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ML Engine

Version: v.1.0.0.0

ML Engine

Description

Universal ML engine for signal filtering and forecasting.

Important

For probability forecasting and for this indicator to work, you must add to Input Series the data series of another indicator that provides directional signals: > 0 for long and < 0 for short. The ML Engine does not work on its own; it only works in combination with such an indicator.

This indicator requires an active NinjaTrader Order Flow + subscription to function.

Properties

Ensemble Models

  • Use LightGbm [default: true] — Enable LightGbm.
  • Use FastTree [default: true] — Enable FastTree.
  • Use FastForest [default: true] — Enable FastForest.
  • Use SDCA LogReg [default: true] — Enable SDCA logistic regression.
  • Use LBFGS LogReg [default: true] — Enable LBFGS logistic regression.
  • Use Averaged Perceptron [default: true] — Enable Averaged Perceptron.
  • Use SGD Calibrated [default: true] — Enable SGD calibrated.

Feature Params

  • (Slope) Start Bars Ago [default: 14] — Start bar for VWAP slope.
  • (Slope) End Bars Ago [default: 0] — End bar for VWAP slope.
  • (Delta) Type [default: BidAsk] — Cumulative delta type.
  • (Delta) Period [default: Session] — Cumulative delta period.
  • (Delta) Size Filter [default: 0] — Delta size filter (0 = off).
  • (VWAP) Resolution [default: Tick] — VWAP data resolution.
  • (VWAP) Standard deviations [default: Two] — VWAP standard deviations.
  • (VWAP) SD1/SD2/SD3 Multiplier [default: 0.75, 1.5, 3, range: 0.001–∞] — Multipliers.
  • (ATR) Period [default: 14] — ATR period.
  • (MACD) Fast/Slow/Smooth [default: 12, 26, 9] — MACD periods.
  • (Gap) Session Start Time [default: 08:30] — Session start for gap calculation.
  • Signal Offset Bars [default: 0, range: 0–∞] — Bars ago to read input signal.

ML Engine

  • Enable Logging [default: false] — Print to Output and write MLEngine.log.
  • Show Metrics Table [default: true] — Show ensemble metrics table on chart.
  • Show Probability [default: true] — Show probability label on chart.
  • Use Metrics Filter [default: false] — Block signals if metrics below thresholds.
  • Use Auto Weights [default: true] — Auto weight models by AUC and F1.
  • Min Probability [default: 0.5, range: 0–1] — Minimum ensemble probability to pass signal.
  • Bars Ahead [default: 60] — Bars ahead for labeling training samples.
  • Records Before Retrain [default: 10] — Minimum samples before retraining.

ML Metrics Filter

  • Min AUC [default: 0] — Minimum AUC.
  • Min F1 [default: 0] — Minimum F1 score.
  • Min Accuracy [default: 0] — Minimum accuracy.
  • Min Precision [default: 0] — Minimum precision.
  • Min Recall [default: 0] — Minimum recall.

Probability Style

  • Probability font — Font family for probability labels.
  • Probability color — Text color for probability labels.
  • Probability offset (ticks) [default: 0] — Vertical offset in ticks.

Table Style

  • Table position [default: TopLeft] — Corner of chart for metrics table.
  • Table font — Font family for metrics table.
  • Table text color — Text color for metrics table.
  • Table background — Background fill for metrics table.
  • Table outline — Border/outline color for metrics table.
  • Table opacity [default: 75, range: 0–100] — Opacity (0-100).