added automated machine learning scripts

.gitignore

@@ -29,3 +29,6 @@ ScoreData.R
 model/LOG/AI_T-15.csv
 model/LOG/AI_T-60.csv
 *.csv
+_DATA/
+_MODELS/
+_SETUP/

_MODELS/LOG/AI_T-15.csv

@@ -1,2 +1,2 @@
 TPSL_Level
-10
+60

_MODELS/LOG/AI_T-60.csv

@@ -1,2 +1,2 @@
 TPSL_Level
-40
+30

_PROD/01_SelfLearn1.bat

@@ -1,5 +1,5 @@
 @echo off
 :: Use this line of code for debugging purposes *** Adapt the paths for R installation and R script!!!
-::"C:\Program Files\R\R-3.6.0\bin\R.exe" CMD BATCH "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\01_SelfLearnM1.R"
+::"C:\Program Files\R\R-3.6.1\bin\R.exe" CMD BATCH "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\01_SelfLearnM1.R"
 :: Use this code in 'production'
-"C:\Program Files\R\R-3.6.0\bin\Rscript.exe" "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\01_SelfLearnM1.R"
+"C:\Program Files\R\R-3.6.1\bin\Rscript.exe" "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\01_SelfLearnM1.R"

_PROD/02_ScoreData1.bat

@@ -1,5 +1,5 @@
 @echo off
 :: Use this line of code for debugging purposes *** Adapt the paths for R installation and R script!!!
-::"C:\Program Files\R\R-3.6.0\bin\R.exe" CMD BATCH "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\02_ScoreDataM1.R"
+::"C:\Program Files\R\R-3.6.1\bin\R.exe" CMD BATCH "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\02_ScoreDataM1.R"
 :: Use this code in 'production'
-"C:\Program Files\R\R-3.6.0\bin\Rscript.exe" "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\02_ScoreDataM1.R
+"C:\Program Files\R\R-3.6.1\bin\Rscript.exe" "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\02_ScoreDataM1.R

_PROD/03_SelfLearn15.bat

@@ -1,5 +1,5 @@
 @echo off
 :: Use this line of code for debugging purposes *** Adapt the paths for R installation and R script!!!
-::"C:\Program Files\R\R-3.6.0\bin\R.exe" CMD BATCH "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\03_SelfLearnM15.R"
+::"C:\Program Files\R\R-3.6.1\bin\R.exe" CMD BATCH "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\03_SelfLearnM15.R"
 :: Use this code in 'production'
-"C:\Program Files\R\R-3.6.0\bin\Rscript.exe" "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\03_SelfLearnM15.R"
+"C:\Program Files\R\R-3.6.1\bin\Rscript.exe" "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\03_SelfLearnM15.R"

_PROD/04_ScoreData15.bat

@@ -1,5 +1,5 @@
 @echo off
 :: Use this line of code for debugging purposes *** Adapt the paths for R installation and R script!!!
-::"C:\Program Files\R\R-3.6.0\bin\R.exe" CMD BATCH "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\04_ScoreDataM15.R"
+::"C:\Program Files\R\R-3.6.1\bin\R.exe" CMD BATCH "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\04_ScoreDataM15.R"
 :: Use this code in 'production'
-"C:\Program Files\R\R-3.6.0\bin\Rscript.exe" "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\04_ScoreDataM15.R
+"C:\Program Files\R\R-3.6.1\bin\Rscript.exe" "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\04_ScoreDataM15.R

_PROD/05_SelfLearn60.bat

@@ -1,5 +1,5 @@
 @echo off
 :: Use this line of code for debugging purposes *** Adapt the paths for R installation and R script!!!
-::"C:\Program Files\R\R-3.6.0\bin\R.exe" CMD BATCH "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\05_SelfLearnM60.R"
+::"C:\Program Files\R\R-3.6.1\bin\R.exe" CMD BATCH "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\05_SelfLearnM60.R"
 :: Use this code in 'production'
-"C:\Program Files\R\R-3.6.0\bin\Rscript.exe" "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\05_SelfLearnM60.R"
+"C:\Program Files\R\R-3.6.1\bin\Rscript.exe" "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\05_SelfLearnM60.R"

