/ Deep Learning Test ///////////////////////////////////////////
///////////////////////////////////////////////////////////////////////
#include <r.h>
var change(int n)
{
return scale((priceClose(0) - priceClose(n))/priceClose(0),100)/100;
}
var range(int n)
{
return scale((HH(n) - LL(n))/priceClose(0),100)/100;
}
///////////////////////////////////////////////////////////////////////
function run()
{
NumCores = -1;
Script = "DL3kb";
Script = "DL3kc";
StartDate = 20190301;
EndDate = 20200501;
BarPeriod = 60; // 1 hour
LookBack = 100;
//WFOPeriod = 252*24; // 1 year
//DataSplit = 90;
assetList("AssetsFix");
asset("EUR/USD");
set(RULES);
Spread = RollLong = RollShort = Commission = Slippage = 0;
LifeTime = 3 ;
if(Train) Hedge = 2;
////// MIS SEÑALES ///
var Signals[9]; // hasta 15 sin problema
Signal[0]=change(1);
Signal[1]=change(2);
Signal[2]=change(3);
Signal[4]=change(4);
Signal[5]=range(1);
Signal[6]=range(2);
Signal[7]=range(3);
Signal[8]=range(4);
var Threshold = 0.9;
var Threshold1 = 0.1;
var vLongb,vShortb,vLongc,vShortc;
// aqui empiezo a hacer loop
while(algo(loop("DN1","DN2"))){
set(LOGFILE|PLOTNOW);
if(Algo=="DN1"){
if(Init) print(TO_WINDOW,"\nR DL1 and Deepnet required");
Script = "DL3b";
var vLongb = adviseLong(NEURAL+BALANCED,0,Signals,9);
var vShortb = adviseShort(NEURAL+BALANCED,0,Signals,9);
}
if(Algo=="DN2"){
if(Init) print(TO_WINDOW,"\nR DL2 and Deepnet required");
Script = "DL3c";
var vLongc = adviseLong(NEURAL+BALANCED,0,Signals,9);
var vShortc = adviseShort(NEURAL+BALANCED,0,Signals,9);
}
///////////////////////////////////////////////////////////
// logic //////////////////////////////////////////
if(vLongb> Threshold
and vShortb< Threshold1
and vLongc> Threshold
and vShortc < Threshold1
)
enterLong();
if(vShortb> Threshold
and vLongb < Threshold1
and vShortc> Threshold
and vLongc < Threshold1
)
enterShort();
// plots /////////////////////
plot("Longb",vLongb,NEW|LINE,BLACK);
plot("Longc",vLongc,NEW|LINE,BLUE);
plot("Shortb",vShortb,NEW|LINE,GREY);
plot("Shortc",vShortc,NEW|LINE,MAROON);
}
}