Confirmation of Trend using Neural Networks (by kind permission of Leo)

• 08/24/2018 at 2:45 PM #78955
  GraHal

  TOPIC SPLITTED FROM “Neural Networks programming” discussion: https://www.prorealcode.com/topic/neural-networks-programming-with-prorealtime/ to discuss the strategy made by GraHal about Leo’s classifier code snippet.

  Leo wrote:

  which function do you use for the output neurons?

  Nicolas wrote:

  how did GraHal use the code to trigger trades in this case?

  I’m far from expert at coding, so I couldn’t understand your code fully, but I do like experimenting so … (rightly or wrongly?) I did below to trigger the trades! 🙂

  System is doing good so far on Fwd Test  … current trade at £128 profit and past trades results attached

  IF classifier=1 and close > Average[60](close) then Buy 2 Contracts at Market

  1 2	IF classifier=1 and close > Average[60](close) then Buy 2 Contracts at Market

  Edit / PS

  Bear in mind results are on 5 min TF, so maybe the good results so far are a fluke and a misuse of the code intention??

   

   

  Strategy using the neural network made by Leo starts from this post:

  https://www.prorealcode.com/topic/long-only-trading-with-trend-confirmation-on-5-minutes-timeframe/page/3/#post-79578

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  GraHal

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  08/24/2018 at 3:01 PM #78960
  Nicolas

  in the Leo’s code of the “classifier”, classifier = 1 if the price has moved favorably enough to cover a risk reward ratio of 2 since a lowest low of X periods. So in your strategy you only making a bet for that movement to continue and with a simple trend filter with a SMA 60 periods.

   

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  Nicolas

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  08/24/2018 at 3:28 PM #78967
  GraHal

  Here’s the latest version v1.1!  Rock on Leo … keep em coming!!!  🙂

  Almost  4 x Profit by adding an exit filter! I had to double check to make sure I had Tick by Tick selected!!! 🙂

  //https://www.prorealcode.com/topic/interesting-web-pages-or-blogs/ //Variables: DEFPARAM CUMULATEORDERS = False candlesback=5 ProfitRiskRatio=2 spread=1.5 myATR=average[20](range)//+std[20](range) ExtraStopLoss=MyATR //ExtraStopLoss=3*spread*pipsize classifier=0 //for long trades FOR scan=1 to candlesback DO IF classifier[scan]=1 then BREAK ENDIF LongTradeLength=ProfitRiskRatio*(close[scan]-(low[scan]-ExtraStopLoss[scan])) IF close[scan]+LongTradeLength < high-spread*pipsize then IF lowest[scan+1](low) > low[scan]-ExtraStopLoss[scan]+spread*pipsize then classifier=1 //candleentry=barindex-scan BREAK ENDIF ENDIF NEXT IF classifier=1 and close > Average[60](close) then Buy 2 Contracts at Market //DRAWSEGMENT(candleentry,close[barindex-candleentry],barindex,close[barindex-candleentry]+LongTradeLength) COLOURED(0,250,0) //DRAWELLIPSE(candleentry-1,low[barindex-candleentry]-ExtraStopLoss,barindex+1,high+ExtraStopLoss) COLOURED(0,250,0) ENDIF // If Close < Average[400](close) Then Sell at Market endif SET TARGET PPROFIT 100 SET STOP PLOSS 100

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  //https://www.prorealcode.com/topic/interesting-web-pages-or-blogs/ //Variables: DEFPARAM CUMULATEORDERS = False candlesback=5 ProfitRiskRatio=2 spread=1.5 myATR=average[20](range)//+std[20](range) ExtraStopLoss=MyATR //ExtraStopLoss=3*spread*pipsize classifier=0 //for long trades FOR scan=1 to candlesback DO IF classifier[scan]=1 then BREAK ENDIF LongTradeLength=ProfitRiskRatio*(close[scan]-(low[scan]-ExtraStopLoss[scan])) IF close[scan]+LongTradeLength < high-spread*pipsize then IF lowest[scan+1](low) > low[scan]-ExtraStopLoss[scan]+spread*pipsize then classifier=1 //candleentry=barindex-scan BREAK ENDIF ENDIF NEXT IF classifier=1 and close > Average[60](close) then Buy 2 Contracts at Market //DRAWSEGMENT(candleentry,close[barindex-candleentry],barindex,close[barindex-candleentry]+LongTradeLength) COLOURED(0,250,0) //DRAWELLIPSE(candleentry-1,low[barindex-candleentry]-ExtraStopLoss,barindex+1,high+ExtraStopLoss) COLOURED(0,250,0) ENDIF // If Close < Average[400](close) Then Sell at Market endif   SET TARGET PPROFIT 100 SET STOP PLOSS 100

   

  

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  08/24/2018 at 3:38 PM #78974
  Vonasi

  You might want to add something to vary the spread depending on the time of day as your 1.5 is never available in the DJI.

