2026-08-13 23:48:47 +03:00 | | | //+------------------------------------------------------------------+
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| | | //| EVDRL-Learning.mq5 |
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| | | //| Copyright 2023, DNG |
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| | | //| https://www.mql5.com/ru/users/dng |
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2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
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| | | #property copyright "Copyright 2023, DNG"
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| | | #property link "https://www.mql5.com/ru/users/dng"
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| | | #property version "1.00"
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| | | //+------------------------------------------------------------------+
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2026-08-13 23:48:47 +03:00 | | | //| |
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2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
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| | | #define FileName Symb.Name()+"_"+EnumToString(TimeFrame)+"_"+StringSubstr(__FILE__,0,StringFind(__FILE__,".",0))
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| | | //+------------------------------------------------------------------+
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| | | //| Includes |
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| | | //+------------------------------------------------------------------+
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| | | #include "EVD.mqh"
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| | | #include <Trade\Trade.mqh>
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| | | #include <Trade\SymbolInfo.mqh>
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| | | #include <Indicators\Oscilators.mqh>
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| | | //+------------------------------------------------------------------+
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| | | //| Input parameters |
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| | | //+------------------------------------------------------------------+
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| | | uint HistoryBars = 20; //Depth of history
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| | | input ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
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| | | input int Batch = 100;
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| | | input float DiscountFactor = 0.3f;
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| | | //---
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| | | input group "---- RSI ----"
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| | | input int RSIPeriod = 14; //Period
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| | | input ENUM_APPLIED_PRICE RSIPrice = PRICE_CLOSE; //Applied price
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| | | //---
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| | | input group "---- CCI ----"
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| | | input int CCIPeriod = 14; //Period
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| | | input ENUM_APPLIED_PRICE CCIPrice = PRICE_TYPICAL; //Applied price
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| | | //---
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| | | input group "---- ATR ----"
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| | | input int ATRPeriod = 14; //Period
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| | | //---
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| | | input group "---- MACD ----"
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| | | input int FastPeriod = 12; //Fast
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| | | input int SlowPeriod = 26; //Slow
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| | | input int SignalPeriod = 9; //Signal
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| | | input ENUM_APPLIED_PRICE MACDPrice = PRICE_CLOSE; //Applied price
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| | | input bool TrainMode = true;
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| | | input bool InitNormalization = false;
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| | | //+------------------------------------------------------------------+
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2026-08-13 23:48:47 +03:00 | | | //| |
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2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
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| | | CSymbolInfo Symb;
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| | | MqlRates Rates[];
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| | | CEVD StudyNet;
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| | | CiRSI RSI;
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| | | CiCCI CCI;
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| | | CiATR ATR;
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| | | CiMACD MACD;
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| | | //---
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| | | float dError;
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| | | datetime dtStudied;
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| | | bool bEventStudy;
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| | | MqlDateTime sTime;
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| | | //---
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| | | CBufferFloat State1;
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| | | float min_loss = FLT_MAX;
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| | | CTrade Trade;
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| | | //+------------------------------------------------------------------+
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| | | //| Expert initialization function |
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| | | //+------------------------------------------------------------------+
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| | | int OnInit()
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| | | {
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| | | //---
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| | | if(!Symb.Name(_Symbol))
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| | | return INIT_FAILED;
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| | | Symb.Refresh();
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| | | //---
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| | | if(!RSI.Create(Symb.Name(), TimeFrame, RSIPeriod, RSIPrice))
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| | | return INIT_FAILED;
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| | | //---
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| | | if(!CCI.Create(Symb.Name(), TimeFrame, CCIPeriod, CCIPrice))
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| | | return INIT_FAILED;
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| | | //---
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| | | if(!ATR.Create(Symb.Name(), TimeFrame, ATRPeriod))
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| | | return INIT_FAILED;
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| | | //---
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| | | if(!MACD.Create(Symb.Name(), TimeFrame, FastPeriod, SlowPeriod, SignalPeriod, MACDPrice))
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| | | return INIT_FAILED;
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| | | //---
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| | | if(!StudyNet.Load(FileName + ".evd", true))
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| | | if(!StudyNet.Load(FileName + ".nnw", FileName + ".fwe", 5, true))
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| | | {
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| | | CArrayObj *model = new CArrayObj();
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| | | CArrayObj *forward = new CArrayObj();
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| | | if(!CreateDescriptions(model, forward))
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| | | {
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| | | delete model;
