2026-08-13 23:48:47 +03:00 | | | //+------------------------------------------------------------------+
|
2026-06-05 22:00:59 +03:00 | | | //| Trajectory.mqh |
|
| | | //| Copyright DNG® |
|
| | | //| https://www.mql5.com/ru/users/dng |
|
| | | //+------------------------------------------------------------------+
|
| | | #property copyright "Copyright DNG®"
|
| | | #property link "https://www.mql5.com/ru/users/dng"
|
| | | #property version "1.00"
|
| | | //+------------------------------------------------------------------+
|
| | | //| Rewards structure |
|
| | | //| 0 - Delta Balance |
|
| | | //| 1 - Delta Equity ( "-" Drawdown / "+" Profit) |
|
| | | //| 2 - Penalty for no opened positions |
|
| | | //+------------------------------------------------------------------+
|
| | | #include "..\RL\FQF.mqh"
|
| | | //---
|
| | | #define HistoryBars 48 //Depth of history
|
| | | #define BarDescr 9 //Elements for 1 bar description
|
| | | #define NBarInPattern 1 //Bars for 1 pattern description
|
| | | #define AccountDescr 8 //Account description
|
| | | #define NActions 6 //Number of possible Actions
|
| | | #define TimeDescription 4
|
| | | #define LatentCount 1024
|
| | | #define LatentLayer 2
|
| | | #define EmbeddingSize 32
|
| | | #define Buffer_Size 6500
|
| | | #define DiscFactor 0.99f
|
| | | #define FileName "OPPO"
|
| | | #define MaxReplayBuffer 500
|
| | | #define MaxSL 1000
|
| | | #define MaxTP 1000
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | struct STrajectory;
|
| | | extern STrajectory Buffer[];
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | struct SState
|
| | | {
|
| | | float state[BarDescr * NBarInPattern];
|
| | | float account[AccountDescr];
|
| | | float action[NActions];
|
| | | float scheduler[EmbeddingSize];
|
| | | //---
|
| | | SState(void);
|
| | | //---
|
| | | bool Save(int file_handle);
|
| | | bool Load(int file_handle);
|
| | | //---
|
| | | void Clear(void)
|
| | | {
|
| | | ArrayInitialize(state, 0);
|
| | | ArrayInitialize(account, 0);
|
| | | ArrayInitialize(action, 0);
|
| | | ArrayInitialize(scheduler, 0);
|
| | | }
|
| | | //--- overloading
|
| | | void operator=(const SState &obj)
|
| | | {
|
| | | ArrayCopy(state, obj.state);
|
| | | ArrayCopy(account, obj.account);
|
| | | ArrayCopy(action, obj.action);
|
| | | ArrayCopy(scheduler, obj.scheduler);
|
| | | }
|
| | | };
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | SState::SState(void)
|
| | | {
|
| | | ArrayInitialize(state, 0);
|
| | | ArrayInitialize(account, 0);
|
| | | ArrayInitialize(action, 0);
|
| | | ArrayInitialize(scheduler, 0);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | bool SState::Save(int file_handle)
|
| | | {
|
| | | if(file_handle == INVALID_HANDLE)
|
| | | return false;
|
| | | //---
|
| | | int total = ArraySize(state);
|
| | | if(FileWriteInteger(file_handle, total) < sizeof(int))
|
| | | return false;
|
| | | for(int i = 0; i < total; i++)
|
| | | if(FileWriteFloat(file_handle, state[i]) < sizeof(float))
|
| | | return false;
|
| | | //---
|
| | | total = ArraySize(account);
|
| | | if(FileWriteInteger(file_handle, total) < sizeof(int))
|
| | | return false;
|
| | | for(int i = 0; i < total; i++)
|
| | | if(FileWriteFloat(file_handle, account[i]) < sizeof(float))
|
| | | return false;
|
| | | //---
|
| | | total = ArraySize(action);
|
| | | if(FileWriteInteger(file_handle, total) < sizeof(int))
|
| | | return false;
|
| | | for(int i = 0; i < total; i++)
|
| | | if(FileWriteFloat(file_handle, action[i]) < sizeof(float))
|
| | | return false;
|
| | | //---
|
| | | total = ArraySize(scheduler);
|
| | | if(FileWriteInteger(file_handle, total) < sizeof(int))
|
| | | return false;
|
| | | for(int i = 0; i < total; i++)
|
| | | if(FileWriteFloat(file_handle, scheduler[i]) < sizeof(float))
|
| | | return false;
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | bool SState::Load(int file_handle)
|
| | | {
|
| | | if(file_handle == INVALID_HANDLE)
|
| | | return false;
|
| | | if(FileIsEnding(file_handle))
|
| | | return false;
|
| | | //---
|
| | | int total = FileReadInteger(file_handle);
|
| | | if(total != ArraySize(state))
|
| | | return false;
|
| | | //---
|
| | | for(int i = 0; i < total; i++)
