Pretty old, but as far I see, first the neural net needs to be trained to the price curve.

Therefore this must be changed to the features file.
XY <<- read.csv('c'c:/project/Zorro/Data/DeepLearn.csv' ,header = F)

After training the neurons, the Zorro script needs to be trained and creates the .ml files.

Zorro handels which .ml files are read.

Just the scripts .r and .c need the same name.

I suggest both sources of knowledge for beginners:

https://financial-hacker.com/build-better-strategies-part-5-developing-a-machine-learning-system/
https://robotwealth.com/machine-learning-financial-prediction-david-aronson/