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 opened positions |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | #include "..\RL\FQF.mqh"
|
| | | //---
|
| | | #define HistoryBars 100 //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 NRewards 3 //Number of rewards
|
| | | #define TimeDescription 4
|
| | | #define LatentCount 512
|
| | | #define LatentLayer 2
|
| | | #define EmbeddingSize 32
|
| | | #define Sparse 0.4f
|
| | | #define Buffer_Size 6500
|
| | | #define DiscFactor 0.99f
|
| | | #define FileName "SPLT"
|
| | | #define MaxReplayBuffer 500
|
| | | #define MaxSL 1000
|
| | | #define MaxTP 1000
|
| | | #define fCAGrad_C 0.3f
|
| | | #define iCAGrad_Iters 15
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | struct STrajectory;
|
| | | extern STrajectory Buffer[];
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | struct SState
|
| | | {
|
| | | float state[BarDescr * NBarInPattern];
|
| | | float account[AccountDescr];
|
| | | float action[NActions];
|
| | | float rewards[NRewards];
|
| | | float latent[2 * EmbeddingSize];
|
| | | //---
|
| | | SState(void);
|
| | | //---
|
| | | bool Save(int file_handle);
|
| | | bool Load(int file_handle);
|
| | | //---
|
2026-08-13 23:48:47 +03:00 | | | // Creates and manages object lifecycle for Clear.
|
2026-06-05 22:00:59 +03:00 | | | void Clear(void)
|
| | | {
|
| | | ArrayInitialize(state, 0);
|
| | | ArrayInitialize(account, 0);
|
| | | ArrayInitialize(action, 0);
|
| | | ArrayInitialize(rewards, 0);
|
| | | ArrayInitialize(latent, 0);
|
| | | }
|
| | | //--- overloading
|
| | | void operator=(const SState &obj)
|
| | | {
|
| | | ArrayCopy(state, obj.state);
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| | | ArrayCopy(account, obj.account);
|
| | | ArrayCopy(action, obj.action);
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| | | ArrayCopy(rewards, obj.rewards);
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| | | ArrayCopy(latent, obj.latent);
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| | | }
|
| | | };
|
| | | //+------------------------------------------------------------------+
|
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);
|
| | | ArrayInitialize(action, 0);
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| | | ArrayInitialize(rewards, 0);
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| | | ArrayInitialize(latent, 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)
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| | | return false;
|
| | | //---
|
| | | int total = ArraySize(state);
|
| | | if(FileWriteInteger(file_handle, total) < sizeof(int))
|
| | | return false;
|
| | | for(int i = 0; i < total; i++)
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| | | if(FileWriteFloat(file_handle, state[i]) < sizeof(float))
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| | | return false;
|
| | | //---
|
| | | total = ArraySize(account);
|
| | | if(FileWriteInteger(file_handle, total) < sizeof(int))
|
| | | return false;
|
| | | for(int i = 0; i < total; i++)
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| | | if(FileWriteFloat(file_handle, account[i]) < sizeof(float))
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| | | return false;
|
| | | //---
|
| | | total = ArraySize(action);
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| | | if(FileWriteInteger(file_handle, total) < sizeof(int))
|
| | | return false;
|
| | | for(int i = 0; i < total; i++)
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| | | if(FileWriteFloat(file_handle, action[i]) < sizeof(float))
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| | | return false;
|
| | | //---
|
| | | total = ArraySize(rewards);
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| | | if(FileWriteInteger(file_handle, total) < sizeof(int))
|
| | | return false;
|
| | | for(int i = 0; i < total; i++)
|
| | | if(FileWriteFloat(file_handle, rewards[i]) < sizeof(float))
|
| | | return false;
|
| | | //---
|
| | | total = ArraySize(latent);
|
| | | if(FileWriteInteger(file_handle, total) < sizeof(int))
|
| | | return false;
|
| | | for(int i = 0; i < total; i++)
|
| | | if(FileWriteFloat(file_handle, latent[i]) < sizeof(float))
|
| | | return false;
|
| | | //---