  

  

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  08/24/2018 at 3:43 PM #78979
  GraHal

  GraHal wrote:

  Almost  4 x Profit by adding an exit filter! I had to double check to make sure I had Tick by Tick selected!!!

  Above assertion of mine is wrong … it is slightly less profit than without the exit filter.

  Anybody feel free to add a more effective exit??

  

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  08/24/2018 at 4:06 PM #78982
  Nicolas

  GraHal, despite the fact that your strategy seems nice, I feel that it is now off topic and has nothing to deal with neural network anymore 🙂 Can I split the topic into a new one starting from this post  ?

  I’ll add backlink in each of the topic to loose no one in the process.

  

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  08/24/2018 at 4:29 PM #78985
  GraHal

  Nicolas wrote:

  Can I split the topic into a new one starting from this post  ?

  Yes sure … no problem Nicolas.
  Cheers

   

  

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  08/24/2018 at 6:17 PM #79005
  Nicolas

  I made an indicator from the code you are using to trigger the trades:

  candlesback=5 ProfitRiskRatio=2 spread=1.5 myATR=average[20](range) ExtraStopLoss=MyATR classifier=0 //for long trades FOR scan=1 to candlesback DO IF classifier[scan]=1 then BREAK ENDIF LongTradeLength=ProfitRiskRatio*(close[scan]-(low[scan]-ExtraStopLoss[scan])) IF close[scan]+LongTradeLength < high-spread*pipsize then IF lowest[scan+1](low) > low[scan]-ExtraStopLoss[scan]+spread*pipsize then classifier=1 candleentry=barindex-scan BREAK ENDIF ENDIF NEXT IF classifier=1 and close > Average[60](close) then trend = close[barindex-candleentry] ENDIF return trend

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  candlesback=5 ProfitRiskRatio=2 spread=1.5    myATR=average[20](range) ExtraStopLoss=MyATR classifier=0 //for long trades FOR scan=1 to candlesback DO IF classifier[scan]=1 then BREAK ENDIF LongTradeLength=ProfitRiskRatio*(close[scan]-(low[scan]-ExtraStopLoss[scan])) IF close[scan]+LongTradeLength < high-spread*pipsize then IF lowest[scan+1](low) > low[scan]-ExtraStopLoss[scan]+spread*pipsize then classifier=1 candleentry=barindex-scan BREAK ENDIF ENDIF NEXT IF classifier=1 and close > Average[60](close) then trend = close[barindex-candleentry] ENDIF   return trend

   

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  08/24/2018 at 10:35 PM #79028
  Leo

  Wow! I have no words to describe how astonish I am. I”m very glad as well that my work so far has been so useful.

  Sharing is power, indeed.

   

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  08/26/2018 at 4:15 PM #79118
  GraHal

  Mods / Nicolas (if you agree?) please change title of this topic to …

  Confirmation of Trend using Neural Networks (by kind permission of Leo)

  All credit to Leo, here is version 2.0 with Shorts also!

  Anybody feel free to improve and post your code on this Thread.

  DJI 5 min TF, Lot size = 2, 100k bars

  DEFPARAM CUMULATEORDERS = False //Variables: candlesback=1 ProfitRiskRatio=2 spread=1.5 myATR=average[20](range)+std[20](range) ExtraStopLoss=MyATR //ExtraStopLoss=3*spread*pipsize //for long trades classifierlong=0 FOR scanL=1 to candlesback DO IF classifierlong[scanL]=1 then BREAK ENDIF LongTradeLength=ProfitRiskRatio*(close[scanL]-(low[scanL]-ExtraStopLoss[scanL])) IF close[scanL]+LongTradeLength < high-spread*pipsize then IF lowest[scanL+1](low) > low[scanL]-ExtraStopLoss[scanL]+spread*pipsize then classifierlong=1 //candleentrylong=barindex-scanL BREAK ENDIF ENDIF NEXT IF classifierlong=1 and Close > Average[30](close)then //DRAWSEGMENT(candleentrylong,close[barindex-candleentrylong],barindex,close[barindex-candleentrylong]+LongTradeLength) COLOURED(0,150,0) //DRAWELLIPSE(candleentrylong-1,low[barindex-candleentrylong]-ExtraStopLoss,barindex+1,high+ExtraStopLoss) COLOURED(0,150,0) Buy 2 Contract at Market ENDIF //for short trades classifiershort=0 FOR scanS=1 to candlesback DO IF classifiershort[scanS]=1 then BREAK ENDIF ShortTradeLength=ProfitRiskRatio*((high[scanS]-close[scanS])+ExtraStopLoss[scanS]) IF close[scanS]-ShortTradeLength > low+spread*pipsize then IF highest[scanS+1](high) < high[scanS]+ExtraStopLoss[scanS]-spread*pipsize then classifiershort=1 //candleentryshort=barindex-scanS BREAK ENDIF ENDIF NEXT IF classifiershort=1 and Close < Average[6](close) then //DRAWSEGMENT(candleentryshort,close[barindex-candleentryshort],barindex,close[barindex-candleentryshort]-ShortTradeLength) COLOURED(150,0,0) //DRAWELLIPSE(candleentryshort-1,high[barindex-candleentryshort]+ExtraStopLoss,barindex+1,low-ExtraStopLoss) COLOURED(150,0,0) SellShort 2 Contract at Market ENDIF SET TARGET PROFIT 140 SET STOP PLOSS 340 //return

