PROGRAM BackProp
! Copyright 2007 Matthew Norton
!
!    This program is free software; you can redistribute it and/or modify
!    it under the terms of the GNU General Public License as published by
!    the Free Software Foundation; either version 2 of the License, or
!    (at your option) any later version.
!
!    This program is distributed in the hope that it will be useful,
!    but WITHOUT ANY WARRANTY; without even the implied warranty of
!    MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
!    GNU General Public License for more details.
!
!    You should have received a copy of the GNU General Public License
!    along with this program; if not, write to the Free Software
!    Foundation, Inc., 51 Franklin St, Fifth Floor, Boston, MA  02110-1301  USA
!
! NOTE: This is in FORTRAN 90 and you will need a FORTRAN 90 complier to run this code
!---------------------------------------------------------------------------
! This program uses backpropagation to train an artificial neural network
! to predict future values of the Dow Jones Industrial Average. 
!
! Programmed by:
!     Matthew Norton
!
!----------------------------------------------------------------------------
IMPLICIT NONE
INTEGER :: I, J, M = 501, N = 0, Count = 0, X, K, ECount = 1, B, Num = 0
REAL*8 :: Alpha, G, FPrimeGk, Error = 0.0
REAL*8, DIMENSION(:), ALLOCATABLE :: DJIA
REAL*8, DIMENSION(10) :: Zj = 0.0, Hj = 0.0
REAL*8 :: EpsilonK = 0.0, Gk = 0.0, Yk = 0.0, RError
REAL*8, DIMENSION(0:10,6) :: Weights, DWeights
REAL*8, DIMENSION(0:6) :: VWeights, DVWeights, DeltaJ
REAL*8, DIMENSION(6) :: FPRimeZj
REAL*8, DIMENSION(10) :: Train = 0.0
 CALL SetupDJIA()
 CALL Setup()
 !DO J = 200, 210
      DO X = 1, 10 
           N = X + M ! Increment counter for DJIA
           Train(X) = DJIA(N) ! Train(J,I) = DJIA(I+M)
      END DO
! END DO
 Epoch: DO
               DO J = 1, 6
                   Zj(J) = Weights(0,J) + (Weights(1,J) * Train(1)) +&
                   &(Weights(2,J) * Train(2)) + (Weights(3,J) * Train(3)) +&
                   &(Weights(4,J) * Train(4)) + (Weights(5,J) * Train(5)) +&
                   &(Weights(6,J) * Train(6)) + (Weights(7,J) * Train(7)) +&
                   &(Weights(8,J) * Train(8)) + (Weights(9,J) * Train(9)) +&
                   &(Weights(10,J) * Train(10)) 
                   Hj(J) = (( 1.0 + DTANH(Zj(J))) / 2.0)
               END DO
          Gk = VWeights(0)
          DO J = 1, 6
              Gk = Gk + (VWeights(J) * Hj(J))
          END DO
          Yk = (( 1.0 + DTANH(Gk)) / 2.0)
               IF ((501 + Num) == 525) EXIT Epoch
     Num = Num + 1
     CALL Shift()
     !ECount = Ecount + 1
   !  IF (RError > 0.05) THEN
    !      CALL Reset
    !      CYCLE Epoch
    ! END IF
  !   EXIT Epoch
 END DO Epoch     

200 FORMAT(1X, I5, 4(1X, F15.13))
300 FORMAT(1X, F15.13)

! ------------------------------------------------------------------------------
 CONTAINS
! ------------------------------------------------------------------------------

SUBROUTINE SetupDJIA
INTEGER :: I = 1, ErrorStat
REAL :: Dummy ! Dummy variable used for reading in array
OPEN(UNIT = 10, FILE = "DJI.txt", STATUS = "OLD", IOSTAT = ErrorStat) !input file
IF (ErrorStat /= 0) STOP "*** ERROR IN OPENING DJI.txt ***" ! If error, stop
FindSize: DO ! Find file length 
     READ (10,200) Dummy ! read in line
     READ (10,200, IOSTAT = ErrorStat, ADVANCE = "NO") Dummy ! see if next line is there
     IF (ErrorStat /= 0) THEN ! If end of file, exit loop
          EXIT FindSize
     END IF
     Count = Count + 1 ! Increment count
END DO FindSize
REWIND(10) ! go back to begining of file
ALLOCATE(DJIA(Count)) ! Allocate space for DJIA array
DO I = 1, Count ! Do from I to end of file
     READ(10,200) DJIA(I) ! read in values for DJIA from file
END DO
200 FORMAT(T2, F8.7)
END SUBROUTINE

SUBROUTINE Setup
REAL*8 :: Dummy
INTEGER :: Sign = 1, I, J, ErrorStat = 0
OPEN(UNIT = 20, File = "BackOut.txt", Status = "UNKNOWN")
OPEN(UNIT = 30, File = "Weights.txt", Status = "OLD")
OPEN(UNIT = 40, FILE = "VWeights.txt", STATUS = "OLD")
OPEN(UNIT = 50, FILE = "Dweights.txt", STATUS = "UNKNOWN")
OPEN(UNIT = 60, FILE = "DVWeights.txt", STATUS = "UNKNOWN")
 Alpha = 0.05
 DO I = 0, 10
      DO J = 1, 6
           READ(30, 300, ADVANCE = "NO", IOSTAT = ErrorStat) Dummy
           IF (ErrorStat /= 0) STOP "*** ERROR IN READING INPUT ***"
           Weights(I,J) = Dummy
           Dummy = 0.0
      END DO
 END DO
 DO J = 0, 6
      READ(40,300, ADVANCE = "NO", IOSTAT = ErrorStat) Dummy
      IF (ErrorStat /= 0) STOP "*** ERROR IN READING INPUT ***"
      VWeights(J) = Dummy
      Dummy = 0.0
END DO
300 FORMAT(1X, F15.12)
END SUBROUTINE

! ------------------------------------------------------------------------------

SUBROUTINE Shift
INTEGER :: N, I
 DO I = 1, 9
      Train(I) = Train(I + 1)
 END DO
 Train(10) = Yk
 CALL Compare(Yk)
END SUBROUTINE

! ------------------------------------------------------------------------------

SUBROUTINE Reset
ECount = 1
Error = 0.0
Zj = 0.0
Hj = 0.0
EpsilonK = 0.0
Gk = 0.0
Yk = 0.0
END SUBROUTINE

! ------------------------------------------------------------------------------

SUBROUTINE Compare(Predict)
REAL*8, INTENT(IN) :: Predict
REAL*8 :: RError
INTEGER :: N = 220
OPEN(UNIT = 99, FILE = "Predict.txt")
RError = ABS(Predict - DJIA(N + Num)) / DJIA(N + Num)
PRINT *, N+Num, Predict, DJIA(N + NUM), RError
WRITE(99,*) N+Num, Predict, DJIA(N + NUM), RError
END SUBROUTINE

! ------------------------------------------------------------------------------

END PROGRAM