Neural network system

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ironrick
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Re: Neural network system

Post by ironrick »

Just a thought for the future: Has anyone thought about using the output of Hanover's Recent Strengths indicator for:

1) Additional Training data for any other ANN. I am imagining that this data gives a very interesting but simplified set of data that covers much of the market as a whole. The ANN could learn curtain correlations based off of this.

2) Imagine the Hanover RS data as one of the nodes for this: "These predictions are then input into
the fifth network, along with other intermarket data input at the secondary level of the network hierarchy, to predict market turning points."

3) As a separate, ANN based "Hanover Currency Strength Predictor" indicator. It would attempt to answer the question: Will these currencies continue to strengthen/weaken? Imagine this as a further filter that could be used in EAs etc.

(EDIT:) I am thinking of a Hanover Cross type trade where 2 currencies cross in the strengths indicator -- one gaining strength and one getting weaker. A cross is a great time to enter the trade IF that trend of strength and weakness continues. Waiting to see if the trend continues is a way to offset reversal risk but waiting also potentially loses much of the potential pip movement of that particular pair.

What do you think?

I have followed ANN development as a hobbyist for years. (And used them for statistical forecasting in my work for a short time.) I find them fascinating! Good luck on all your efforts, I will watch this thread with interest!

Rick
Last edited by ironrick on Wed Nov 23, 2011 6:45 pm, edited 1 time in total.
"A problem well put is half solved."
Galen88
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Re: Neural network system

Post by Galen88 »

magft wrote:Another update, i think i have the MA nets working now :D
Hi Mike,

Very nice work! Thank you.
Galen88
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Re: Neural network system

Post by Galen88 »

ironrick wrote:Just a thought for the future: Has anyone thought about using the output of Hanover's Recent Strengths indicator for:

Rick
Hi Rick,

Since the fifth input is the secret ingredient, we should certainly try a few options including the Hanover indicator.

I propose we include the tick volume as another option. The VSA (Volume Spread Analysis) method depends very much on the behavior of volume changes for potential turning or pivot points.

Keith
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Gamma_gallus
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Re: Neural network system

Post by Gamma_gallus »

Wonderful Mike !!
I'll test this next week, I'm away for few days ..

Thanks a lot for this Christmas gift :D !

Gamma
magft
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Re: Neural network system

Post by magft »

Galen88 wrote:
ironrick wrote:Just a thought for the future: Has anyone thought about using the output of Hanover's Recent Strengths indicator for:

Rick
Hi Rick,

Since the fifth input is the secret ingredient, we should certainly try a few options including the Hanover indicator.

I propose we include the tick volume as another option. The VSA (Volume Spread Analysis) method depends very much on the behavior of volume changes for potential turning or pivot points.

Keith
I'll probably have a go at the 5th NNet over the weekend, so what do you want me to try?

I like the idea of VSA as the method says it predicts turning points and i was not exactly sure the best way to do this. For me in mathematics you use the 2nd derivative to fine the max/min turning point of the function. But we dont have a function per se this is what the NNets are doing.

In the other NNets i have used a rolling window approach so feeding in say last 10 values and predicting the next one so for the 5th one we need to feed in the last couple of points i think and then "other market data" to allow it to predict "output". So what we need is "other market data" and "output". Do we want it to tell us a value, a range or a direction? These are the bits i am not sure of and require help from more seasoned traders.

Mike
DragosDanescu
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Re: Neural network system

Post by DragosDanescu »

Well, Mike,
in my humble oppinion, the 5th ingredient can be ONLY the Recent Strenght module.
Or, maybe, the most powerful one.
It's true, I've never payed too much attention on it, I run Hannover Ea on Oanda with Oanda feed, but, as the guys are reporting, it seems to be really accurate.
I had a few trades opened by the EA, but it seems to predict the moves pretty well.

Cheers.
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Gamma_gallus
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Re: Neural network system

Post by Gamma_gallus »

magft wrote:
Galen88 wrote:
ironrick wrote:Just a thought for the future: Has anyone thought about using the output of Hanover's Recent Strengths indicator for:

Rick
In the other NNets i have used a rolling window approach so feeding in say last 10 values and predicting the next one so for the 5th one we need to feed in the last couple of points i think and then "other market data" to allow it to predict "output". So what we need is "other market data" and "output". Do we want it to tell us a value, a range or a direction? These are the bits i am not sure of and require help from more seasoned traders.

Mike
Hi Mike,

I think Hanover recent strength or VSA are good tools to use for the other NNs. Maybe recent strenght could be easier to use ?? (VSA has multiple meanings for the bars histograms, so maybe more complex to interpret ?)

Regarding the output, would it be possible to draw a range box for the possible direction ? This could give us the direction but also the possible strength of the upcoming move (box showing low and high values), so quite helpful to define TP a level.

Gamma
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Gamma_gallus
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Re: Neural network system

Post by Gamma_gallus »

Hi Mike,

I have both the fann tools installed (fann2mql & fann4mt, so including the include "fann4mt_simple.mqh"), but when I compile the 4 indies (I have to, otherwise the system tells me it can't open the .ex4 file when i drag one onto the chart) I obtain 38 warnings, such as :

Function "csv_init" is not referenced and will be removed from exp-file
Function "csv_close" is not referenced etc...
Function "nns_computeAndDisplay" is not referenced etc...
etc..

What could it be due to ?
Is this something i need to worry about ? (i do think yes ..)

Thanks
Gamma
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gaheitman
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Re: Neural network system

Post by gaheitman »

Don't worry about the warnings. Empty4 strips out any unused procedures to make the resultant compiled file smaller.

George
Gamma_gallus wrote:Hi Mike,

I have both the fann tools installed (fann2mql & fann4mt, so including the include "fann4mt_simple.mqh"), but when I compile the 4 indies (I have to, otherwise the system tells me it can't open the .ex4 file when i drag one onto the chart) I obtain 38 warnings, such as :

Function "csv_init" is not referenced and will be removed from exp-file
Function "csv_close" is not referenced etc...
Function "nns_computeAndDisplay" is not referenced etc...
etc..

What could it be due to ?
Is this something i need to worry about ? (i do think yes ..)

Thanks
Gamma
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Gamma_gallus
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Re: Neural network system

Post by Gamma_gallus »

Wonderful, thanks a lot George !

Gamma
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