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| | | delete forward;
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| | | return INIT_FAILED;
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| | | }
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| | | if(!StudyNet.Create(model, forward))
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| | | {
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| | | delete model;
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| | | delete forward;
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| | | return INIT_FAILED;
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| | | }
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| | | StudyNet.SetStateEmbedingLayer(5);
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| | | delete model;
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| | | delete forward;
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| | | }
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| | | if(!StudyNet.TrainMode(TrainMode))
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| | | return INIT_FAILED;
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| | | StudyNet.SetBufferSize(Batch, 10 * Batch);
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| | | //---
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| | | CBufferFloat* temp;
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| | | if(!StudyNet.GetLayerOutput(0, temp))
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| | | return INIT_FAILED;
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| | | HistoryBars = (temp.Total() - 9) / 12;
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| | | delete temp;
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| | | if(!RSI.BufferResize(HistoryBars) || !CCI.BufferResize(HistoryBars) ||
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| | | !ATR.BufferResize(HistoryBars) || !MACD.BufferResize(HistoryBars))
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| | | {
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| | | PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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| | | return INIT_FAILED;
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| | | }
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| | | //---
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| | | if(!Trade.SetTypeFillingBySymbol(Symb.Name()))
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| | | return INIT_FAILED;
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| | | //---
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| | | return(INIT_SUCCEEDED);
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| | | }
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| | | //+------------------------------------------------------------------+
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| | | //| Expert deinitialization function |
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| | | //+------------------------------------------------------------------+
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| | | void OnDeinit(const int reason)
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| | | {
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| | | //---
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| | | StudyNet.Save(FileName + ".evd", true);
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| | | StudyNet.Save(FileName + ".nnw", FileName + ".fwe", true);
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| | | }
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| | | //+------------------------------------------------------------------+
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2026-08-13 23:48:47 +03:00 | | | //| |
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| | | //+------------------------------------------------------------------+
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| | | //| | Tester pass callback. |
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2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
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| | | void OnTesterPass()
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| | | {
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| | | StudyNet.Save(FileName + ".evd", true);
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| | | StudyNet.Save(FileName + ".nnw", FileName + ".fwe", true);
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| | | }
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| | | //+------------------------------------------------------------------+
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| | | //| Expert tick function |
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| | | //+------------------------------------------------------------------+
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| | | void OnTick()
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| | | {
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| | | if(!IsNewBar())
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| | | return;
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| | | //---
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| | | int bars = CopyRates(Symb.Name(), TimeFrame, iTime(Symb.Name(), TimeFrame, 1), HistoryBars, Rates);
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| | | if(!ArraySetAsSeries(Rates, true))
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| | | {
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| | | PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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| | | return;
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| | | }
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| | | //---
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| | | RSI.Refresh();
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| | | CCI.Refresh();
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| | | ATR.Refresh();
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| | | MACD.Refresh();
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| | | //---
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| | | State1.Clear();
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| | | for(int b = 0; b < (int)HistoryBars; b++)
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| | | {
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| | | float open = (float)Rates[b].open;
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| | | TimeToStruct(Rates[b].time, sTime);
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| | | float rsi = (float)RSI.Main(b);
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| | | float cci = (float)CCI.Main(b);
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| | | float atr = (float)ATR.Main(b);
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| | | float macd = (float)MACD.Main(b);
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| | | float sign = (float)MACD.Signal(b);
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| | | if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
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| | | continue;
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| | | //---
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| | | if(!State1.Add((float)Rates[b].close - open) || !State1.Add((float)Rates[b].high - open) || !State1.Add((float)Rates[b].low - open) || !State1.Add((float)Rates[b].tick_volume / 1000.0f) ||
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| | | !State1.Add(sTime.hour) || !State1.Add(sTime.day_of_week) || !State1.Add(sTime.mon) ||
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| | | !State1.Add(rsi) || !State1.Add(cci) || !State1.Add(atr) || !State1.Add(macd) || !State1.Add(sign))
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| | | {
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| | | PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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| | | break;
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| | | }
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| | | }
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| | | if(InitNormalization)
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| | | {
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| | | StudyNet.feedForward(GetPointer(State1), 12, true);