_PROD/06_ScoreData60.bat

@@ -1,5 +1,5 @@
 @echo off
 :: Use this line of code for debugging purposes *** Adapt the paths for R installation and R script!!!
-::"C:\Program Files\R\R-3.6.0\bin\R.exe" CMD BATCH "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\06_ScoreDataM60.R"
+::"C:\Program Files\R\R-3.6.1\bin\R.exe" CMD BATCH "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\06_ScoreDataM60.R"
 :: Use this code in 'production'
-"C:\Program Files\R\R-3.6.0\bin\Rscript.exe" "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\06_ScoreDataM60.R
+"C:\Program Files\R\R-3.6.1\bin\Rscript.exe" "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\06_ScoreDataM60.R

_PROD/08_CollectDataM15.R

@@ -0,0 +1,45 @@
+# ----------------------------------------------------------------------------------------
+# R Script to collect the asset indicator data and respective 'future' price change
+# ----------------------------------------------------------------------------------------
+# (C) 2019 Vladimir Zhbanko
+# https://www.udemy.com/self-learning-trading-robot/?couponCode=LAZYTRADE7-10
+#
+# load libraries to use and custom functions
+library(tidyverse)
+library(lubridate)
+library(lazytrade)
+
+#### Read asset prices and indicators ==========================================
+#absolute path with the data (choose either MT4 directory or a '_TEST_DATA' folder)
+
+path_terminal <- "C:/Program Files (x86)/FxPro - Terminal2/MQL4/Files/"
+macd <- load_asset_data(path_terminal = path_terminal, trade_log_file = "AI_Macd", time_period = 15, data_deepth = "300")
+prices <- load_asset_data(path_terminal = path_terminal, trade_log_file = "AI_CP", time_period = 15, data_deepth = "300")
+
+path_data <- "C:/Users/fxtrams/Documents/000_TradingRepo/R_selflearning/_DATA"
+# Vector of currency pairs
+Pairs = c("EURUSD", "GBPUSD", "AUDUSD", "NZDUSD", "USDCAD", "USDCHF", "USDJPY",
+          "EURGBP", "EURJPY", "EURCHF", "EURNZD", "EURCAD", "EURAUD", "GBPAUD",
+          "GBPCAD", "GBPCHF", "GBPJPY", "GBPNZD", "AUDCAD", "AUDCHF", "AUDJPY",
+          "AUDNZD", "CADJPY", "CHFJPY", "NZDJPY", "NZDCAD", "NZDCHF", "CADCHF")   
+
+# Writing indicator and price change to the file
+for (PAIR in Pairs) {
+  # PAIR <- "EURUSD"
+# performing data collection using the custom function
+aml_collect_data(price_dataset = prices,
+                 indicator_dataset = macd,
+                 symbol = PAIR,
+                 num_bars = 75,
+                 timeframe = 15,
+                 path_data = path_data)
+
+ #full_path <- file.path(path_data, 'EURUSDM15X75.rds')
+ #full_path <- file.path(path_data, 'GBPUSDM15X75.rds')  
+ #x1 <- read_rds(full_path)
+
+}
+
+# outcome is series of files written to the _DATA folder of the repository
+
+

_PROD/08_CollectDataM15.bat

@@ -0,0 +1,5 @@
+@echo off
+:: Use this line of code for debugging purposes *** Adapt the paths for R installation and R script!!!
+::"C:\Program Files\R\R-3.6.1\bin\R.exe" CMD BATCH "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\08_CollectDataM15.R"
+:: Use this code in 'production'
+"C:\Program Files\R\R-3.6.1\bin\Rscript.exe" "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\08_CollectDataM15.R"