|
| | | return true;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | | //| |
|
| | | //+------------------------------------------------------------------+
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| | | //| | 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))
|
| | | return false;
|
| | | //---
|
| | | int total = FileReadInteger(file_handle);
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| | | if(total != ArraySize(state))
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| | | 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(rewards))
|
| | | return false;
|
| | | //---
|
| | | for(int i = 0; i < total; i++)
|
| | | {
|
| | | if(FileIsEnding(file_handle))
|
| | | return false;
|
| | | rewards[i] = FileReadFloat(file_handle);
|
| | | }
|
| | | //---
|
| | | total = FileReadInteger(file_handle);
|
| | | if(total != ArraySize(latent))
|
| | | return false;
|
| | | //---
|
| | | for(int i = 0; i < total; i++)
|
| | | {
|
| | | if(FileIsEnding(file_handle))
|
| | | return false;
|
| | | latent[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);
|
| | | void ClearFirstN(const int n);
|
| | | //---
|
| | | 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),
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| | | 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)
|
| | | {
|
| | | }
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| | | //+------------------------------------------------------------------+
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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(!CumCounted)
|
| | | CumRevards();
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| | | 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 | | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | //| | Creates and manages object lifecycle for ClearFirstN. |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | 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);
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| | | for(int i = Total; i < Buffer_Size; i++)
|
| | | States[i].Clear();
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
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 *agent, CArrayObj *latent, CArrayObj *world)
|
| | | {
|
| | | //---
|
| | | 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 = EmbeddingSize * (4 * HistoryBars + 1);
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!agent.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 1
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronMLMHSparseAttentionOCL;
|
| | | prev_count = descr.count = prev_count / EmbeddingSize;
|
| | | descr.window = EmbeddingSize;
|
| | | descr.step = 8;
|
| | | descr.window_out = 32;
|
| | | descr.layers = 4;
|
| | | descr.probability = Sparse;
|
| | | descr.optimization = ADAM;
|
| | | if(!agent.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 2
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronConvOCL;
|
| | | descr.count = prev_count;
|
| | | descr.window = EmbeddingSize;
|
| | | descr.step = EmbeddingSize;
|
| | | descr.window_out = 4;
|
| | | descr.optimization = ADAM;
|
| | | descr.activation = LReLU;
|
| | | if(!agent.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 3
|
| | | 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 4
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseOCL;
|
| | | prev_count = descr.count = LatentCount;
|
| | | descr.activation = TANH;
|
| | | descr.optimization = ADAM;
|
| | | if(!agent.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 5
|
| | | 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 6
|
| | | 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;
|
| | | }
|
| | | //--- Latent state
|
| | | if(!latent)
|
| | | {
|
| | | latent = new CArrayObj();
|
| | | if(!latent)
|
| | | return false;
|
| | | }
|
| | | //---
|
| | | latent.Clear();
|
| | | //--- Input layer
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseOCL;
|
| | | prev_count = descr.count = (BarDescr * NBarInPattern + AccountDescr + TimeDescription + NActions);
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!latent.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(!latent.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};
|
