Looking for the file: DeepLearn_1.ml

Any ideas where to find this file. It seems it's needed for the deepnet strategy. It seems it's needed for the machine learning script.
In readChar(con, 5L, useBytes = TRUE) :
cannot open compressed file 'C:/Program Files/zorro/Data/DeepLearn_1.ml', probable reason 'No such file or directory'
Perhaps I have to create it?
Thanks for the information.

It is all explained here:
http://www.financial-hacker.com/build-better-strategies-part-5-developing-a-machine-learning-system/

However, I recommend to also read part 1-4 first.

You have to train the system before you test it.
The .ml files are created during training.