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57

  DEFPARAM CUMULATEORDERS = False //Variables: candlesback=1 ProfitRiskRatio=2 spread=1.5 myATR=average[20](range)+std[20](range) ExtraStopLoss=MyATR //ExtraStopLoss=3*spread*pipsize //for long trades classifierlong=0 FOR scanL=1 to candlesback DO IF classifierlong[scanL]=1 then BREAK ENDIF LongTradeLength=ProfitRiskRatio*(close[scanL]-(low[scanL]-ExtraStopLoss[scanL])) IF close[scanL]+LongTradeLength < high-spread*pipsize then IF lowest[scanL+1](low) > low[scanL]-ExtraStopLoss[scanL]+spread*pipsize then classifierlong=1 //candleentrylong=barindex-scanL BREAK ENDIF ENDIF NEXT IF classifierlong=1 and Close > Average[30](close)then //DRAWSEGMENT(candleentrylong,close[barindex-candleentrylong],barindex,close[barindex-candleentrylong]+LongTradeLength) COLOURED(0,150,0) //DRAWELLIPSE(candleentrylong-1,low[barindex-candleentrylong]-ExtraStopLoss,barindex+1,high+ExtraStopLoss) COLOURED(0,150,0) Buy 2 Contract at Market ENDIF //for short trades classifiershort=0 FOR scanS=1 to candlesback DO IF classifiershort[scanS]=1 then BREAK ENDIF ShortTradeLength=ProfitRiskRatio*((high[scanS]-close[scanS])+ExtraStopLoss[scanS]) IF close[scanS]-ShortTradeLength > low+spread*pipsize then IF highest[scanS+1](high) < high[scanS]+ExtraStopLoss[scanS]-spread*pipsize then classifiershort=1 //candleentryshort=barindex-scanS BREAK ENDIF ENDIF NEXT IF classifiershort=1 and Close < Average[6](close) then //DRAWSEGMENT(candleentryshort,close[barindex-candleentryshort],barindex,close[barindex-candleentryshort]-ShortTradeLength) COLOURED(150,0,0) //DRAWELLIPSE(candleentryshort-1,high[barindex-candleentryshort]+ExtraStopLoss,barindex+1,low-ExtraStopLoss) COLOURED(150,0,0) SellShort 2 Contract at Market ENDIF SET TARGET PROFIT 140 SET STOP PLOSS 340 //return

   

   

  

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  08/26/2018 at 5:08 PM #79122
  Leo

  Hi GraHal,

  the credits is yours!

  you are using a part of a neural network, far away yet to an adgorithm that learn and modify by itself.

  I am glad you find a useful Spin-off

  

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  08/26/2018 at 7:02 PM #79126
  Nicolas

  Leo is right, there’s nothing about neural network in this code 🙂 Anyway, you’ve made a great job with the short version, what about the spread used? I must say that I’m surprised with the results obtain with that simple signals!

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  08/26/2018 at 8:00 PM #79131
  GraHal

  Can’t wait until it’s a fully grown up Neural Net! 🙂

  Spread = 2, yes thinking about it 4 – 6 may be be more realistic (24 hour strategy) so knock 400 – 800 or so off the profit shown above.

  GraHal wrote:

  Mods / Nicolas (if you agree?) please change title of this topic to …
  Confirmation of Trend using Neural Networks (by kind permission of Leo)

  I was trying to give Leo the credit due, but also as strategies in this Topic are now Long AND  Short and may <> 5 min TF.

  How about … mmm, can’t think! naah leave as is! 🙂

  All suggestions for Topic title and improvements to codes gratefully received.

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  08/26/2018 at 9:13 PM #79132
  Vonasi

  I’m not testing this one myself at the moment but it would be interesting to see how it performs on the SP500. It is heavily correlated to the DJI but the spread is more stable through out the day. £5 minimum stake size but that is all relative to the average price movement.

  

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  08/27/2018 at 2:56 PM #79173
  GraHal

  I know it’s only early days and it could all change, but I had to post the latest results from V1.0 … hoping it may encourage readers to experiment (as I did) and share your versions of this code running on the DJI and / or other instruments.

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