2026-08-13 23:48:47 +03:00 | | | //+------------------------------------------------------------------+
|
| | | //| Trajectory.mqh |
|
| | | //| Copyright DNG® |
|
| | | //| https://www.mql5.com/ru/users/dng |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | #property copyright "Copyright DNG®"
|
| | | #property link "https://www.mql5.com/ru/users/dng"
|
| | | #property version "1.00"
|
| | | //+------------------------------------------------------------------+
|
| | | //| Rewards structure |
|
2026-08-13 23:48:47 +03:00 | | | //| 0 - Delta Balance |
|
| | | //| 1 - Delta Equity ( "-" Drawdown / "+" Profit) |
|
| | | //| 2 - Penalty for no open positions |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | #include "..\NeuroNet_DNG\NeuroNet.mqh"
|
| | | //---
|
| | | #define HistoryBars 120 //Depth of history
|
| | | #define BarDescr 9 //Elements for 1 bar description
|
| | | #define AccountDescr 12 //Account description
|
| | | #define NActions 6 //Number of possible Actions
|
| | | #define NRewards 3 //Number of rewards
|
| | | #define NForecast 24 //Number of forecast
|
| | | #define EmbeddingSize 32
|
| | | #define PatchSize 3
|
| | | #define Buffer_Size 6500
|
| | | #define DiscFactor 0.99f
|
| | | #define FileName "SAMformer"
|
| | | #define SignalFile(agent) StringFormat("Signals\\Signal%d.csv",agent)
|
| | | #define LatentCount 256
|
| | | #define LatentLayer -1
|
| | | #define MaxSL 1000
|
| | | #define MaxTP 1000
|
| | | #define MaxReplayBuffer 500
|
| | | #define StartTargetIteration 200000
|
| | | #define STE_Multiplier 1.0f/2
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | struct SState
|
| | | {
|
| | | float state[HistoryBars * BarDescr];
|
| | | float account[AccountDescr - 4];
|
| | | float action[NActions];
|
| | | float rewards[NRewards];
|
| | | //---
|
| | | SState(void);
|
| | | //---
|
| | | bool Save(int file_handle);
|
| | | bool Load(int file_handle);
|
| | | //--- overloading
|
| | | void operator=(const SState &obj)
|
| | | {
|
| | | ArrayCopy(state, obj.state);
|
| | | ArrayCopy(account, obj.account);
|
| | | ArrayCopy(action, obj.action);
|
| | | ArrayCopy(rewards, obj.rewards);
|
| | | }
|
| | | };
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | //| | Implements SState. |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | SState::SState(void)
|
| | | {
|
| | | ArrayInitialize(state, 0);
|
| | | ArrayInitialize(account, 0);
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| | | ArrayInitialize(action, 0);
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| | | ArrayInitialize(rewards, 0);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | //| | Saves . |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | 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(rewards);
|
| | | if(FileWriteInteger(file_handle, total) < sizeof(int))
|
| | | return false;
|
| | | for(int i = 0; i < total; i++)
|
| | | if(FileWriteFloat(file_handle, rewards[i]) < sizeof(float))
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| | | return false;
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | //| | Loads . |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | bool SState::Load(int file_handle)
|
| | | {
|
| | | if(file_handle == INVALID_HANDLE)
|
| | | return false;
|
| | | if(FileIsEnding(file_handle))
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| | | return false;
|
| | | //---
|
| | | int total = FileReadInteger(file_handle);
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| | | if(total != ArraySize(state))
|
| | | return false;
|
| | | //---
|
| | | for(int i = 0; i < total; i++)
|
| | | {
|
| | | if(FileIsEnding(file_handle))
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| | | 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(rewards))
|
| | | return false;
|
| | | //---
|
| | | for(int i = 0; i < total; i++)
|
| | | {
|
| | | if(FileIsEnding(file_handle))
|
| | | return false;
|
| | | rewards[i] = FileReadFloat(file_handle);
|
| | | }
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | struct STrajectory
|
| | | {
|
| | | SState States[Buffer_Size];
|
| | | int Total;
|
| | | float DiscountFactor;
|
| | | bool CumCounted;
|
| | | //---
|
| | | STrajectory(void);
|
| | | //---
|
| | | bool Add(SState &state);
|
| | | void CumRevards(void);
|
| | | //---
|
| | | bool Save(int file_handle);
|
| | | bool Load(int file_handle);
|
| | | };
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
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| | | STrajectory::STrajectory(void) : Total(0),
|
| | | DiscountFactor(DiscFactor),
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2026-08-13 23:48:47 +03:00 | | | // Creates and manages object lifecycle for CumCounted.
