You need to use an advise() function within the run() function. For example,


Where "Objective" is the target value you are trying to predict (in this case, positive or negative next-bar return designated as +1 and -1 respectively) and "Signal_1, Signal_2, ... etc" are the variables (otherwise known as features, predictors, independent variables etc) that you are using to forecast "Objective".

In terms of the way the script flows, the advise function calls the NEURAL function (the first function in your post). The NEURAL function then calls the R script (the second function in your post).

Does that help?

#include <r.h>

function run()
{
BarPeriod = 60;
WFOPeriod = 20*24; // 4 weeks
StartDate = 2010;
LookBack = 100;
set(RULES);
Cores = 4; // train parallel with 4 R instances

// generate 10 signals for prediction...
var Sig[10];
Sig[0] = ...
...

Detrend = TRADES;
ExitTime = 5; // 4 hours prediction horizon
var PredictLong = adviseLong(NEURAL+BALANCED,0, // predict next trade outcome
Sig[0],Sig[1],Sig[2],Sig[3],Sig[4],Sig[5],Sig[6],Sig[7],Sig[8],Sig[9]);
if(Train) enterLong(); // enter always a trade in training mode
var PredictShort = adviseShort();
if(Train) enterShort();

if(!Train) {
if(PredictLong > 0.6 && PredictShort < 0.4)
enterLong;
else if(PredictLong < 0.4 && PredictShort > 0.6)
enterShort;
}
}