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NEURAL and multiple objectives - what's the easiest way? #479508
04/03/20 10:16
04/03/20 10:16
Joined: Dec 2014
Posts: 171
Germany
Smon Offline OP
Member
Smon  Offline OP
Member

Joined: Dec 2014
Posts: 171
Germany
I want to trigger trades with two predicted values.

The manual states:

Quote

For training multiple objectives with the NEURAL method, pass the further objectives as Signal parameters to the advise function. For debugging, use the R sink function for printing R output to a file.


Now it's super clear how to pass the second objective into the R session, but it seems, there is no convenient way to get the 2-dimensional prediction back to Zorro through the advise functions.

I'm seeing three options here, how I must alter the neural function:

a) change the type of the function to a 2-dim array -> probably causing all kinds of new problems
b) declare a global array in which the neural function writes its predictions.
c) training two different models, one with adviseLong and one with adviseShort (I'd like to avoid that because it will use double the time to train a single model)

What's the easiest way? Is there a better way?

Re: NEURAL and multiple objectives - what's the easiest way? [Re: Smon] #479515
04/03/20 11:40
04/03/20 11:40
Joined: Jul 2000
Posts: 27,224
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,224
Frankfurt
The easiest way is c). For the other ways, call advise with multiple objectives for training only. For test and trading, use a separate prediction function that loads the current model and returns the prediction array as a vector from R.

Re: NEURAL and multiple objectives - what's the easiest way? [Re: Smon] #479516
04/03/20 13:03
04/03/20 13:03
Joined: Dec 2014
Posts: 171
Germany
Smon Offline OP
Member
Smon  Offline OP
Member

Joined: Dec 2014
Posts: 171
Germany
Thanks!


Moderated by  Petra 

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