{
  N-N Predict ("Nearest Neighbor Prediction")
  This system searches for the N nearest neighbors to a pattern consisting
  of a set of indicator values. The average market move following the N patterns
  is taken as the prediction.

  If the average prediction is up, the system buys and exits two days later. If
  the average prediction is down, the system sells and covers two days later.

  The system also writes out the prediction on each bar for the next several days.

  Copyright 2004 Breakout Future
  www.BreakoutFutures.com
  mrb@BreakoutFutures.com
 }

 Input: NNN      (50),      { Number of nearest neighbors used in prediction }
        NPredict (5),       { Number of days forward to predict }
        FName    ("C:\NNResults1.csv");     { file name to write results to }
  
 Array: Errors[500, 2](0),  { Error of patterns relative to current bar }
        NNBars    [50](0),  { Bar numbers of nearest neighbors }
        CPredict  [20](0);  { Prediction of close 1 to 20 days in future }

 Var:   Ind1     (0),       { Value of indicator 1 }
        Ind2     (0),       { Value of indicator 2 }
        Ind3     (0),       { Value of indicator 3 }
        Ind4     (0),       { Value of indicator 4 }
        I1Max    (0.01),    { Max value of indicator 1 }
        I2Max    (0.01),    { Max value of indicator 2 }
        I3Max    (0.01),    { Max value of indicator 3 }
        I4Max    (0.01),    { Max value of indicator 4 }
        SumC     (0),       { Sum of predicted closes }
        MinErr   (0),       { Minimum error }
        MAXBARS  (500),     { Max dimension of Error array }
        MAXNNN   (50),      { Max dimension of NNBars array }
        MAXPRED  (20),      { Max dimension of CPredict array }
        NBars    (0),       { Number of bars to look back }
        NoMatch  (True),    { Logical flag for searching }
        ii       (0),       { loop counter }
        jj       (0),       { loop counter }
        kk       (0),       { loop counter }
        StrOut   ("");      { output character string }

 { Initialize file on first bar }
 If BarNumber = 1 then Begin
    FileDelete(FName);
    StrOut = "Date, Close, PredDay1, PredDay2, PredDay3, PredDay4, PredDay5" + NewLine;
    FileAppend(FName, StrOut);
 End;

 NBars = MinList(MaxBarsBack - 20, MAXBARS);

 { Define indicators }
 Ind1 = C - C[1];
 Ind2 = C - C[2];
 Ind3 = C - C[3];
 Ind4 = C - C[5];

 { Loop over prior bars to find max indicator values }
 for ii = 1 to NBars Begin
    if Ind1[ii] > I1Max then
       I1Max = Ind1[ii];
    if Ind2[ii] > I2Max then
       I2Max = Ind2[ii];
    if Ind3[ii] > I3Max then
       I3Max = Ind3[ii];
    if Ind4[ii] > I4Max then
       I4Max = Ind4[ii];
 End;

 { Calculate errors }
 for ii = 1 to NBars Begin
    Errors[ii - 1, 0] = Square((Ind1 - Ind1[ii])/I1Max) + Square((Ind2 - Ind2[ii])/I2Max) +
                        Square((Ind3 - Ind3[ii])/I3Max) + Square((Ind4 - Ind4[ii])/I4Max);
    Errors[ii - 1, 1] = ii - 1;
 End;

 { Take the smallest NNN values as the nearest neighbors }
 for ii = 0 to MinList(NNN - 1, MAXNNN - 1) Begin
     MinErr = 100 * Errors[0, 0];
     for jj = 0 to NBars - 1 Begin
         if Errors[jj, 0] < MinErr then Begin
            NoMatch = true;
            for kk = 0 to ii Begin
                if Errors[jj, 1] = NNBars[kk] then
                   NoMatch = false;
            End;
            if NoMatch then Begin
               MinErr = Errors[jj, 0];
               NNBars[ii]= Errors[jj, 1];
            End;
          End;
	 End;
 End;

 { Calculate prediction for next NPredict bars }
 for ii = 0 to MinList(NPredict - 1, MAXPRED - 1) Begin
     SumC = 0;
     for jj = 0 to MinList(NNN - 1, MAXNNN - 1) Begin
         if (NNBars[jj] - ii - 1) > 0 then
            SumC = SumC + (C[NNBars[jj] - ii - 1] - C[NNBars[jj]]);
     End;
     CPredict[ii] = C + (SumC/NNN);
 End;

 { Write out predictions }
  StrOut = NumtoStr(Date, 0) + "," + NumToStr(C, 2) + "," + 
           NumtoStr(CPredict[0], 2) + "," + NumToStr(CPredict[1], 2) + "," +
           NumtoStr(CPredict[2], 2) + "," + NumToStr(CPredict[3], 2) + "," +
           NumToStr(CPredict[4], 2) + NewLine;
  FileAppend(FName, StrOut);
 { Buy if predictions are up; sell if down }
 if CPredict[0] > C and CPredict[1] > C and CPredict[2] > C then
    Buy next bar at C limit;   

 if CPredict[0] < C and CPredict[1] < C and CPredict[2] < C then
    Sell short next bar at C limit;

 if BarsSinceEntry = 2 then Begin
    Sell this bar on close;
    Buy to cover this bar on close;
 End;