// Optimization parameters - set these as default values
var learning_rate = 0.001;
var num_neurons = 50;
var dropout_rate = 0.3;
var epochs = 100;
var batch_size = 32;

// Function to handle neural network operations
var neural(int Status, int model, int NumSignals, void* Data)
{
    if(!wait(0)) return 0;

    // Optimization parameters - adjust these as needed within optimize calls
    learning_rate = optimize(0.001, 0.0001, 0.01, 0.0001);
    num_neurons = optimize(50, 10, 100, 10);
    dropout_rate = optimize(0.3, 0.1, 0.5, 0.1);
    epochs = optimize(100, 50, 200, 50);
    batch_size = optimize(32, 16, 64, 16);

    // open a Python script with the same name as the strategy script  
    if(Status == NEURAL_INIT) {
        if(!pyStart(strf("%s.py",Script),1)) return 0;
        pyX("neural_init()");
        return 1;
    }

    // export batch training samples and call the Python training function
    if(Status == NEURAL_TRAIN) {
        string name = strf("Data\\signals%i.csv",Core);
        file_write(name,Data,0);
        pyX(strf("XY = pandas.read_csv('%s%s',header = None)",slash(ZorroFolder),slash(name)));
        pySet("AlgoVar",AlgoVar,8);

        // Pass optimization parameters to Python
        pySet("learning_rate", &learning_rate, 1);
        pySet("num_neurons", &num_neurons, 1);
        pySet("dropout_rate", &dropout_rate, 1);
        pySet("epochs", &epochs, 1);
        pySet("batch_size", &batch_size, 1);

        if(!pyX(strf("neural_train(%i,XY,learning_rate,num_neurons,dropout_rate,epochs,batch_size)", model+1)))
            return 0;
        return 1;
    }

    // predict the target with the Python predict function
    if(Status == NEURAL_PREDICT) {
        pySet("AlgoVar",AlgoVar,8);
        pySet("X",(double*)Data,NumSignals);
        pyX(strf("Y = neural_predict(%i,X)", model+1));
        return pyVar("Y[0]");
    }

    // save all trained models  
    if(Status == NEURAL_SAVE) {
        print(TO_ANY,"\nStore %s", strrchr(Data,'\\')+1);
        return pyX(strf("neural_save('%s')", slash(Data)));
    }

    // load all trained models  
    if(Status == NEURAL_LOAD) {
        printf("\nLoad %s", strrchr(Data,'\\')+1);
        return pyX(strf("neural_load('%s')", slash(Data)));
    }

    return 1;
}

import numpy as np
from tensorflow import keras
from tensorflow.keras.layers import Dense, Dropout
from tensorflow.keras.optimizers import RMSprop

models = []

def neural_train(model, XY, learning_rate, num_neurons, dropout_rate, epochs, batch_size):
    X = np.array(XY.iloc[:, :-1])
    Y = XY.iloc[:, -1].apply(lambda x: 1 if x > 0 else 0)

    model = keras.models.Sequential()
    model.add(Dense(num_neurons, activation='relu', input_shape=(X.shape[1],)))
    model.add(Dropout(dropout_rate))
    model.add(Dense(1, activation='sigmoid'))

    model.compile(loss='binary_crossentropy',
                  optimizer=RMSprop(learning_rate=learning_rate),
                  metrics=['accuracy'])

    model.fit(X, Y, epochs=epochs, batch_size=batch_size, validation_split=0, shuffle=False)

    models.append(model)

def neural_predict(model, X):
    if isinstance(X, list):
        X = np.array(X)
    elif isinstance(X, np.ndarray) and X.ndim == 1:
        X = X.reshape(1, -1)

    Y = models[model].predict(X)
    return [1 if y > 0.5 else 0 for y in Y]

def neural_save(name):
    serialized_models = [model.to_json() for model in models]
    with open(name, 'w') as file:
        for serialized_model in serialized_models:
            file.write(serialized_model + '\n')

def neural_load(name):
    global models
    models = []
    with open(name, 'r') as file:
        for line in file:
            model = keras.models.model_from_json(line.strip())
            models.append(model)

def neural_init():
    np.random.seed(365)
    global models
    models = []

# Example usage:
# neural_init()
# neural_train(0, XY, 0.001, 50, 0.3, 100, 32)
# result = neural_predict(0, X)
# neural_save('models.txt')
# neural_load('models.txt')

Zorro.exe -run MyScript -i 20230930