zhutoutoutousan
113 lines
2.7 KiB
Markdown
113 lines
2.7 KiB
Markdown
# XAUUSD ONNX Model Training and Backtesting Guide
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This guide will help you train an ONNX model for XAUUSD and backtest it.
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## Step 1: Install Dependencies
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Make sure you have all required packages installed:
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```bash
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cd ai
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pip install -r requirements.txt
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```
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If you encounter issues, install individually:
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```bash
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pip install tensorflow onnx onnxruntime tf2onnx scikit-learn pandas numpy MetaTrader5
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```
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## Step 2: Train the Model
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Train an ONNX model for XAUUSD:
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```bash
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python train_onnx_model.py --symbol XAUUSD --timeframe H1 --lookback 60 --epochs 30
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```
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**Parameters:**
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- `--symbol XAUUSD`: Trading symbol (Gold)
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- `--timeframe H1`: 1-hour timeframe
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- `--lookback 60`: Use 60 bars for prediction
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- `--epochs 30`: Training epochs (adjust based on your needs)
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**Expected Output:**
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- Model: `models/XAUUSD_H1_model.onnx`
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- Scaler: `models/XAUUSD_H1_scaler.pkl`
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**Training Time:** 5-15 minutes depending on your hardware and data availability.
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## Step 3: Run Backtest
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After training, backtest the model:
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```bash
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python run_xauusd_backtest.py
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```
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Or use the combined script:
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```bash
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python train_and_backtest_xauusd.py
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```
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## Step 4: Review Results
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The backtest will generate:
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- Performance summary in console
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- Equity curve chart
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- Drawdown chart
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- Monthly returns chart
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- Trades CSV file
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All files are saved in `onnx_xauusd_backtest/` directory.
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## Model Configuration
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The trained model uses:
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- **Input**: 60 bars × 12 features
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- **Features**: OHLC, volume, RSI, EMA, ATR, price changes, ratios
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- **Output**: Predicted next close price
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- **Architecture**: LSTM(128) → LSTM(64) → LSTM(32) → Dense layers
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## Backtest Strategy Parameters
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Default backtest parameters:
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- **Prediction Threshold**: 0.01% (minimum price change to trade)
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- **Min Confidence**: 30%
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- **Lot Size**: 0.1
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- **Stop Loss**: 50 pips
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- **Take Profit**: 100 pips
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You can adjust these in `run_xauusd_backtest.py`.
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## Troubleshooting
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### "Model not found"
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- Make sure you've trained the model first
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- Check that the model file exists in `models/` directory
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### "MT5 initialization failed"
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- Ensure MetaTrader 5 is running
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- Log into your account
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- Check that XAUUSD symbol is available
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### "Insufficient data"
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- Make sure you have historical data downloaded in MT5
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- Check the date range in the backtest script
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- Verify symbol name is correct
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## Next Steps
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After successful backtesting:
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1. Review performance metrics
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2. Optimize prediction threshold and confidence levels
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3. Adjust stop loss/take profit if needed
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4. Test on demo account before live trading
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5. Consider using the model in `ONNX_EA.mq5` for live trading
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## Files Created
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- `models/XAUUSD_H1_model.onnx`: Trained ONNX model
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- `models/XAUUSD_H1_scaler.pkl`: Feature scaler for normalization
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- `onnx_xauusd_backtest/`: Backtest results directory
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