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2026-06-05 22:00:59 +03:00 | | | CumCounted(false)
|
| | | {
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | //| | Saves . |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | bool STrajectory::Save(int file_handle)
|
| | | {
|
| | | if(file_handle == INVALID_HANDLE)
|
| | | return false;
|
| | | if(Total <= 0)
|
| | | return true;
|
| | | //---
|
| | | if(!CumCounted)
|
| | | CumRevards();
|
| | | Total = MathMin((int)States.Size(), Total);
|
| | | if(FileWriteInteger(file_handle, Total) < sizeof(int))
|
| | | return false;
|
| | | if(FileWriteFloat(file_handle, DiscountFactor) < sizeof(float))
|
| | | return false;
|
| | | for(int i = 0; i < Total; i++)
|
| | | if(!States[i].Save(file_handle))
|
| | | return false;
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | //| | Loads . |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | 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;
|
| | | DiscountFactor = FileReadFloat(file_handle);
|
| | | CumCounted = true;
|
| | | //---
|
| | | for(int i = 0; i < Total; i++)
|
| | | if(!States[i].Load(file_handle))
|
| | | return false;
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | //| | Creates and manages object lifecycle for CumRevards. |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | void STrajectory::CumRevards(void)
|
| | | {
|
| | | if(CumCounted)
|
| | | return;
|
| | | //---
|
| | | for(int i = Total - 2; i >= 0; i--)
|
| | | for(int r = 0; r < NRewards; r++)
|
| | | States[i].rewards[r] += States[i + 1].rewards[r] * DiscountFactor;
|
| | | CumCounted = true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | //| | Implements Add. |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | bool STrajectory::Add(SState &state)
|
| | | {
|
| | | if(Total + 1 >= ArraySize(States))
|
| | | return false;
|
| | | States[Total] = state;
|
| | | Total++;
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | //| | Saves TotalBase. |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | bool SaveTotalBase(void)
|
| | | {
|
| | | int total = ArraySize(Buffer);
|
| | | if(total < 0)
|
| | | return true;
|
| | | int handle = FileOpen(FileName + ".bd", FILE_WRITE | FILE_BIN | FILE_COMMON);
|
| | | if(handle < 0)
|
| | | return false;
|
| | | int start = MathMax(total - MaxReplayBuffer, 0);
|
| | | if(FileWriteInteger(handle, total - start) < INT_VALUE)
|
| | | {
|
| | | FileClose(handle);
|
| | | return false;
|
| | | }
|
| | | for(int i = start; i < total; i++)
|
| | | if(!Buffer[i].Save(handle))
|
| | | {
|
| | | FileClose(handle);
|
| | | return false;
|
| | | }
|
| | | FileFlush(handle);
|
| | | FileClose(handle);
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | //| | Loads TotalBase. |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | 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;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | //| | Creates or initializes Descriptions. |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | bool CreateDescriptions(CArrayObj *&actor, CArrayObj *&critic)
|
| | | {
|
| | | //---
|
| | | CLayerDescription *descr;
|
| | | //---
|
| | | if(!actor)
|
| | | {
|
| | | actor = new CArrayObj();
|
| | | if(!actor)
|
| | | return false;
|
| | | }
|
| | | if(!critic)
|
| | | {
|
| | | critic = new CArrayObj();
|
| | | if(!critic)
|
| | | return false;
|
| | | }
|
| | | //--- Actor
|
| | | actor.Clear();
|
| | | //--- Input layer
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseSAMOCL;
|
| | | uint prev_count = descr.count = AccountDescr;
|
| | | descr.activation = None;
|
| | | descr.probability=0.7f;
|
| | | descr.optimization = ADAM;
|
| | | if(!actor.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 1
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseSAMOCL;
|
| | | prev_count = descr.count = EmbeddingSize;
|
| | | descr.activation = SIGMOID;
