Discussion of article "Neural Networks Cheap and Cheerful - Link NeuroPro with MetaTrader 5"

[MetaQuotes]

New article Neural Networks Cheap and Cheerful - Link NeuroPro with MetaTrader 5 has been published:

If specific neural network programs for trading seem expensive and complex or, on the contrary, too simple, try NeuroPro. It is free and contains the optimal set of functionalities for amateurs. This article will tell you how to use it in conjunction with MetaTrader 5.

The NeuroPro program was written in one of Russian institutes back in 1998 and is still relevant today. It efficiently runs on Windows XP, Vista and Windows 7. I cannot tell how it works on later versions of Windows as I have not tested it.

Version 0.25 is free and can be found on many websites on the Internet. NeuroPro can create multilayer neural networks with the sigmoid activation function. If you have just started learning neural networks, you do not need more features at this stage. It should be kept in mind that the interface of NeuroPro is in Russian and has not been translated into any other languages.

Neural network can be trained on one data array and then tested on another one. It is an essential feature for traders as it allows to understand quickly if the selected network structure is prone to overfitting and if it can consistently trade outside historical data, i.e. on a real account.

Those who like to dig deeper have an opportunity to see neural network weights as well as which network inputs influence the result of network operation most of all. Beginners do not need that and they may skip this part of the program. This information is useful for experienced traders looking for the Grail because it lets them assume what pattern was identified by the neural network and see where they can continue their search.

Other than that, there are no significant features in NeuroPro except various settings and useful utilities like minimizer of the network structure. These menu sections are not compulsory to use so novices do not have to complicate things and use only the default settings.

From a trader's point of view, NeuroPro has only one disadvantage - absence of integration with MetaTrader 5. Actually, this article is mostly dedicated to loading market and indicator data from MetaTrader 5 to NeuroPro and then turn the received neural network into an Expert in MQL5.

Advancing the topic, I can say that the neural network that we are going to create with NeuroPro will be converted with all the neuron weights into an MQL5 script (unlike the system of include DLL like in any other neural network program). It will ensure fast work and minimum use of computer resources. That is a clear advantage of using NeuroPro. It can be used for creating any trading strategies, even scalping ones with their requirement for the Expert to make decisions nearly immediately.

Trading Strategy

In this article we are not going to consider scalping because the process of creating, training and testing scalping Experts has a lot of peculiarities and goes beyond this article.

For educational purposes we shall create a simple Expert for the H1 timeframe and popular currency pair EURUSD. So, let our Expert analyze last 24 bars i.e. market behavior in the last day, forecast the direction of the price movement in the following hour and then trade based on that information.

Fig. 22. Equity chart after the Expert Advisor has been tested in MetaTester

Author: Andrew

[Andrew Kreimer]

Great article!

[Robert]

Hi Andrew,

Thanks for a very interesting article...! Nice to see how to connect MT5 with neural nets.

Have you considered doing your neural net example to connect with MT4...? 

MT4 has a much bigger user base and that would encourage more people to appreciate what your great article really offers.

Also...I tried to search for NeuroPro to try it...but it's hard to find and doesn't look like very much support for it?

You may consider using a free neural net program called Neuroph instead...

http://neuroph.sourceforge.net/

Neuroph is a newer Java supported program with a good user friendly GUI to build and test the networks (without needing to code anything).

Actually...Neuroph looks a lot like the NeuroPro examples you posted...so the conversion hopefully would be fairly easy.

Neruoph also works with current and older windows and has both 32bit or 64bit versions for multi-core...so no compatibility problems that I've read about.

In any case...I hope you consider doing the Neuroph/MT4 article...that would be a tremendous help...!

Meanwhile...thanks for a very informative article with lots of possibilities using neural nets...!

Take care,
Robert

[Stuart Browne]

Great article thanks Andrew. 

And great tip on Neuroph thanks Robert, looks VERY interesting!

Cheers
Stu

[vitali]

Hi Andrew,

Thanks for a very interesting article. I have one problem with Neuro Pro 0.25. I cannot install  it under Windows 7 pro 64. According read me file it is working under Windows 2000 and NT4.

[Robert]

Hi vitalibol,

Where did you find NeuroPro 0.25...?

I've seen a few sites that had it...but they were in Russian and required to sign up to download...