_PROD/09_MakeModel15.bat

@@ -0,0 +1,5 @@
+@echo off
+:: Use this line of code for debugging purposes *** Adapt the paths for R installation and R script!!!
+::"C:\Program Files\R\R-3.6.1\bin\R.exe" CMD BATCH "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\09_MakeModelM15.R"
+:: Use this code in 'production'
+"C:\Program Files\R\R-3.6.1\bin\Rscript.exe" "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\09_MakeModelM15.R

_PROD/09_MakeModelM15.R

@@ -0,0 +1,43 @@
+# ----------------------------------------------------------------------------------------
+# R Script to build or update Deep Learning model for every Currency Pair
+# ----------------------------------------------------------------------------------------
+# (C) 2019 Vladimir Zhbanko
+# https://www.udemy.com/self-learning-trading-robot/?couponCode=LAZYTRADE7-10
+#
+# load libraries to use and custom functions
+library(tidyverse)
+library(h2o)
+library(lazytrade)
+
+#### Read asset prices and indicators ==========================================
+#absolute path with the data (choose either MT4 directory or a '_TEST_DATA' folder)
+path_data <- "C:/Users/fxtrams/Documents/000_TradingRepo/R_selflearning/_DATA"
+# Vector of currency pairs
+Pairs = c("EURUSD", "GBPUSD", "AUDUSD", "NZDUSD", "USDCAD", "USDCHF", "USDJPY",
+          "EURGBP", "EURJPY", "EURCHF", "EURNZD", "EURCAD", "EURAUD", "GBPAUD",
+          "GBPCAD", "GBPCHF", "GBPJPY", "GBPNZD", "AUDCAD", "AUDCHF", "AUDJPY",
+          "AUDNZD", "CADJPY", "CHFJPY", "NZDJPY", "NZDCAD", "NZDCHF", "CADCHF")  
+#absolute path to store model objects (useful when scheduling tasks)
+path_model <- "C:/Users/fxtrams/Documents/000_TradingRepo/R_selflearning/_MODELS"
+
+h2o.init()
+
+# Writing indicator and price change to the file
+for (PAIR in Pairs) {
+  ## PAIR <- "EURUSD"
+ # performing Deep Learning Regression using the custom function
+ aml_make_model(symbol = PAIR,
+                num_bars = 75,
+                timeframe = 15,
+                path_model = path_model,
+                path_data = path_data)
+
+}  
+
+ # stop h2o engine
+h2o.shutdown(prompt = F)
+
+
+# outcome are the models files for each currency pair written to the folder /_MODELS
+
+

_PROD/10_ScoreDataM15.R

@@ -0,0 +1,50 @@
+# ----------------------------------------------------------------------------------------
+# R Script to score the latest asset indicator data against Deep Learning model
+# ----------------------------------------------------------------------------------------
+# (C) 2019 Vladimir Zhbanko
+# https://www.udemy.com/self-learning-trading-robot/?couponCode=LAZYTRADE7-10
+#
+# load libraries to use and custom functions
+library(tidyverse)
+library(h2o)
+library(lazytrade)
+
+#### definition of paths and variables ==========================================
+path_data <- "C:/Users/fxtrams/Documents/000_TradingRepo/R_selflearning/_DATA"
+#absolute path to store model objects (useful when scheduling tasks)
+path_model <- "C:/Users/fxtrams/Documents/000_TradingRepo/R_selflearning/_MODELS"
+# load prices of 28 currencies
+path_sbxm <- "C:/Program Files (x86)/FxPro - Terminal1/MQL4/Files"
+path_sbxs <- "C:/Program Files (x86)/FxPro - Terminal3/MQL4/Files"
+
+time_frame <- 15         #this is to define chart timeframe periodicity
+predictor_period <- 75  #this variable will define market type period (number of bars)
+
+# Vector of currency pairs
+Pairs = c("EURUSD", "GBPUSD", "AUDUSD", "NZDUSD", "USDCAD", "USDCHF", "USDJPY",
+          "EURGBP", "EURJPY", "EURCHF", "EURNZD", "EURCAD", "EURAUD", "GBPAUD",
+          "GBPCAD", "GBPCHF", "GBPJPY", "GBPNZD", "AUDCAD", "AUDCHF", "AUDJPY",
+          "AUDNZD", "CADJPY", "CHFJPY", "NZDJPY", "NZDCAD", "NZDCHF", "CADCHF")   
+
+# initialize the virtual machine
+h2o.init(nthreads = 1)
+
+for (PAIR in Pairs) {
+  ## PAIR <- "EURUSD"
+
+aml_score_data(symbol = PAIR,
+               num_bars = predictor_period,
+               timeframe = time_frame,
+               path_model = path_model,
+               path_data = path_data,
+               path_sbxm = path_sbxm,
+               path_sbxs = path_sbxs)
+
+}
+
+# shutdown h2o
+h2o.shutdown(prompt = F)
+
+# outcome is series of files written to the sandboxes of each terminals
+
+