|
| | | descr.optimization = ADAM;
|
| | | descr.probability=0.7f;
|
| | | if(!actor.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 2
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronConcatenate;
|
| | | descr.count = LatentCount;
|
| | | descr.window = EmbeddingSize;
|
| | | descr.step = LatentCount;
|
| | | descr.activation = LReLU;
|
| | | descr.optimization = ADAM;
|
| | | if(!actor.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 3
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseSAMOCL;
|
| | | descr.count = LatentCount;
|
| | | descr.activation = SIGMOID;
|
| | | descr.optimization = ADAM;
|
| | | descr.probability=0.7f;
|
| | | if(!actor.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 4
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseSAMOCL;
|
| | | descr.count = LatentCount;
|
| | | descr.activation = SIGMOID;
|
| | | descr.optimization = ADAM;
|
| | | descr.probability=0.7f;
|
| | | if(!actor.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 5
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseSAMOCL;
|
| | | descr.count = 2 * NActions;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | descr.probability=0.7f;
|
| | | if(!actor.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 6
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronVAEOCL;
|
| | | descr.count = NActions;
|
| | | descr.optimization = ADAM;
|
| | | if(!actor.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 7
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronConvSAMOCL;
|
| | | descr.count = NActions / 3;
|
| | | descr.window = 3;
|
| | | descr.step = 3;
|
| | | descr.window_out = 3;
|
| | | descr.activation = SIGMOID;
|
| | | descr.optimization = ADAM;
|
| | | descr.probability=0.7f;
|
| | | if(!actor.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 8
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronFreDFOCL;
|
| | | descr.window = NActions;
|
| | | descr.count = 1;
|
| | | descr.step = int(false);
|
| | | descr.probability = 0.7f;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!actor.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- Critic
|
| | | critic.Clear();
|
| | | //--- Input layer
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseSAMOCL;
|
| | | prev_count = descr.count = NActions;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | descr.probability=0.7f;
|
| | | if(!critic.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 1
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseSAMOCL;
|
| | | prev_count = descr.count = EmbeddingSize;
|
| | | descr.activation = SIGMOID;
|
| | | descr.optimization = ADAM;
|
| | | descr.probability=0.7f;
|
| | | if(!critic.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 2
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronConcatenate;
|
| | | descr.count = LatentCount;
|
| | | descr.window = EmbeddingSize;
|
| | | descr.step = LatentCount;
|
| | | descr.activation = LReLU;
|
| | | descr.optimization = ADAM;
|
| | | if(!critic.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 3
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseSAMOCL;
|
| | | descr.count = LatentCount;
|
| | | descr.activation = SIGMOID;
|
| | | descr.optimization = ADAM;
|
| | | descr.probability=0.7f;
|
| | | if(!critic.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 4
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseSAMOCL;
|
| | | descr.count = LatentCount;
|
| | | descr.activation = SIGMOID;
|
| | | descr.optimization = ADAM;
|
| | | descr.probability=0.7f;
|
| | | if(!critic.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 5
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseSAMOCL;
|
| | | descr.count = LatentCount;
|
| | | descr.activation = SIGMOID;
|
| | | descr.optimization = ADAM;
|
| | | descr.probability=0.7f;
|
| | | if(!critic.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 6