|
| | | {
|
| | | if(FileIsEnding(file_handle))
|
| | | return false;
|
| | | state[i] = FileReadFloat(file_handle);
|
| | | }
|
| | | //---
|
| | | total = FileReadInteger(file_handle);
|
| | | if(total != ArraySize(account))
|
| | | return false;
|
| | | //---
|
| | | for(int i = 0; i < total; i++)
|
| | | {
|
| | | if(FileIsEnding(file_handle))
|
| | | return false;
|
| | | account[i] = FileReadFloat(file_handle);
|
| | | }
|
| | | //---
|
| | | total = FileReadInteger(file_handle);
|
| | | if(total != ArraySize(action))
|
| | | return false;
|
| | | //---
|
| | | for(int i = 0; i < total; i++)
|
| | | {
|
| | | if(FileIsEnding(file_handle))
|
| | | return false;
|
| | | action[i] = FileReadFloat(file_handle);
|
| | | }
|
| | | //---
|
| | | total = FileReadInteger(file_handle);
|
| | | if(total != ArraySize(scheduler))
|
| | | return false;
|
| | | //---
|
| | | for(int i = 0; i < total; i++)
|
| | | {
|
| | | if(FileIsEnding(file_handle))
|
| | | return false;
|
| | | scheduler[i] = FileReadFloat(file_handle);
|
| | | }
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | struct STrajectory
|
| | | {
|
| | | SState States[Buffer_Size];
|
| | | int Total;
|
| | | double Profit;
|
| | | //---
|
| | | STrajectory(void);
|
| | | //---
|
| | | bool Add(SState &state);
|
| | | void ClearFirstN(const int n);
|
| | | //---
|
| | | bool Save(int file_handle);
|
| | | bool Load(int file_handle);
|
| | | //--- overloading
|
| | | void operator=(const STrajectory &obj)
|
| | | {
|
| | | Total = obj.Total;
|
| | | Profit = obj.Profit;
|
| | | for(int i = 0; i < Buffer_Size; i++)
|
| | | States[i] = obj.States[i];
|
| | | }
|
| | | };
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | STrajectory::STrajectory(void) : Total(0),
|
| | | Profit(0)
|
| | | {
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | bool STrajectory::Save(int file_handle)
|
| | | {
|
| | | if(file_handle == INVALID_HANDLE)
|
| | | return false;
|
| | | //---
|
| | | if(FileWriteInteger(file_handle, Total) < sizeof(int))
|
| | | return false;
|
| | | if(FileWriteDouble(file_handle, Profit) < sizeof(float))
|
| | | return false;
|
| | | for(int i = 0; i < Total; i++)
|
| | | if(!States[i].Save(file_handle))
|
| | | return false;
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | bool STrajectory::Load(int file_handle)
|
| | | {
|
| | | if(file_handle == INVALID_HANDLE)
|
| | | return false;
|
| | | //---
|
| | | Total = FileReadInteger(file_handle);
|
| | | if(FileIsEnding(file_handle) || Total >= ArraySize(States))
|
| | | return false;
|
| | | Profit = FileReadDouble(file_handle);
|
| | | //---
|
| | | for(int i = 0; i < Total; i++)
|
| | | if(!States[i].Load(file_handle))
|
| | | return false;
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | bool STrajectory::Add(SState &state)
|
| | | {
|
| | | if(Total + 1 >= ArraySize(States))
|
| | | return false;
|
| | | States[Total] = state;
|
| | | Total++;
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | void STrajectory::ClearFirstN(const int n)
|
| | | {
|
| | | for(int i = 0; i < Buffer_Size - n; i++)
|
| | | States[i] = States[i + n];
|
| | | Total = MathMax(0, Buffer_Size - n);
|
| | | for(int i = Total; i < Buffer_Size; i++)
|
| | | States[i].Clear();
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | int SaveTotalBase(int min_bars)
|
| | | {
|
| | | int total = ArraySize(Buffer);
|
| | | if(total < 0)
|
| | | return 0;
|
| | | int handle = FileOpen(FileName + ".bd", FILE_WRITE | FILE_BIN | FILE_COMMON);
|
| | | if(handle < 0)
|
| | | return 0;
|
| | | int indexes[MaxReplayBuffer];
|
| | | int count = 0;
|
| | | for(int i = total - 1; i >= 0; i--)
|
| | | {
|
| | | if(Buffer[i].Total < min_bars)
|
| | | continue;
|
| | | indexes[count] = i;
|
| | | count++;
|
| | | }
|
| | | if(FileWriteInteger(handle, count) < INT_VALUE)
|
| | | {
|
| | | FileClose(handle);
|
| | | return 0;
|
| | | }
|
| | | for(int i = count - 1; i >= 0; i--)
|
| | | if(!Buffer[indexes[i]].Save(handle))
|
| | | {
|
| | | FileClose(handle);
|
| | | return (count - (i + 1));
|
| | | }
|
| | | FileFlush(handle);
|
| | | FileClose(handle);
|
| | | //---
|
| | | return count;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | bool LoadTotalBase(void)