If possible...please upload NeuroPro 0.25 here...and I will look at the 64 bit compatibility problem you mentioned...

I have been playing with Neuroph 2.9...to try and implement this example in MT4...

I need to find out how NeuroPro works with the data and creates those "Semaphores" for the MT5 EA...

Thanks for any help you can share,

Robert

[vitali]

Hi Robert,

Thank you for the comment. I fix my problem after reinstall Windows 7. I am new in neural net. I started  to work with neural net month ago after I have read this article. I use NeuroPro, because my native language is Russian. I am going to use NeuroPh later. I try to  code program for  MT4 using NeuroPro.

Regards,

Vitali

[Robert]

Hi Gentlemen,

I wanted to share that I did start playing with Neuroph...

And I went ahead and tried to adapt Andrew's NeuroPro's MT5 example to MT4 and Neuroph.

To start with preparing the proper Datasets...I did manage to modify the MT5 export script to an MT4 version to get the CSV files ready for Neuroph.

I'm just a beginner with neural nets...so after some challenges learning Neuroph's basics...

I was actually able to build and test Andrew's Network with the 24 inputs, 3 hidden layers with 20 nodes each and 1 output.

For a beginner learning neural networks and machine learning...this was a really big Wow experience...!

In the learning process I amazed myself...but in truth...Neuroph is done so well...it seems almost easy once you get the basics down.

Some settings were different...and random biases for each test may produce different results...but my results were close enough to Andrew's example to take the next steps trying to convert the information to an MT4 EA.

I then compared the screens in Andrew's article to see what's needed to start converting the MT5 EA to an MT4 EA version...

More work needs to be done understanding the differences between Neuroph and NeuroPro...and most important...exactly how NeuroPro gets the information to paste into the EA...

The key seems to be understanding the "Semaphores" that NeuroPro produces...which look like node weights...??

I can see the weights for Neuroph...but I could not find a similar screen for Neuroph for producing Semaphores at that point in Andrew's example...so we may need to find work-around's for Neuroph.

I would be glad to share the modified MT4 export script...and my already-built CSV files (split into Training and Testing Datasets)...along with my learning notes...which may help speed up your learning and testing with Neuroph.

Let me know by PM if you would like them (they are not ready for any public posting yet...still learning)

I am hoping Vitali can help with the Russian translations for exactly how NeuroPro produces it's calculations for the Semaphores and anything else we may need to know on how to convert the article to Neuroph and MT4...

And the modified MT4 export script will help work directly in MT4 as you try your NeuroPro tests with MT4.and be ready for when you start playing with Neuroph also.

In addition...both Stu and Andrew Kreimer look to have very good skills for playing with MT4/MT5 and neural nets.

Hopefully together we can help with the EA conversions from MT5 to MT4 to use with Neuroph neural networks.

Thanks, have fun, and take care,

Robert

[Stuart Browne]

Excellent work Robert. I've not had very much to do with Neural Nets but have done some fairly basic AI work in the past. So not sure how much use I could be on that side of things but glad to help out with any MQL that is needed.

Cheers
Stu

[Robert]

Hi all,

I am studying the great article by Andrew on using NeuroPro with MT5 recently posted on the MT5 forum.

Neural Networks Cheap and Cheerful - Link NeuroPro with MetaTrader 5
www.mql5.com/en/articles/830

I understand most of what's happening but I do not speak/read Russian and I don't have a Cyrillic keyboard to try and search and translate it into English..

So I need help understanding some of the Russian words on the NeuroPro input screens..

I also would like to learn how specifically NeuroPro calculates it's Outputs that are cut and pasted into the MT5 EA.

If anyone can help interpret the Russian words in the attached photos...that would be very appreciated...

And if you can help us understand what the formulas are to calculate the Semaphores...

And especially if you understand how those formulas were derived...that would be even better.

Thanks in advance for your help,
Robert

[JD4]

I don't know what experience others have been having with downloading NeuroPro 0.25 (in a zip file), but I found it on a Russian language only site using a search engine, but when I tried running the setup program within it, it told me I didn't have the proper version of windows.  After checking that site through an online translation site (alot of copying and pasting), it appears that it doesn't like Windows Vista, and the preferred versions are Windows 3.10 (remember that?) and 95.  I have also found the Neuroph program, hopefully it will be able to work with MT4 and 5, and MQL as well.