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseSAMOCL;
|
| | | descr.count = NRewards;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | descr.probability=0.7f;
|
| | | if(!critic.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 7
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronFreDFOCL;
|
| | | descr.window = NRewards;
|
| | | descr.count = 1;
|
| | | descr.step = int(false);
|
| | | descr.probability = 0.7f;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!critic.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | //| | Creates or initializes EncoderDescriptions. |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | bool CreateEncoderDescriptions(CArrayObj *&encoder)
|
| | | {
|
| | | //---
|
| | | CLayerDescription *descr;
|
| | | //---
|
| | | if(!encoder)
|
| | | {
|
| | | encoder = new CArrayObj();
|
| | | if(!encoder)
|
| | | return false;
|
| | | }
|
| | | //--- Encoder
|
| | | encoder.Clear();
|
| | | //--- Input layer
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseOCL;
|
| | | uint prev_count = descr.count = (HistoryBars * BarDescr);
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!encoder.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 1
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBatchNormOCL;
|
| | | descr.count = prev_count;
|
| | | descr.batch = 1e4;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!encoder.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 2
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronTransposeOCL;
|
| | | descr.count = HistoryBars;
|
| | | descr.window= BarDescr;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!encoder.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 3
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronRMAT;
|
| | | descr.window=HistoryBars;
|
| | | descr.count=BarDescr;
|
| | | descr.window_out = EmbeddingSize/2; // Key Dimension
|
| | | descr.layers = 1; // Layers
|
| | | descr.step = 2; // Heads
|
| | | descr.batch = 1e4;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!encoder.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 4
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronConvSAMOCL;
|
| | | descr.count = BarDescr;
|
| | | descr.window = HistoryBars;
|
| | | descr.step = HistoryBars;
|
| | | descr.window_out = LatentCount/BarDescr;
|
| | | descr.probability = 0.7f;
|
| | | descr.activation = GELU;
|
| | | descr.optimization = ADAM;
|
| | | if(!encoder.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 5
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseSAMOCL;
|
| | | descr.count = LatentCount;
|
| | | descr.probability = 0.7f;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!encoder.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | #ifndef Study
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | //| | Checks NewBar. |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | 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;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | //| | Creates and manages object lifecycle for CloseByDirection. |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | 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;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | //| | Implements TrailPosition. |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | 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;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | //| | Creates and manages object lifecycle for ClosePartial. |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | 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
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | //| | Gets ProbTrajectories. |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | vector<float> GetProbTrajectories(STrajectory &buffer[], double lambda)
|
| | | {
|
| | | ulong total = buffer.Size();
|
