101 lines
3.1 KiB
Markdown
101 lines
3.1 KiB
Markdown
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# EURUSD 15-Minute ONNX Model Training
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This directory contains the training script for a EURUSD price prediction model using 15-minute timeframe data from 1990 to 2026 using MetaTrader 5 as the data source.
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## Requirements
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```bash
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pip install MetaTrader5 tensorflow scikit-learn pandas numpy tf2onnx onnx tqdm
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```
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## Usage
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1. **Make sure MetaTrader 5 is running and logged in**
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2. **Ensure EURUSD symbol is available in your broker**
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3. **Make sure you have historical data downloaded in MT5** (Tools → History Center → Download)
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4. **Run the training script:**
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```bash
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cd ai/eurusd1min
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python main.py
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```
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## Configuration
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The script is configured with:
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- **Symbol**: EURUSD
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- **Timeframe**: M15 (15 minutes)
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- **Lookback**: 60 bars (15 hours of history)
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- **Date Range**: 1990-01-01 to 2026-01-01
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- **Model Architecture**: LSTM with 3 layers (128, 64, 32 units)
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- **Epochs**: 50 (with early stopping)
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- **Batch Size**: 64
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## Data Fetching
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- The script fetches data in **1-month chunks** to manage memory
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- 15-minute data is more likely to be available for longer historical periods than 1-minute data
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- The script automatically skips chunks with only 1 bar (invalid/placeholder data)
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- Progress is shown for each chunk
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- Make sure you have sufficient historical data in MT5
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## Output
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The script will create:
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- `models/EURUSD_M15_model.onnx` - The trained ONNX model
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- `models/EURUSD_M15_model_scaler.pkl` - The MinMaxScaler used for normalization
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## Model Features
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The model uses 13 features:
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1. Open
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2. High
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3. Low
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4. Close
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5. Tick Volume
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6. RSI (14 period)
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7. EMA 20
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8. EMA 50
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9. ATR (14 period)
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10. Price Change (percentage)
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11. High/Low Ratio
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12. Volume MA (20 period)
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13. Volume Ratio
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## Model Output
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The model predicts the **price change percentage** for the next bar (15 minutes ahead).
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## Notes
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- Training on 36 years of 15-minute data will take significant time and memory
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- The script fetches data in 1-month chunks to manage memory
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- Chunks with only 1 bar are automatically skipped (invalid/placeholder data)
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- Early stopping and learning rate reduction are enabled to prevent overfitting
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- The model uses dropout (0.3) for regularization
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- 15-minute data is more manageable than 1-minute data for long historical periods
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## Using the Model in MQL5
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### Expert Advisor
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An Expert Advisor (`EURUSD_M15_EA.mq5`) is provided in this directory. It uses the trained ONNX model for automated trading.
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**Setup:**
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1. Copy `EURUSD_M15_model.onnx` to `MQL5/Files/` directory
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2. Compile `EURUSD_M15_EA.mq5` in MetaEditor
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3. The model will be embedded as a resource during compilation
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4. Attach the EA to a EURUSD chart with M15 timeframe
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**Features:**
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- Embedded ONNX model (no file path issues)
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- Dynamic SL/TP based on prediction, confidence, and ATR
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- Configurable prediction threshold and confidence filter
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- Automatic position management
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**Input Parameters:**
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- `InpLookback`: 60 bars (15 hours of history)
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- `InpUsePredictedSLTP`: Use dynamic SL/TP based on prediction
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- `InpPredictionThreshold`: Minimum prediction change to trade (default: 0.00005 = 0.005%)
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- `InpMinConfidence`: Minimum confidence to trade (default: 0.1 = 10%)
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