| | | ArrayCopy(descr.windows, temp);
|
| | | }
|
| | | uint prev_wout = descr.window_out = EmbeddingSize;
|
| | | if(!latent.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 3
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronMLMHSparseAttentionOCL;
|
| | | prev_count = descr.count = prev_count * 4;
|
| | | descr.window = prev_wout;
|
| | | descr.step = 8;
|
| | | descr.window_out = 32;
|
| | | descr.layers = 4;
|
| | | descr.probability = Sparse;
|
| | | descr.optimization = ADAM;
|
| | | if(!latent.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 4
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronConvOCL;
|
| | | descr.count = prev_count;
|
| | | descr.window = prev_wout;
|
| | | descr.step = prev_wout;
|
| | | descr.window_out = 4;
|
| | | descr.optimization = ADAM;
|
| | | descr.activation = LReLU;
|
| | | if(!latent.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 5
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseOCL;
|
| | | descr.count = LatentCount;
|
| | | descr.optimization = ADAM;
|
| | | descr.activation = LReLU;
|
| | | if(!latent.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 6
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseOCL;
|
| | | prev_count = descr.count = LatentCount;
|
| | | descr.activation = TANH;
|
| | | descr.optimization = ADAM;
|
| | | if(!latent.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 7
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseOCL;
|
| | | descr.count = LatentCount;
|
| | | descr.activation = LReLU;
|
| | | descr.optimization = ADAM;
|
| | | if(!latent.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 8
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseOCL;
|
| | | descr.count = 2 * EmbeddingSize;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!latent.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- World
|
| | | if(!world)
|
| | | {
|
| | | world = new CArrayObj();
|
| | | if(!world)
|
| | | return false;
|
| | | }
|
| | | //---
|
| | | world.Clear();
|
| | | //--- Input layer
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseOCL;
|
| | | prev_count = descr.count = 2 * EmbeddingSize;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!world.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 1
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronVAEOCL;
|
| | | prev_count = descr.count = prev_count / 2;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!world.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 2
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronConcatenate;
|
| | | descr.step = 4 * EmbeddingSize * HistoryBars;
|
| | | prev_count = descr.count = descr.step + prev_count;
|
| | | descr.activation = LReLU;
|
| | | descr.optimization = ADAM;
|
| | | if(!world.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 3
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronMLMHSparseAttentionOCL;
|
| | | prev_count = descr.count = prev_count / EmbeddingSize;
|
| | | descr.window = EmbeddingSize;
|
| | | descr.step = 8;
|
| | | descr.window_out = 32;
|
| | | descr.layers = 4;
|
| | | descr.probability = Sparse;
|
| | | descr.optimization = ADAM;
|
| | | if(!world.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 4
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronConvOCL;
|
| | | descr.count = prev_count;
|
| | | descr.window = prev_wout;
|
| | | descr.step = prev_wout;
|
| | | descr.window_out = 4;
|
| | | descr.optimization = ADAM;
|
| | | descr.activation = LReLU;
|
| | | if(!world.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 5
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseOCL;
|
| | | descr.count = LatentCount;
|
| | | descr.optimization = ADAM;
|
| | | descr.activation = LReLU;
|
| | | if(!world.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 6
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseOCL;
|
| | | prev_count = descr.count = LatentCount;
|
| | | descr.activation = TANH;
|
| | | descr.optimization = ADAM;
|
| | | if(!world.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 7
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseOCL;
|
| | | descr.count = LatentCount;
|
| | | descr.activation = LReLU;
|
| | | descr.optimization = ADAM;
|
| | | if(!world.Add(descr))
|
| | | {