_PROD/10_ScoreDataM15.bat

@@ -0,0 +1,5 @@
+@echo off
+:: Use this line of code for debugging purposes *** Adapt the paths for R installation and R script!!!
+::"C:\Program Files\R\R-3.6.1\bin\R.exe" CMD BATCH "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\10_ScoreDataM15.R"
+:: Use this code in 'production'
+"C:\Program Files\R\R-3.6.1\bin\Rscript.exe" "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\10_ScoreDataM15.R

_PROD/11_CollectDataM60.R

@@ -0,0 +1,45 @@
+# ----------------------------------------------------------------------------------------
+# R Script to collect the asset indicator data and respective 'future' price change
+# ----------------------------------------------------------------------------------------
+# (C) 2019 Vladimir Zhbanko
+# https://www.udemy.com/self-learning-trading-robot/?couponCode=LAZYTRADE7-10
+#
+# load libraries to use and custom functions
+library(tidyverse)
+library(lubridate)
+library(lazytrade)
+
+#### Read asset prices and indicators ==========================================
+#absolute path with the data (choose either MT4 directory or a '_TEST_DATA' folder)
+
+path_terminal <- "C:/Program Files (x86)/FxPro - Terminal2/MQL4/Files/"
+macd <- load_asset_data(path_terminal = path_terminal, trade_log_file = "AI_Macd", time_period = 60, data_deepth = "300")
+prices <- load_asset_data(path_terminal = path_terminal, trade_log_file = "AI_CP", time_period = 60, data_deepth = "300")
+
+path_data <- "C:/Users/fxtrams/Documents/000_TradingRepo/R_selflearning/_DATA"
+# Vector of currency pairs
+Pairs = c("EURUSD", "GBPUSD", "AUDUSD", "NZDUSD", "USDCAD", "USDCHF", "USDJPY",
+          "EURGBP", "EURJPY", "EURCHF", "EURNZD", "EURCAD", "EURAUD", "GBPAUD",
+          "GBPCAD", "GBPCHF", "GBPJPY", "GBPNZD", "AUDCAD", "AUDCHF", "AUDJPY",
+          "AUDNZD", "CADJPY", "CHFJPY", "NZDJPY", "NZDCAD", "NZDCHF", "CADCHF")   
+
+# Writing indicator and price change to the file
+for (PAIR in Pairs) {
+  # PAIR <- "EURUSD"
+# performing data collection using the custom function
+aml_collect_data(price_dataset = prices,
+                 indicator_dataset = macd,
+                 symbol = PAIR,
+                 num_bars = 75,
+                 timeframe = 60,
+                 path_data = path_data)
+
+ #full_path <- file.path(path_data, 'EURUSDM15X75.rds')
+ #full_path <- file.path(path_data, 'GBPUSDM15X75.rds')  
+ #x1 <- read_rds(full_path)
+
+}
+
+# outcome is series of files written to the _DATA folder of the repository
+
+

