#include <Fann2MQL.mqh>
#property copyright "Copyright © 2009, Julien Loutre"
#property link "http://www.forexcomm.com"
#property indicator_separate_window
#property indicator_buffers 0
// the total number of layers. here, there is one input layer,
// 2 hidden layers, and one output layer = 4 layers.
int nn_layer = 4;
int nn_input = 3; // Number of input neurones. Our pattern is made of 3 numbers,
// so that means 3 input neurones.
int nn_hidden1 = 8; // Number of neurones on the first hidden layer
int nn_hidden2 = 5; // number on the second hidden layer
int nn_output = 1; // number of outputs
// trainingData[][] will contain the examples
// we're gonna use to teach the rules to the neurones.
double trainingData[][4]; // IMPORTANT! size = nn_input + nn_output
int maxTraining = 500; // maximum number of time we will train
// the neurones with some examples
double targetMSE = 0.002; // the Mean-Square Error of the neurones we should
// get at most (you will understand this lower in the code)
int ann; // This var will be the identifier of the neuronal network.
// When the indicator is removed, we delete all of the neurnal networks
// from the memory of the computer.
int deinit() {
f2M_destroy_all_anns();
return(0);
}
int init() {
int i;
double MSE;
Print("=================================== START EXECUTION ================================");
IndicatorBuffers(0);
IndicatorDigits(6);
// We resize the trainingData array, so we can use it.
// We're gonna change its size one size at a time.
ArrayResize(trainingData,1);
Print("##### INIT #####");
// We create a new neuronal networks
ann = f2M_create_standard(nn_layer, nn_input, nn_hidden1, nn_hidden2, nn_output);
// we check if it was created successfully. 0 = OK, -1 = error
debug("f2M_create_standard()",ann);
// We set the activation function. Don't worry about that. Just do it.
f2M_set_act_function_hidden (ann, FANN_SIGMOID_SYMMETRIC_STEPWISE);
f2M_set_act_function_output (ann, FANN_SIGMOID_SYMMETRIC_STEPWISE);
// Some studies show that statistically, the best results are reached using this range;
// but you can try to change and see is it gets better or worst
f2M_randomize_weights (ann, -0.77, 0.77);
// I just print to the console the number of input and output neurones.
// Just to check. Just for debug purpose.
debug("f2M_get_num_input(ann)",f2M_get_num_input(ann));
debug("f2M_get_num_output(ann)",f2M_get_num_output(ann));
Print("##### REGISTER DATA #####");
// Now we prepare some data examples (with expected output)
// and we add them to the training set.
// Once we have add all the examples we want, we're gonna send
// this training data set to the neurones, so they can learn.
// prepareData() has a few arguments:
// - Action to do (train or compute)
// - the data (here, 3 data per set)
// - the last argument is the expected output.
// Here, this function takes the example data and the expected output,
// and add them to the learning set.
// Check the comment associated with this function to get more details.
//
// here is the pattern we're going to teach:
// There is 3 numbers. Let's call them a, b and c.
// You can think of those numbers as being vector coordinates
// for example (vector going up or down)
// if a < b && b < c then output = 1
// if a < b && b > c then output = 0
// if a > b && b > c then output = 0
// if a > b && b < c then output = 1
// UP UP = UP / if a < b && b < c then output = 1
prepareData("train",1,2,3,1);
prepareData("train",8,12,20,1);
prepareData("train",4,6,8,1);
prepareData("train",0,5,11,1);
// UP DOWN = DOWN / if a < b && b > c then output = 0
prepareData("train",1,2,1,0);
prepareData("train",8,10,7,0);
prepareData("train",7,10,7,0);
prepareData("train",2,3,1,0);
// DOWN DOWN = DOWN / if a > b && b > c then output = 0
prepareData("train",8,7,6,0);
prepareData("train",20,10,1,0);
prepareData("train",3,2,1,0);
prepareData("train",9,4,3,0);
prepareData("train",7,6,5,0);
// DOWN UP = UP / if a > b && b < c then output = 1
prepareData("train",5,4,5,1);
prepareData("train",2,1,6,1);
prepareData("train",20,12,18,1);
prepareData("train",8,2,10,1);
// Now we print the full training set to the console, to check how it looks like.
// this is just for debug purpose.
printDataArray();
Print("##### TRAINING #####");
// We need to train the neurones many time in order
// for them to be good at what we ask them to do.
// Here I will train them with the same data (our examples) over and over again,
// until they fully understand the rules we are trying to teach them, or until
// the training has been repeated 'maxTraining' number of time
// (in this case maxTraining = 500)
// The better they understand the rule, the lower their mean-Square Error will be.
// the teach() function returns this mean-Square Error (or MSE)
// 0.1 or lower is a sufficient number for simple rules
// 0.02 or lower is better for complex rules like the one
// we are trying to teach them (it's a patttern recognition. not so easy.)
for (i=0;i<maxTraining;i++) {
MSE = teach(); // everytime the loop run, the teach() function is activated.
// Check the comments associated to this function to understand more.
if (MSE < targetMSE) { // if the MSE is lower than what we defined (here targetMSE = 0.02)
debug("training finished. Trainings ",i+1); // then we print in the console
// how many training
// it took them to understand
i = maxTraining; // and we go out of this loop
}
}
// we print to the console the MSE value once the training is completed
debug("MSE",f2M_get_MSE(ann));
Print("##### RUNNING #####");
// And now we can ask the neurone to analyse new data that they never saw.