| | | vector<float> result = vector<float>::Zeros(total);
|
| | | vector<float> temp;
|
| | | for(ulong i = 0; i < total; i++)
|
| | | {
|
| | | temp.Assign(buffer[i].States[0].rewards);
|
| | | result[i] = temp.Sum();
|
| | | if(!MathIsValidNumber(result[i]))
|
| | | result[i] = -FLT_MAX;
|
| | | }
|
| | | float max_reward = result.Max();
|
| | | //---
|
| | | vector<float> sorted = result;
|
| | | bool sort = true;
|
| | | int iter = 0;
|
| | | while(sort)
|
| | | {
|
| | | sort = false;
|
| | | for(ulong i = 0; i < sorted.Size() - 1; i++)
|
| | | if(sorted[i] > sorted[i + 1])
|
| | | {
|
| | | float temp = sorted[i];
|
| | | sorted[i] = sorted[i + 1];
|
| | | sorted[i + 1] = temp;
|
| | | sort = true;
|
| | | }
|
| | | iter++;
|
| | | }
|
| | | //---
|
| | | float min = result.Min() - 0.1f * MathAbs(max_reward);
|
| | | if(max_reward > min)
|
| | | {
|
| | | float k = sorted.Percentile(80) - max_reward;
|
| | | vector<float> multipl = MathExp(MathAbs(result - max_reward) / (k == 0 ? -1 : k));
|
| | | result = (result - min) / (max_reward - min);
|
| | | result = result / (result + lambda) * multipl;
|
| | | result.ReplaceNan(0);
|
| | | }
|
| | | else
|
| | | result.Fill(1);
|
| | | result = result / result.Sum();
|
| | | result = result.CumSum();
|
| | | //---
|
| | | return result;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | //| | Implements SampleTrajectory. |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | int SampleTrajectory(vector<float> &probability)
|
| | | {
|
| | | //--- check
|
| | | ulong total = probability.Size();
|
| | | if(total <= 0)
|
| | | return -1;
|
| | | //--- randomize
|
| | | float rnd = float(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
|
| | | {
|
| | | if(result <= 0)
|
| | | Sleep(0);
|
| | | while(probability[result - 1] >= rnd)
|
| | | result--;
|
| | | }
|
| | | //--- return result
|
| | | return result;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | class CDeal : public CObject
|
| | | {
|
| | | public:
|
| | | datetime OpenTime;
|
| | | datetime CloseTime;
|
| | | ENUM_POSITION_TYPE Type;
|
| | | double Volume;
|
| | | double OpenPrice;
|
| | | double StopLos;
|
| | | double TakeProfit;
|
| | | double point;
|
| | | //---
|
| | | CDeal(void);
|
| | | ~CDeal(void) {};
|
| | | //---
|
| | | vector<float> Action(datetime current, double ask, double bid, int period_seconds);
|
| | | };
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | void CDeal::CDeal(void) : OpenTime(0),
|
| | | CloseTime(0),
|
| | | Type(POSITION_TYPE_BUY),
|
| | | Volume(0),
|
| | | OpenPrice(0),
|
| | | StopLos(0),
|
| | | TakeProfit(0),
|
2026-08-13 23:48:47 +03:00 | | | // Implements point.
|
2026-06-05 22:00:59 +03:00 | | | point(1e-5)
|
| | | {
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | //| | Implements Action. |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | vector<float> CDeal::Action(datetime current, double ask, double bid, int period_seconds)
|
| | | {
|
| | | vector<float> result = vector<float>::Zeros(NActions);
|
| | | if((OpenTime - period_seconds) > current || CloseTime <= current)
|
| | | return result;
|
| | | //---
|
| | | switch(Type)
|
| | | {
|
| | | case POSITION_TYPE_BUY:
|
| | | result[0] = float(Volume);
|
| | | if(TakeProfit > 0)
|
| | | result[1] = float((TakeProfit - ask) / (MaxTP * point));
|
| | | if(StopLos > 0)
|
| | | result[2] = float((ask - StopLos) / (MaxSL * point));
|
| | | break;
|
| | | case POSITION_TYPE_SELL:
|
| | | result[3] = float(Volume);
|
| | | if(TakeProfit > 0)
|
| | | result[4] = float((bid - TakeProfit) / (MaxTP * point));
|
| | | if(StopLos > 0)
|
| | | result[5] = float((StopLos - bid) / (MaxSL * point));
|
| | | break;
|
| | | }
|
| | | //---
|
| | | return result;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | class CDeals
|
| | | {
|
| | | protected:
|
| | | CArrayObj Deals;
|
| | | public:
|
| | | CDeals(void) { Deals.Clear(); }