|
| | | {
|
| | | int handle = FileOpen(FileName + ".bd", FILE_READ | FILE_BIN | FILE_COMMON | FILE_SHARE_READ);
|
| | | if(handle < 0)
|
| | | return false;
|
| | | int total = FileReadInteger(handle);
|
| | | if(total <= 0)
|
| | | {
|
| | | FileClose(handle);
|
| | | return false;
|
| | | }
|
| | | if(ArrayResize(Buffer, total) < total)
|
| | | {
|
| | | FileClose(handle);
|
| | | return false;
|
| | | }
|
| | | for(int i = 0; i < total; i++)
|
| | | if(!Buffer[i].Load(handle))
|
| | | {
|
| | | FileClose(handle);
|
| | | return false;
|
| | | }
|
| | | FileClose(handle);
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | bool CreateAgentDescriptions(CArrayObj *agent)
|
| | | {
|
| | | //---
|
| | | CLayerDescription *descr;
|
| | | //---
|
| | | if(!agent)
|
| | | {
|
| | | agent = new CArrayObj();
|
| | | if(!agent)
|
| | | return false;
|
| | | }
|
| | | //--- Agent
|
| | | agent.Clear();
|
| | | //--- Input layer
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseOCL;
|
| | | uint prev_count = descr.count = (BarDescr * NBarInPattern + AccountDescr + TimeDescription + NActions + EmbeddingSize);
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!agent.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 1
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBatchNormOCL;
|
| | | descr.count = prev_count;
|
| | | descr.batch = 1000;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!agent.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 2
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronEmbeddingOCL;
|
| | | prev_count = descr.count = HistoryBars;
|
| | | {
|
| | | int temp[] = {BarDescr * NBarInPattern, AccountDescr, TimeDescription, NActions, EmbeddingSize};
|
| | | ArrayCopy(descr.windows, temp);
|
| | | }
|
| | | uint prev_wout = descr.window_out = EmbeddingSize;
|
| | | if(!agent.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 3
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronSoftMaxOCL;
|
| | | descr.count = EmbeddingSize;
|
| | | descr.step = prev_count * 5;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!agent.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 4
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronMLMHAttentionOCL;
|
| | | prev_count = descr.count = prev_count * 5;
|
| | | descr.window = EmbeddingSize;
|
| | | descr.step = 8;
|
| | | descr.window_out = 32;
|
| | | descr.layers = 4;
|
| | | descr.optimization = ADAM;
|
| | | if(!agent.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 5
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronSoftMaxOCL;
|
| | | descr.count = EmbeddingSize;
|
| | | descr.step = prev_count;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!agent.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 6
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronConvOCL;
|
| | | prev_count = descr.count = prev_count;
|
| | | descr.window = EmbeddingSize;
|
| | | descr.step = EmbeddingSize;
|
| | | prev_wout = descr.window_out = EmbeddingSize;
|
| | | descr.optimization = ADAM;
|
| | | descr.activation = LReLU;
|
| | | if(!agent.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 7
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronSoftMaxOCL;
|
| | | descr.count = prev_count;
|
| | | descr.step = prev_wout;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!agent.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 8
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronConvOCL;
|
| | | prev_count = descr.count = prev_count;
|
| | | descr.window = prev_wout;
|
| | | descr.step = prev_wout;
|
| | | prev_wout = descr.window_out = prev_wout / 2;
|
| | | descr.optimization = ADAM;
|
| | | descr.activation = LReLU;
|
| | | if(!agent.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 9
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronSoftMaxOCL;
|
| | | descr.count = prev_count;
|
| | | descr.step = prev_wout;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!agent.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 10
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseOCL;
|
| | | descr.count = LatentCount;
|
| | | descr.optimization = ADAM;
|
| | | descr.activation = LReLU;
