I want to trigger trades with two predicted values.

The manual states:



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?

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.

Thanks!