I am working on building an EA based on the neural network. The biggest problem I think is processing power. The time taken to complete calculations on one instance is huge. I am looking for contributions of ideas on how to improve calculations performance. You all are invited to share your success and problems faced while coding a neural network trading system.
You may be able to pre-calculate some of your calculations and then pivot off of tme with modification calculations.
For example....you want to go from San Francisco to Narita, Japan. With North being 0 or 360 the trip can start off going West (270 degrees).....this would be your initial calculation...go West.
Then periodically you recalculate your direction to intersect with Narita. Lets say the first calculation comes back with a Plus 17....so now you recalculate your initial direction of 270 and add 17.....now you are headed at 285 degrees. Hopefully a lot of the calculations were in the original and less on the additional periodic updates.
Slice the objectives up and cycle through them. Lets say your goal is to determine the probability of hitting any of the following:
> 25 pips over the current price 20 - 25 pips above the current price 15 - 20 10 - 15 ...... 10 - 15 below 15 - 20 below 20 - 25 below > 25 below
now cycle through these and get a value for the probability for each point starting from the current price and then step up and down one step. If you hit a very low value then you can focus on the other side assuming that your system is telling you that the probability is 80% probability of hitting + 10 or more pips within a time bound area. (like within the next hour)
To get more computing power you may want to use several computers and have them each optimize on one question you are asking your NN. For example: What is the probability of a move greater than 20 pips that is in the Long direction? One computer can just keep working on this question....and when it has it....it starts over so that it is continuous.
Consider making the NN act like a video game. In some video games you add life...for our purposes this will be profit. Consider if you make $100 you can spawn a new LIFE. If you lose some amount, say $50 you lose a life....maybe you need to borrow from more successful trades. Now you train the NN to add more life and protect against death....much like a colony of ants.
I have implemented in my 'AM' expert elements of neural strategies to 'learn market' with short period. It is recycle learn period every week. Now, I'm concidering to make some patent on it - if its possible.
Neural Networks dont work easily. Interfacing them with MT4 is almost impossible. Those that have done so, use the same configeration and therefore are not any better than the previous NN EAs that have be built. Your better off working on and converting indicators to become a auto EA trader and have % and ratios under control. DLL and other external controls dont work well unless your doing some human interaction on the side. then its not a normall NN or DLL. Good luck. Breaking new ground with interfacing NN is a great goal, but will be hard to manage. Many of those that claim NN, are not real. Even my own home built EAs, seems to be thinking, but, they are just collecting data and or counting history bars. Comparing RSI, MA, ATR and others isnt NN. But in my book, its close as we can get.
I wonder how many different inputs you use for your NN training? Looks like you are just curve fitting your strategy to recent historical data. So far most of NN trading systems have failed, so have realistic expectations. The ones that have so-so results use very few inputs for learning and more or less guess very short term price direction.
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