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| | | return;
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| | | }
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| | | switch(StudyNet.feedForward(GetPointer(State1), 12, true))
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| | | {
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| | | case 0:
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| | | Trade.Buy(Symb.LotsMin(), Symb.Name());
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| | | break;
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| | | case 1:
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| | | Trade.Sell(Symb.LotsMin(), Symb.Name());
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| | | break;
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| | | case 2:
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| | | for(int i = PositionsTotal() - 1; i >= 0; i--)
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| | | if(PositionGetSymbol(i) == Symb.Name())
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| | | Trade.PositionClose(PositionGetInteger(POSITION_IDENTIFIER));
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| | | break;
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| | | }
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| | | MqlDateTime time;
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| | | TimeCurrent(time);
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| | | if(time.hour==0)
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| | | StudyNet.backProp(Batch, DiscountFactor);
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| | | //---
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| | | }
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| | | //+------------------------------------------------------------------+
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2026-08-13 23:48:47 +03:00 | | | //| |
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| | | //+------------------------------------------------------------------+
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| | | //| | Checks NewBar. |
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2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
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| | | bool IsNewBar(void)
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| | | {
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| | | static datetime last_bar = 0;
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| | | if(last_bar >= iTime(Symb.Name(), TimeFrame, 0))
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| | | return false;
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| | | //---
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| | | last_bar = iTime(Symb.Name(), TimeFrame, 0);
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| | | return true;
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| | | }
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| | | //+------------------------------------------------------------------+
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2026-08-13 23:48:47 +03:00 | | | //| |
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| | | //+------------------------------------------------------------------+
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| | | //| | Creates or initializes Descriptions. |
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2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
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| | | bool CreateDescriptions(CArrayObj *Description, CArrayObj *Forward)
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| | | {
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| | | //---
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| | | if(!Description)
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| | | {
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| | | Description = new CArrayObj();
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| | | if(!Description)
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| | | return false;
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| | | }
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| | | //---
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| | | if(!Forward)
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| | | {
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| | | Forward = new CArrayObj();
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| | | if(!Forward)
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| | | return false;
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| | | }
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| | | //--- Model
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| | | Description.Clear();
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| | | CLayerDescription *descr;
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| | | //--- Input layer
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| | | if(!(descr = new CLayerDescription()))
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| | | return false;
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| | | descr.type = defNeuronBaseOCL;
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| | | int prev_count = descr.count = (int)(HistoryBars * 12 + 9);
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| | | descr.window = 0;
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| | | descr.activation = None;
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| | | descr.optimization = ADAM;
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| | | if(!Description.Add(descr))
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| | | {
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| | | delete descr;
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| | | return false;
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| | | }
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| | | //--- layer 1
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| | | if(!(descr = new CLayerDescription()))
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| | | return false;
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| | | descr.type = defNeuronBatchNormOCL;
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| | | descr.count = prev_count;
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| | | descr.batch = 100;
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| | | descr.activation = None;
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| | | descr.optimization = ADAM;
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| | | if(!Description.Add(descr))
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| | | {
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| | | delete descr;
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| | | return false;
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| | | }
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| | | //--- layer 2
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| | | if(!(descr = new CLayerDescription()))
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| | | return false;
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| | | descr.type = defNeuronConvOCL;
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| | | descr.count = prev_count/3-1 ;
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| | | descr.window = 6;
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| | | descr.step = 3;
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| | | descr.window_out = 6;
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| | | descr.activation = LReLU;
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| | | descr.optimization = ADAM;
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| | | if(!Description.Add(descr))
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| | | {
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| | | delete descr;
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| | | return false;
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| | | }
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| | | //--- layer 3
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| | | if(!(descr = new CLayerDescription()))
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| | | return false;
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| | | descr.type = defNeuronBaseOCL;