// Will they recognize the patterns correctly?
// You can see that I used the same prepareData() function here,
// with the first argument set to "compute".
// The last argument which was dedicated to the expected output
// when we used this function for registering examples earlier,
// is now useless, so we leave it to zero.
// if you prefer, you can call directly the compute() function.
// In this case, the structure is compute(inputVector[]);
// So instead of prepareData("compute",1,3,1,0); you would do something like:
// double inputVector[]; // declare a new array
// ArrayResize(inputVector,f2M_get_num_input(ann));
// resize the array to the number of neuronal input
// inputVector[0] = 1; // add in the array the data
// inputVector[1] = 3;
// inputVector[2] = 1;
// result = compute(inputVector); // call the compute() function, with the input array.
// the prepareData() function call the compute() function,
// which print the result to the console,
// so we can check if the neurones were right or not.
debug("1,3,1 = UP DOWN = DOWN. Should output 0.","");
prepareData("compute",1,3,1,0);
debug("1,2,3 = UP UP = UP. Should output 1.","");
prepareData("compute",1,2,3,0);
debug("3,2,1 = DOWN DOWN = DOWN. Should output 0.","");
prepareData("compute",3,2,1,0);
debug("45,2,89 = DOWN UP = UP. Should output 1.","");
prepareData("compute",45,2,89,0);
debug("1,3,23 = UP UP = UP. Should output 1.","");
prepareData("compute",1,3,23,0);
debug("7,5,6 = DOWN UP = UP. Should output 1.","");
prepareData("compute",7,5,6,0);
debug("2,8,9 = UP UP = UP. Should output 1.","");
prepareData("compute",2,8,9,0);
Print("=================================== END EXECUTION ================================");
return(0);
}
int start() {
return(0);
}
/*************************
** printDataArray()
** Print the datas used for training the neurones
** This is useless. Just created for debug purpose.
*************************/
void printDataArray() {
int i,j;
int bufferSize = ArraySize(trainingData)/(f2M_get_num_input(ann)+f2M_get_num_output(ann))-1;
string lineBuffer = "";
for (i=0;i<bufferSize;i++) {
for (j=0;j<(f2M_get_num_input(ann)+f2M_get_num_output(ann));j++) {
lineBuffer = StringConcatenate(lineBuffer, trainingData[i][j], ",");
}
debug("DataArray["+i+"]", lineBuffer);
lineBuffer = "";
}
}
/*************************
** prepareData()
** Prepare the data for either training or computing.
** It takes the data, put them in an array,
** and send them to the training or running function
** Update according to the number of input/output your code needs.
*************************/
void prepareData(string action, double a, double b, double c, double output) {
double inputVector[];
double outputVector[];
// we resize the arrays to the right size
ArrayResize(inputVector,f2M_get_num_input(ann));
ArrayResize(outputVector,f2M_get_num_output(ann));
inputVector[0] = a;
inputVector[1] = b;
inputVector[2] = c;
outputVector[0] = output;
if (action == "train") {
addTrainingData(inputVector,outputVector);
}
if (action == "compute") {
compute(inputVector);
}
// if you have more input than 3, just change the structure of this function.
}
/*************************
** addTrainingData()
** Add a single set of training data
**(data example + expected output) to the global training set
*************************/
void addTrainingData(double inputArray[], double outputArray[]) {
int j;
int bufferSize = ArraySize(trainingData)/(f2M_get_num_input(ann)+f2M_get_num_output(ann))-1;
//register the input data to the main array
for (j=0;j<f2M_get_num_input(ann);j++) {
trainingData[bufferSize][j] = inputArray[j];
}
for (j=0;j<f2M_get_num_output(ann);j++) {
trainingData[bufferSize][f2M_get_num_input(ann)+j] = outputArray[j];
}
ArrayResize(trainingData,bufferSize+2);
}
/*************************
** teach()
** Get all the trainign data and use them to train the neurones one time.
** In order to properly train the neurones, you need to run ,
** this function many time until the Mean-Square Error get low enough.
*************************/
double teach() {
int i,j;
double MSE;
double inputVector[];
double outputVector[];
ArrayResize(inputVector,f2M_get_num_input(ann));
ArrayResize(outputVector,f2M_get_num_output(ann));
int call;
int bufferSize = ArraySize(trainingData)/(f2M_get_num_input(ann)+f2M_get_num_output(ann))-1;
for (i=0;i<bufferSize;i++) {
for (j=0;j<f2M_get_num_input(ann);j++) {
inputVector[j] = trainingData[i][j];
}
outputVector[0] = trainingData[i][3];
//f2M_train() is showing the neurones only one example at a time.
call = f2M_train(ann, inputVector, outputVector);
}
// Once we have show them an example,
// we check if how good they are by checking their MSE.
// If it's low, they learn good!
MSE = f2M_get_MSE(ann);
return(MSE);
}
/*************************
** compute()
** Compute a set of data and returns the computed result
*************************/
double compute(double inputVector[]) {
int j;
int out;
double output;
ArrayResize(inputVector,f2M_get_num_input(ann));
// We sent new data to the neurones.
out = f2M_run(ann, inputVector);
// and check what they say about it using f2M_get_output().
output = f2M_get_output(ann, 0);
debug("Computing()",MathRound(output));
return(output);
}
/*************************
** debug()
** Print data to the console
*************************/
void debug(string a, string b) {
Print(a+" ==> "+b);
}
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