|
| | | ~CDeals(void) { Deals.Clear(); }
|
| | | //---
|
| | | bool LoadDeals(string file_name, string symbol, double point);
|
| | | vector<float> Action(datetime current, double ask, double bid, int period_seconds);
|
| | | };
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | //| | Loads Deals. |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | bool CDeals::LoadDeals(string file_name, string symbol, double point)
|
| | | {
|
| | | if(file_name == NULL || !FileIsExist(file_name, FILE_COMMON))
|
| | | {
|
| | | PrintFormat("File %s not exist", file_name);
|
| | | return false;
|
| | | }
|
| | | if(symbol == NULL)
|
| | | {
|
| | | symbol = _Symbol;
|
| | | point = _Point;
|
| | | }
|
| | | //---
|
| | | ResetLastError();
|
| | | int handle = FileOpen(file_name, FILE_READ | FILE_ANSI | FILE_CSV | FILE_COMMON, short(';'), CP_ACP);
|
| | | if(handle == INVALID_HANDLE)
|
| | | {
|
| | | PrintFormat("Error of open file %s: %d", file_name, GetLastError());
|
| | | return false;
|
| | | }
|
| | | FileSeek(handle, 0, SEEK_SET);
|
| | | while(!FileIsEnding(handle))
|
| | | {
|
| | | string s = FileReadString(handle);
|
| | | datetime open_time = StringToTime(s);
|
| | | string type = FileReadString(handle);
|
| | | double volume = StringToDouble(FileReadString(handle));
|
| | | string deal_symbol = FileReadString(handle);
|
| | | double open_price = StringToDouble(FileReadString(handle));
|
| | | volume = MathMin(volume, StringToDouble(FileReadString(handle)));
|
| | | datetime close_time = StringToTime(FileReadString(handle));
|
| | | double close_price = StringToDouble(FileReadString(handle));
|
| | | s = FileReadString(handle);
|
| | | s = FileReadString(handle);
|
| | | s = FileReadString(handle);
|
| | | if(StringFind(deal_symbol, symbol, 0) < 0)
|
| | | continue;
|
| | | //---
|
| | | ResetLastError();
|
| | | CDeal *deal = new CDeal();
|
| | | if(!deal)
|
| | | {
|
| | | PrintFormat("Error of create new deal object: %d", GetLastError());
|
| | | return false;
|
| | | }
|
| | | deal.OpenTime = open_time;
|
| | | deal.CloseTime = close_time;
|
| | | deal.OpenPrice = open_price;
|
| | | deal.Volume = volume;
|
| | | deal.point = point;
|
| | | if(type == "Sell")
|
| | | {
|
| | | deal.Type = POSITION_TYPE_SELL;
|
| | | if(close_price < open_price)
|
| | | {
|
| | | deal.TakeProfit = close_price;
|
| | | deal.StopLos = 0;
|
| | | }
|
| | | else
|
| | | {
|
| | | deal.TakeProfit = 0;
|
| | | deal.StopLos = close_price;
|
| | | }
|
| | | }
|
| | | else
|
| | | {
|
| | | deal.Type = POSITION_TYPE_BUY;
|
| | | if(close_price > open_price)
|
| | | {
|
| | | deal.TakeProfit = close_price;
|
| | | deal.StopLos = 0;
|
| | | }
|
| | | else
|
| | | {
|
| | | deal.TakeProfit = 0;
|
| | | deal.StopLos = close_price;
|
| | | }
|
| | | }
|
| | | //---
|
| | | ResetLastError();
|
| | | if(!Deals.Add(deal))
|
| | | {
|
| | | PrintFormat("Error of add new deal: %d", GetLastError());
|
| | | return false;
|
| | | }
|
| | | }
|
| | | //---
|
| | | FileClose(handle);
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | //| | Implements Action. |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | vector<float> CDeals::Action(datetime current, double ask, double bid, int period_seconds)
|
| | | {
|
| | | vector<float> result = vector<float>::Zeros(NActions);
|
| | | for(int i = 0; i < Deals.Total(); i++)
|
| | | {
|
| | | CDeal *deal = Deals.At(i);
|
| | | if(!deal)
|
| | | continue;
|
| | | vector<float> action = deal.Action(current, ask, bid, period_seconds);
|
| | | result[0] += action[0];
|
| | | result[3] += action[3];
|
| | | result[1] = MathMax(result[1], action[1]);
|
| | | result[2] = MathMax(result[2], action[2]);
|
| | | result[4] = MathMax(result[4], action[4]);
|
| | | result[5] = MathMax(result[5], action[5]);
|
| | | }
|
| | | //---
|
| | | return result;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | |
|
