Hi,
I don't want to compete with what is done here, rather curious what others are doing to compare it with my own ideas. Above all my primary goal was to learn Data Science using trading to be able to practice and then apply learnings in real life applications...
In summary I am using Deep learning framework of h2o from R. I am just using deep learning function for that. Process is not super integrated with MT4/MQL (I can't do backtest in MT4) but I can do some tests in R to verify model.
The idea is explained below:
I don't want to compete with what is done here, rather curious what others are doing to compare it with my own ideas. Above all my primary goal was to learn Data Science using trading to be able to practice and then apply learnings in real life applications...
In summary I am using Deep learning framework of h2o from R. I am just using deep learning function for that. Process is not super integrated with MT4/MQL (I can't do backtest in MT4) but I can do some tests in R to verify model.
The idea is explained below:
- generate financial data from MT4 and write it to the files
- read data in R, pre-process it to train model (I am using indicator pattern as predictor and shifted price change as label)
- train model to predict either price change direction (classification) or in absolute term (regression)
- test model directly in R using independent dataset
- use model for predictions (typically to predict what will happen in 2, 20, 200 hours)
- write predictions to the files to be consumed by Expert Advisor
I have tested this system and the results are very interesting. Unfortunately rules are so much restricted here: I have no possibility yet to post my own threads but I hope to read these threads more in detail one day