New article: Neural Networks Cheap and Cheerful - Link NeuroPro 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