 1:50pm
OK First Step - Install the fann2mql package from here
http://go2.wordpress.com/?id=725X134...%25200.1.2.msi

Then copy the attached NextClose-V13.ex4 file into your experts folder and restart MetaTrader, if you are still getting an error let me know - I have been testing it on GoMarkets Mt4 which you can get from here
neuraltraders.info/robots-org/gt4setup.exe

Also attached is the updated source code - tulip - will start on documenting and cleaning up the code - btw you can have a look at this article to get the basics :
articles.mql4.com/777
Attached File(s)
File Type: ex4 NextClose-V13.ex4   25 KB | 703 downloads
File Type: mq4 NextClose-V13.mq4   16 KB | 1,007 downloads
  • #16
  • Mar 18, 2010 11:25am Mar 18, 2010 11:25am
Folks this new version has been generating pips very consistently I also tried it on USDCHF H4 and pretty good so far - take it for a test drive and let me know.
  • #17
  • Mar 18, 2010 11:53am Mar 18, 2010 11:53am
Quoting neuro
OK First Step - Install the fann2mql package from here
http://go2.wordpress.com/?id=725X134...%25200.1.2.msi

Then copy the attached NextClose-V13.ex4 file into your experts folder and restart MetaTrader, if you are still getting an error let me know - I have been testing it on GoMarkets Mt4 which you can get from here
neuraltraders.info/robots-org/gt4setup.exe

Also attached is the updated source code - tulip - will start on documenting and cleaning...
Can you pls explain how to install these files... Do I need to install the files in this post only or do I need install the previous files also....
  • #18
  • Mar 18, 2010 5:26pm Mar 18, 2010 5:26pm
  •  onu
  • | Joined Feb 2006 | Status: superior senior member | 746 Posts
Quoting neuro
Folks this new version has been generating pips very consistently I also tried it on USDCHF H4 and pretty good so far - take it for a test drive and let me know.
Performes it like this one?

http://www.myfxbook.com/members/neur...ltraders/19319

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http://www.myfxbook.com/members/pc8multifx
  • #19
  • Mar 19, 2010 12:18pm Mar 19, 2010 12:18pm
Quoting reachjj
Can you pls explain how to install these files... Do I need to install the files in this post only or do I need install the previous files also....
You need the dlls from the previous post.

Onu - that account has around 10 different EAs running so you cant judge it by neuraltraders accounts performance - to look at prophetFx - check this account
http://www.mt4i.com/users/mohan2
  • #20
  • Jun 9, 2010 12:02pm Jun 9, 2010 12:02pm
Hey neuro,

I had a look at your source code and it doesn't look like you're normalizing the input data. It looks like you're directly feeding bar close prices into the network. Neural network data has to be normalized either from -1 to 1 or 0 to 1.
You are in a maze of twisty little passages, all alike.
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