_PROD/11_CollectDataM60.bat

@@ -0,0 +1,5 @@
+@echo off
+:: Use this line of code for debugging purposes *** Adapt the paths for R installation and R script!!!
+::"C:\Program Files\R\R-3.6.1\bin\R.exe" CMD BATCH "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\11_CollectDataM60.R"
+:: Use this code in 'production'
+"C:\Program Files\R\R-3.6.1\bin\Rscript.exe" "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD\11_CollectDataM60.R"

_PROD1/01_CollectDataM15.R

@@ -0,0 +1,48 @@
+# ----------------------------------------------------------------------------------------
+# R Script to collect the asset indicator data and respective 'future' price change
+# ----------------------------------------------------------------------------------------
+# (C) 2019 Vladimir Zhbanko
+# https://www.udemy.com/self-learning-trading-robot/?couponCode=LAZYTRADE7-10
+#
+# load libraries to use and custom functions
+#library(tidyverse)
+library(magrittr)
+library(dplyr)
+library(readr)
+library(lubridate)
+library(lazytrade)
+
+#### Read asset prices and indicators ==========================================
+#absolute path with the data (choose either MT4 directory or a '_TEST_DATA' folder)
+
+path_terminal <- "C:/Program Files (x86)/FxPro - Terminal2/MQL4/Files/"
+macd <- load_asset_data(path_terminal = path_terminal, trade_log_file = "AI_Macd", time_period = 15, data_deepth = "300")
+prices <- load_asset_data(path_terminal = path_terminal, trade_log_file = "AI_CP", time_period = 15, data_deepth = "300")
+
+path_data <- "C:/Users/fxtrams/Documents/000_TradingRepo/R_selflearning/_DATA"
+# Vector of currency pairs
+Pairs = c("EURUSD", "GBPUSD", "AUDUSD", "NZDUSD", "USDCAD", "USDCHF", "USDJPY",
+          "EURGBP", "EURJPY", "EURCHF", "EURNZD", "EURCAD", "EURAUD", "GBPAUD",
+          "GBPCAD", "GBPCHF", "GBPJPY", "GBPNZD", "AUDCAD", "AUDCHF", "AUDJPY",
+          "AUDNZD", "CADJPY", "CHFJPY", "NZDJPY", "NZDCAD", "NZDCHF", "CADCHF")   
+
+# Writing indicator and price change to the file
+for (PAIR in Pairs) {
+  # PAIR <- "EURUSD"
+# performing data collection using the custom function
+aml_collect_data(price_dataset = prices,
+                 indicator_dataset = macd,
+                 symbol = PAIR,
+                 num_bars = 75,
+                 timeframe = 15,
+                 path_data = path_data)
+
+ #full_path <- file.path(path_data, 'EURUSDM15X75.rds')
+ #full_path <- file.path(path_data, 'GBPUSDM15X75.rds')  
+ #x1 <- read_rds(full_path)
+
+}
+
+# outcome is series of files written to the _DATA folder of the repository
+
+

_PROD1/01_CollectDataM15.bat

@@ -0,0 +1,5 @@
+@echo off
+:: Use this line of code for debugging purposes *** Adapt the paths for R installation and R script!!!
+::"C:\Program Files\R\R-3.6.2\bin\R.exe" CMD BATCH "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD1\01_CollectDataM15.R"
+:: Use this code in 'production'
+"C:\Program Files\R\R-4.0.0\bin\Rscript.exe" "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD1\01_CollectDataM15.R"

_PROD1/02_MakeModel15.bat

@@ -0,0 +1,5 @@
+@echo off
+:: Use this line of code for debugging purposes *** Adapt the paths for R installation and R script!!!
+::"C:\Program Files\R\R-3.6.2\bin\R.exe" CMD BATCH "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD1\02_MakeModelM15.R"
+:: Use this code in 'production'
+"C:\Program Files\R\R-4.0.0\bin\Rscript.exe" "C:\Users\fxtrams\Documents\000_TradingRepo\R_selflearning\_PROD1\02_MakeModelM15.R"