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| | | descr.count = 100;
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| | | descr.optimization = ADAM;
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| | | descr.activation = SIGMOID;
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| | | if(!Description.Add(descr))
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| | | {
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| | | delete descr;
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| | | return false;
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| | | }
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| | | //--- layer 4
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| | | if(!(descr = new CLayerDescription()))
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| | | return false;
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| | | descr.type = defNeuronConvOCL;
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| | | descr.count = 49;
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| | | descr.window = 4;
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| | | descr.step = 2;
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| | | descr.window_out = 8;
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| | | descr.activation = LReLU;
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| | | descr.optimization = ADAM;
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| | | if(!Description.Add(descr))
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| | | {
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| | | delete descr;
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| | | return false;
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| | | }
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| | | //--- layer 5
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| | | if(!(descr = new CLayerDescription()))
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| | | return false;
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| | | descr.type = defNeuronBaseOCL;
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| | | descr.count = 100;
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| | | descr.optimization = ADAM;
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| | | descr.activation=TANH;
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| | | if(!Description.Add(descr))
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| | | {
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| | | delete descr;
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| | | return false;
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| | | }
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| | | //--- layer 6
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| | | if(!(descr = new CLayerDescription()))
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| | | return false;
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| | | descr.type = defNeuronMLMHSparseAttentionOCL;
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| | | descr.count = 20;
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| | | descr.window = 5;
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| | | descr.step = 4;
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| | | descr.window_out = 8;
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| | | descr.layers = 2;
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| | | descr.probability = 0.3f;
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| | | descr.optimization = ADAM;
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| | | if(!Description.Add(descr))
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| | | {
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| | | delete descr;
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| | | return false;
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| | | }
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| | | //--- layer 7
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| | | if(!(descr = new CLayerDescription()))
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| | | return false;
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| | | descr.type = defNeuronFQF;
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| | | descr.count = 4;
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| | | descr.window_out = 32;
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| | | descr.optimization = ADAM;
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| | | if(!Description.Add(descr))
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| | | {
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| | | delete descr;
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| | | return false;
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| | | }
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| | | //--- Forward
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| | | Forward.Clear();
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| | | //--- Input layer
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| | | if(!(descr = new CLayerDescription()))
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| | | return false;
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| | | descr.type = defNeuronBaseOCL;
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| | | descr.count = 100;
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| | | descr.window = 0;
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| | | descr.activation = None;
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| | | descr.optimization = ADAM;
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| | | if(!Forward.Add(descr))
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| | | {
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| | | delete descr;
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| | | return false;
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| | | }
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| | | //--- layer 1
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| | | if(!(descr = new CLayerDescription()))
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| | | return false;
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| | | descr.type = defNeuronBaseOCL;
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| | | descr.count = 1000;
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| | | descr.activation = TANH;
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| | | descr.optimization = ADAM;
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| | | if(!Forward.Add(descr))
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| | | {
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| | | delete descr;
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| | | return false;
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| | | }
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| | | //--- layer 2
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| | | if(!(descr = new CLayerDescription()))
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| | | return false;
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| | | descr.type = defNeuronMultiModels;
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| | | descr.count = 400;
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| | | descr.window = 200;
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| | | descr.step = 5;
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| | | descr.activation = TANH;
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| | | descr.optimization = ADAM;
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| | | if(!Forward.Add(descr))
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| | | {
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| | | delete descr;
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| | | return false;
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| | | }
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| | | //---
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| | | return true;
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| | | }
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| | | //+------------------------------------------------------------------+
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2026-08-13 23:48:47 +03:00 | | |
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