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I am insisting with Machine Learning
#463932
01/07/17 21:43
01/07/17 21:43
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Joined: Jul 2016
Posts: 64
gtell
OP
Junior Member
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OP
Junior Member
Joined: Jul 2016
Posts: 64
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But I still do not understand some things. This post is a question to whom has more experience of me. The question is very simple and regards how Zorro passes data to the R script. To put in short, consider the following robot:
#include <r.h>
var change(int n)
{
return scale((priceClose(0) - priceClose(n))/priceClose(0),100)/100;
}
var range(int n)
{
return scale((HH(n) - LL(n))/priceClose(0),100)/100;
}
function run()
{
StartDate = 2012;
BarPeriod = 60*24;
LookBack = 100;
WFOPeriod = 700; // 1 year
DataSplit = 90;
NumCores = -1; // use all CPU cores but one
set(RULES);
set(LOGFILE);
Spread = RollLong = RollShort = Commission = Slippage = 0;
//LifeTime = 3;
int Offset = 0;
if(Train) {
Hedge = 2;
Offset = 1;
}
var c1=change(1+Offset), c2=change(2+Offset), c3=change(3+Offset), c4=change(4+Offset);
var r1=range(1+Offset), r2=range(2+Offset), r3=range(3+Offset), r4=range(4+Offset);
var pred = adviseLong(NEURAL,change(1),c1,c2,c3,c4,r1,r2,r3,r4);
if(Train) enterLong();
if(Test) {
print(TO_LOG, "nSignals: %1.3f,%1.3f,%1.3f,%1.3f,%1.3f,%1.3f,%1.3f,%1.3f", c1,c2,c3,c4,r1,r2,r3,r4);
print(TO_LOG, "nPrediction value: %1.3f", pred);
if(pred>0.5 && NumOpenLong<1) enterLong();
else if(pred<0.5 && NumOpenShort<1) enterShort();
}
}
Let's not consider the efficiency of this startegy. But, let's have a look to the log:
[1024: Wed 16.12.15 00:00] -160 -4 54/96 (1.09902)
Signals: -0.298,-0.186,-0.004,-0.149,0.400,0.081,-0.104,-0.244
Prediction value: 0.252
[EUR/USD::L2250] Reverse 1@1.09341: -4.43 at 00:00:00
[EUR/USD::S2451] Short 1@1.09341 at 00:00:00
[1025: Thu 17.12.15 00:00] -164 +5 55/96 (1.09329)
Signals: -0.320,-0.405,-0.250,-0.129,0.331,0.273,0.094,-0.045
Prediction value: 0.237
[1026: Fri 18.12.15 00:00] -164 +8 55/96 (1.08767)
Signals: -0.177,-0.326,-0.340,-0.261,-0.099,0.347,0.405,0.253
Prediction value: 0.428
[1027: Mon 21.12.15 00:00] -164 +6 55/96 (1.08404)
Signals: 0.130,-0.022,-0.139,-0.218,-0.199,-0.275,0.173,0.238
Prediction value: 0.739
[EUR/USD::S2451] Reverse 1@1.08695: +5.63 at 00:00:00
[EUR/USD::L2752] Long 1@1.08695 at 00:00:00
[1028: Tue 22.12.15 00:00] -158 +4 56/96 (1.08671)
Signals: 0.183,0.224,0.129,-0.019,-0.054,-0.022,-0.191,0.027
Prediction value: 0.698
[1029: Wed 23.12.15 00:00] -158 +7 56/96 (1.09106)
Signals: 0.168,0.252,0.297,0.194,-0.116,-0.016,0.022,-0.082
Prediction value: 0.735
So, what I expect is that the signals were shifted, if in one bar I get: 0.1, 0.5, -0.2, -0,3 the next bar I should have something like: 0.3, 0.1, 0.5, -0.2 the first value is new and the other are taken from the previous bar. I do not understand why this is not happening. Is someone able to explain me? Thanks. Cheers
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