|
| | | if(!agent.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 11
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseOCL;
|
| | | prev_count = descr.count = LatentCount;
|
| | | descr.activation = LReLU;
|
| | | descr.optimization = ADAM;
|
| | | if(!agent.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 12
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseOCL;
|
| | | descr.count = LatentCount;
|
| | | descr.activation = LReLU;
|
| | | descr.optimization = ADAM;
|
| | | if(!agent.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 13
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseOCL;
|
| | | descr.count = NActions;
|
| | | descr.activation = SIGMOID;
|
| | | descr.optimization = ADAM;
|
| | | if(!agent.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | bool CreateSchedulerDescriptions(CArrayObj *scheduler)
|
| | | {
|
| | | //---
|
| | | CLayerDescription *descr;
|
| | | //---
|
| | | if(!scheduler)
|
| | | {
|
| | | scheduler = new CArrayObj();
|
| | | if(!scheduler)
|
| | | return false;
|
| | | }
|
| | | //--- Scheduler
|
| | | scheduler.Clear();
|
| | | //--- Input layer
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseOCL;
|
| | | uint prev_count = descr.count = (BarDescr * NBarInPattern + AccountDescr + TimeDescription + NActions);
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!scheduler.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 1
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBatchNormOCL;
|
| | | descr.count = prev_count;
|
| | | descr.batch = 1000;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!scheduler.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 2
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronEmbeddingOCL;
|
| | | prev_count = descr.count = HistoryBars;
|
| | | {
|
| | | uint temp[] = {BarDescr * NBarInPattern, AccountDescr, TimeDescription, NActions};
|
| | | ArrayCopy(descr.windows, temp);
|
| | | }
|
| | | uint prev_wout = descr.window_out = EmbeddingSize;
|
| | | if(!scheduler.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 3
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronSoftMaxOCL;
|
| | | descr.count = EmbeddingSize;
|
| | | descr.step = prev_count * 4;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!scheduler.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 4
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronMLMHAttentionOCL;
|
| | | prev_count = descr.count = prev_count * 4;
|
| | | descr.window = EmbeddingSize;
|
| | | descr.step = 8;
|
| | | descr.window_out = 32;
|
| | | descr.layers = 4;
|
| | | descr.optimization = ADAM;
|
| | | if(!scheduler.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 5
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronSoftMaxOCL;
|
| | | descr.count = EmbeddingSize;
|
| | | descr.step = prev_count;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!scheduler.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 6
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseOCL;
|
| | | descr.count = LatentCount;
|
| | | descr.optimization = ADAM;
|
| | | descr.activation = LReLU;
|
| | | if(!scheduler.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 7
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseOCL;
|
| | | prev_count = descr.count = EmbeddingSize;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!scheduler.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | #ifndef Study
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | bool IsNewBar(void)
|
| | | {
|
| | | static datetime last_bar = 0;
|
| | | if(last_bar >= iTime(Symb.Name(), TimeFrame, 0))
|
| | | return false;
|
| | | //---
|
| | | last_bar = iTime(Symb.Name(), TimeFrame, 0);
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | bool CloseByDirection(ENUM_POSITION_TYPE type)
|
| | | {
|
| | | int total = PositionsTotal();
|
| | | bool result = true;
|
| | | for(int i = total - 1; i >= 0; i--)
|
| | | {
|
| | | if(PositionGetSymbol(i) != Symb.Name())
|
| | | continue;
|
| | | if(PositionGetInteger(POSITION_TYPE) != type)
|
| | | continue;
|
| | | result = (Trade.PositionClose(PositionGetInteger(POSITION_TICKET)) && result);
|
| | | }
|
| | | //---
|