|
| | | delete descr;
|
| | | return false;
|
| | | }
|
| | | //--- layer 8
|
| | | if(!(descr = new CLayerDescription()))
|
| | | return false;
|
| | | descr.type = defNeuronBaseOCL;
|
| | | descr.count = NRewards;
|
| | | descr.activation = None;
|
| | | descr.optimization = ADAM;
|
| | | if(!world.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 | | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | //| | Implements ForecastAccount. |
|
2026-06-05 22:00:59 +03:00 | | | //+------------------------------------------------------------------+
|
| | | vector<float> ForecastAccount(float &prev_account[], vector<float> &actions, double prof_1l, float time_label)
|
| | | {
|
| | | vector<float> account;
|
| | | double min_lot = SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_MIN);
|
| | | double step_lot = SymbolInfoDouble(_Symbol, SYMBOL_VOLUME_STEP);
|
| | | double stops = MathMax(SymbolInfoInteger(_Symbol, SYMBOL_TRADE_STOPS_LEVEL), 1) * Point();
|
| | | double margin_buy, margin_sell;
|
| | | if(!OrderCalcMargin(ORDER_TYPE_BUY, _Symbol, 1.0, SymbolInfoDouble(_Symbol, SYMBOL_ASK), margin_buy) ||
|
| | | !OrderCalcMargin(ORDER_TYPE_SELL, _Symbol, 1.0, SymbolInfoDouble(_Symbol, SYMBOL_BID), margin_sell))
|
| | | return vector<float>::Zeros(prev_account.Size());
|
| | | //---
|
| | | account.Assign(prev_account);
|
| | | //---
|
| | | if(actions[0] >= actions[3])
|
| | | {
|
| | | actions[0] -= actions[3];
|
| | | actions[3] = 0;
|
| | | if(actions[0]*margin_buy >= MathMin(account[0], account[1]))
|
| | | actions[0] = 0;
|
| | | }
|
| | | else
|
| | | {
|
| | | actions[3] -= actions[0];
|
| | | actions[0] = 0;
|
| | | if(actions[3]*margin_sell >= MathMin(account[0], account[1]))
|
| | | actions[3] = 0;
|
| | | }
|
| | | //--- buy control
|
| | | if(actions[0] < min_lot || (actions[1] * MaxTP * Point()) <= stops || (actions[2] * MaxSL * Point()) <= stops)
|
| | | {
|
| | | account[0] += account[4];
|
| | | account[2] = 0;
|
| | | account[4] = 0;
|
| | | }
|
| | | else
|
| | | {
|
| | | double buy_lot = min_lot + MathRound((double)(actions[0] - min_lot) / step_lot) * step_lot;
|
| | | if(account[2] > buy_lot)
|
| | | {
|
| | | float koef = (float)buy_lot / account[2];
|
| | | account[0] += account[4] * (1 - koef);
|
| | | account[4] *= koef;
|
| | | }
|
| | | account[2] = (float)buy_lot;
|
| | | account[4] += float(buy_lot * prof_1l);
|
| | | }
|
| | | //--- sell control
|
| | | if(actions[3] < min_lot || (actions[4] * MaxTP * Point()) <= stops || (actions[5] * MaxSL * Point()) <= stops)
|
| | | {
|
| | | account[0] += account[5];
|
| | | account[3] = 0;
|
| | | account[5] = 0;
|
| | | }
|
| | | else
|
| | | {
|
| | | double sell_lot = min_lot + MathRound((double)(actions[3] - min_lot) / step_lot) * step_lot;
|
| | | if(account[3] > sell_lot)
|
| | | {
|
| | | float koef = float(sell_lot / account[3]);
|
| | | account[0] += account[5] * (1 - koef);
|
| | | account[5] *= koef;
|
| | | }
|
| | | account[3] = float(sell_lot);
|
| | | account[5] -= float(sell_lot * prof_1l);
|
| | | }
|
| | | account[6] = account[4] + account[5];
|
| | | account[1] = account[0] + account[6];
|
| | | //---
|
| | | vector<float> result = vector<float>::Zeros(AccountDescr);
|
| | | result[0] = (account[0] - prev_account[0]) / prev_account[0];
|
| | | result[1] = account[1] / prev_account[0];
|
| | | result[2] = (account[1] - prev_account[1]) / prev_account[1];
|
| | | result[3] = account[2];
|
| | | result[4] = account[3];
|
| | | result[5] = account[4] / prev_account[0];
|
| | | result[6] = account[5] / prev_account[0];
|
| | | result[7] = account[6] / prev_account[0];
|
| | | double x = (double)time_label / (double)(D'2024.01.01' - D'2023.01.01');
|
| | | result[8] = (float)MathSin(2.0 * M_PI * x);
|
| | | x = (double)time_label / (double)PeriodSeconds(PERIOD_MN1);
|
| | | result[9] = (float)MathCos(2.0 * M_PI * x);
|
| | | x = (double)time_label / (double)PeriodSeconds(PERIOD_W1);
|
| | | result[10] = (float)MathSin(2.0 * M_PI * x);
|
| | | x = (double)time_label / (double)PeriodSeconds(PERIOD_D1);
|
| | | result[11] = (float)MathSin(2.0 * M_PI * x);
|
| | | //--- return result
|
| | | return result;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
2026-08-13 23:48:47 +03:00 | | |
|
