// Deep Learning Test ///////////////////////////////////////////

//#define DO_SIGNALS  // generate sample set in Train mode
//#define DEEPNET
//#define H2O 
//#define MXNET
#define KERAS

///////////////////////////////////////////////////////////////////////
#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 DL1()
{
	var vLong,vShort;
	if(Init) print(TO_WINDOW,"\nR DL1 and Keras required"); 
	Script = "DeepLearnKeras1";
	vLong = adviseLong(NEURAL+BALANCED,0,
	change(1),change(2),change(3),change(4),
		range(1),range(2),range(3),range(4));
		
	vShort = adviseShort(NEURAL+BALANCED,0,
	change(1),change(2),change(3),change(4),
		range(1),range(2),range(3),range(4));
		
		return vLong;
		return vShort;
}
	
	
function DL2()
{
	var vLong1,vShort1;
	if(Init) print(TO_WINDOW,"\nR DL2 and Keras required"); 
	Script = "DeepLearnKeras2";
	vLong1 = adviseLong(NEURAL+BALANCED,0,
	change(1),change(2),change(3),change(4),
		range(1),range(2),range(3),range(4));
		
	vShort1 = adviseShort(NEURAL+BALANCED,0,
	change(1),change(2),change(3),change(4),
		range(1),range(2),range(3),range(4));
		
		return vLong1;
		return vShort1;
}
	


///////////////////////////////////////////////////////////////////////

function run()
{
	NumCores = -1;
	StartDate = 20170101;
	EndDate= 20190101;
	BarPeriod = 1440;	// 1 hour
	LookBack = 100;

	//WFOPeriod = 252*24; // 1 year
	//DataSplit = 90;

	assetList("AssetsDarwinexFMB");
	asset("EUR/USD");
	set(RULES);
	Spread = RollLong = RollShort = Commission = Slippage = 0;
	LifeTime = 3;
	if(Train) Hedge = 2;
	
	var Threshold = 0.5;
	var vLong,vShort,vLong1,vShort1;
///////////////////////////////////////////////////////////	

	//SelectWFO = -1; // use the last WFO cycle for calibrating the neural net

	set(LOGFILE|PLOTNOW);
	
	while(algo(loop("DeepLearnKeras1","DeepLearnKeras2"))){
	
	if(Algo == "DeepLearnKeras1")
		DL1();

	if(Algo == "DeepLearnKeras2")
		DL2();
		
	
		if (vLong > Threshold
		and vLong1 > Threshold )	
		enterLong();

	if(vShort  > Threshold
	and vShort1  > Threshold)
		enterShort();

	plot("Long",vLong,NEW|LINE,BLACK);
	plot("Short",vShort,NEW|LINE,GREY);
		plot("Long1",vLong1,NEW|LINE,BLUE);
	plot("Short1",vShort1,NEW|LINE,RED);
}
	}