| | | return result;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | bool TrailPosition(ENUM_POSITION_TYPE type, double sl, double tp)
|
| | | {
|
| | | int total = PositionsTotal();
|
| | | bool result = true;
|
| | | //---
|
| | | for(int i = 0; i < total; i++)
|
| | | {
|
| | | if(PositionGetSymbol(i) != Symb.Name())
|
| | | continue;
|
| | | if(PositionGetInteger(POSITION_TYPE) != type)
|
| | | continue;
|
| | | bool modify = false;
|
| | | double psl = PositionGetDouble(POSITION_SL);
|
| | | double ptp = PositionGetDouble(POSITION_TP);
|
| | | switch(type)
|
| | | {
|
| | | case POSITION_TYPE_BUY:
|
| | | if((sl - psl) >= Symb.Point())
|
| | | {
|
| | | psl = sl;
|
| | | modify = true;
|
| | | }
|
| | | if(MathAbs(tp - ptp) >= Symb.Point())
|
| | | {
|
| | | ptp = tp;
|
| | | modify = true;
|
| | | }
|
| | | break;
|
| | | case POSITION_TYPE_SELL:
|
| | | if((psl - sl) >= Symb.Point())
|
| | | {
|
| | | psl = sl;
|
| | | modify = true;
|
| | | }
|
| | | if(MathAbs(tp - ptp) >= Symb.Point())
|
| | | {
|
| | | ptp = tp;
|
| | | modify = true;
|
| | | }
|
| | | break;
|
| | | }
|
| | | if(modify)
|
| | | result = (Trade.PositionModify(PositionGetInteger(POSITION_TICKET), psl, ptp) && result);
|
| | | }
|
| | | //---
|
| | | return result;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | bool ClosePartial(ENUM_POSITION_TYPE type, double value)
|
| | | {
|
| | | if(value <= 0)
|
| | | return true;
|
| | | //---
|
| | | for(int i = 0; (i < PositionsTotal() && value > 0); i++)
|
| | | {
|
| | | if(PositionGetSymbol(i) != Symb.Name())
|
| | | continue;
|
| | | if(PositionGetInteger(POSITION_TYPE) != type)
|
| | | continue;
|
| | | double pvalue = PositionGetDouble(POSITION_VOLUME);
|
| | | if(pvalue <= value)
|
| | | {
|
| | | if(Trade.PositionClose(PositionGetInteger(POSITION_TICKET)))
|
| | | {
|
| | | value -= pvalue;
|
| | | i--;
|
| | | }
|
| | | }
|
| | | else
|
| | | {
|
| | | if(Trade.PositionClosePartial(PositionGetInteger(POSITION_TICKET), value))
|
| | | value = 0;
|
| | | }
|
| | | }
|
| | | //---
|
| | | return (value <= 0);
|
| | | }
|
| | | #endif
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | vector<double> GetProbTrajectories(STrajectory &buffer[], float lanbda)
|
| | | {
|
| | | ulong total = buffer.Size();
|
| | | vector<double> rewards = vector<double>::Zeros(total);
|
| | | for(ulong i = 0; i < total; i++)
|
| | | rewards[i]=Buffer[i].Profit;
|
| | | double std = rewards.Std();
|
| | | double max_profit = rewards.Max();
|
| | | //---
|
| | | vector<double> sorted = rewards;
|
| | | bool sort = true;
|
| | | while(sort)
|
| | | {
|
| | | sort = false;
|
| | | for(ulong i = 0; i < sorted.Size() - 1; i++)
|
| | | if(sorted[i] > sorted[i + 1])
|
| | | {
|
| | | double temp = sorted[i];
|
| | | sorted[i] = sorted[i + 1];
|
| | | sorted[i + 1] = temp;
|
| | | sort = true;
|
| | | }
|
| | | }
|
| | | //---
|
| | | double min = rewards.Min() - 0.1 * std;
|
| | | if(max_profit > min)
|
| | | {
|
| | | double k = sorted.Percentile(90) - max_profit;
|
| | | vector<double> multipl = MathAbs(rewards - max_profit) / (k == 0 ? -std : k);
|
| | | multipl = exp(multipl);
|
| | | rewards = (rewards - min) / (max_profit - min);
|
| | | rewards = rewards / (rewards + lanbda) * multipl;
|
| | | rewards.ReplaceNan(0);
|
| | | }
|
| | | else
|
| | | rewards.Fill(1);
|
| | | rewards = rewards / rewards.Sum();
|
| | | rewards = rewards.CumSum();
|
| | | //---
|
| | | return rewards;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | int SampleTrajectory(vector<double> &probability)
|
| | | {
|
| | | //--- check
|
| | | ulong total = probability.Size();
|
| | | if(total <= 0)
|
| | | return -1;
|
| | | //--- randomize
|
| | | double rnd = double(MathRand()) / 32767.0;
|
| | | //--- search
|
| | | if(rnd <= probability[0] || total == 1)
|
| | | return 0;
|
| | | if(rnd > probability[total - 2])
|
| | | return int(total - 1);
|
| | | int result = int(rnd * total);
|
| | | if(probability[result] < rnd)
|
| | | while(probability[result] < rnd)
|
| | | result++;
|
| | | else
|
| | | while(probability[result - 1] >= rnd)
|
| | | result--;
|
| | | //--- return result
|
| | | return result;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | |
|
