2026-09-28 01:52:58 +03:00 | | | //+------------------------------------------------------------------+
|
| | | //| vaе_net.mq5 |
|
| | | //| Copyright 2022, DNG |
|
| | | //| https://www.mql5.com/ru/users/dng |
|
| | | //+------------------------------------------------------------------+
|
| | | #property copyright "Copyright 2022, DNG"
|
| | | #property link "https://www.mql5.com/ru/users/dng"
|
| | | #property version "1.00"
|
| | | //+------------------------------------------------------------------+
|
| | | //| Includes |
|
| | | //+------------------------------------------------------------------+
|
| | | #include "..\..\NeuroNet_DNG\NeuroNet.mqh"
|
| | | #include <Trade\SymbolInfo.mqh>
|
| | | #include <Indicators\Oscilators.mqh>
|
| | | //---
|
| | | #define FileName Symb.Name()+"_"+EnumToString((ENUM_TIMEFRAMES)Period())+"_"+StringSubstr(__FILE__,0,StringFind(__FILE__,".",0))
|
| | | #define CSV __FILE__+".csv"
|
| | | //---
|
| | | enum ENUM_SIGNAL
|
| | | {
|
| | | Sell = -1,
|
| | | Undefine = 0,
|
| | | Buy = 1
|
| | | };
|
| | | //+------------------------------------------------------------------+
|
| | | //| input parameters |
|
| | | //+------------------------------------------------------------------+
|
| | | input int StudyPeriod = 15; //Study period, years
|
| | | input uint HistoryBars = 40; //Depth of history
|
| | | input ENUM_TIMEFRAMES TimeFrame = PERIOD_CURRENT;
|
| | | //---
|
| | | input group "---- RSI ----"
|
| | | input int RSIPeriod = 14; //Period
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| | | input ENUM_APPLIED_PRICE RSIPrice = PRICE_CLOSE; //Applied price
|
| | | //---
|
| | | input group "---- CCI ----"
|
| | | input int CCIPeriod = 14; //Period
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| | | input ENUM_APPLIED_PRICE CCIPrice = PRICE_TYPICAL; //Applied price
|
| | | //---
|
| | | input group "---- ATR ----"
|
| | | input int ATRPeriod = 14; //Period
|
| | | //---
|
| | | input group "---- MACD ----"
|
| | | input int FastPeriod = 12; //Fast
|
| | | input int SlowPeriod = 26; //Slow
|
| | | input int SignalPeriod = 9; //Signal
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| | | input ENUM_APPLIED_PRICE MACDPrice = PRICE_CLOSE; //Applied price
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | CSymbolInfo *Symb;
|
| | | MqlRates Rates[];
|
| | | CBufferFloat *TempData;
|
| | | CiRSI *RSI;
|
| | | CiCCI *CCI;
|
| | | CiATR *ATR;
|
| | | CiMACD *MACD;
|
| | | CNet *Net;
|
| | | //---
|
| | | float dError;
|
| | | datetime dtStudied;
|
| | | bool bEventStudy;
|
| | | //+------------------------------------------------------------------+
|
| | | //| Expert initialization function |
|
| | | //+------------------------------------------------------------------+
|
| | | int OnInit()
|
| | | {
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| | | //---
|
| | | Symb = new CSymbolInfo();
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| | | if(CheckPointer(Symb) == POINTER_INVALID || !Symb.Name(_Symbol))
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| | | return INIT_FAILED;
|
| | | Symb.Refresh();
|
| | | //---
|
| | | RSI = new CiRSI();
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| | | if(CheckPointer(RSI) == POINTER_INVALID || !RSI.Create(Symb.Name(), TimeFrame, RSIPeriod, RSIPrice))
|
| | | return INIT_FAILED;
|
| | | //---
|
| | | CCI = new CiCCI();
|
| | | if(CheckPointer(CCI) == POINTER_INVALID || !CCI.Create(Symb.Name(), TimeFrame, CCIPeriod, CCIPrice))
|
| | | return INIT_FAILED;
|
| | | //---
|
| | | ATR = new CiATR();
|
| | | if(CheckPointer(ATR) == POINTER_INVALID || !ATR.Create(Symb.Name(), TimeFrame, ATRPeriod))
|
| | | return INIT_FAILED;
|
| | | //---
|
| | | MACD = new CiMACD();
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| | | if(CheckPointer(MACD) == POINTER_INVALID || !MACD.Create(Symb.Name(), TimeFrame, FastPeriod, SlowPeriod, SignalPeriod, MACDPrice))
|
| | | return INIT_FAILED;
|
| | | //---
|
| | | Net = new CNet(NULL);
|
| | | ResetLastError();
|
| | | float temp1, temp2;
|
| | | if(!Net || !Net.Load(FileName + ".nnw", dError, temp1, temp2, dtStudied, false))
|
| | | {
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| | | printf("%s - %d -> Error of read %s prev Net %d", __FUNCTION__, __LINE__, FileName + ".nnw", GetLastError());
|
| | | CArrayObj *Topology = new CArrayObj();
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| | | if(CheckPointer(Topology) == POINTER_INVALID)
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| | | return INIT_FAILED;
|
| | | //--- 0
|
| | | CLayerDescription *desc = new CLayerDescription();
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| | | if(CheckPointer(desc) == POINTER_INVALID)
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| | | return INIT_FAILED;
|
| | | uint prev = desc.count = (int)HistoryBars * 12;
|
| | | desc.type = defNeuronBaseOCL;
|
| | | desc.optimization = ADAM;
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| | | desc.activation = None;
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| | | if(!Topology.Add(desc))
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| | | return INIT_FAILED;
|
| | | //--- 1
|
| | | desc = new CLayerDescription();
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| | | if(CheckPointer(desc) == POINTER_INVALID)
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| | | return INIT_FAILED;
|
| | | desc.count = prev;
|
| | | desc.batch = 1000;
|
| | | desc.type = defNeuronBatchNormOCL;
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| | | desc.activation = None;
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| | | desc.optimization = ADAM;
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| | | if(!Topology.Add(desc))
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| | | return INIT_FAILED;
|
| | | //--- 2
|
| | | desc = new CLayerDescription();
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| | | if(CheckPointer(desc) == POINTER_INVALID)
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| | | return INIT_FAILED;
|
| | | prev = desc.count = (int)HistoryBars;
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| | | desc.type = defNeuronBaseOCL;
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| | | desc.activation = TANH;
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| | | desc.optimization = ADAM;
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| | | if(!Topology.Add(desc))
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| | | return INIT_FAILED;
|
| | | //--- 3
|
| | | desc = new CLayerDescription();
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| | | if(CheckPointer(desc) == POINTER_INVALID)
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| | | return INIT_FAILED;
|
| | | prev = desc.count = prev / 2;
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| | | desc.type = defNeuronBaseOCL;
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| | | desc.activation = TANH;
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| | | desc.optimization = ADAM;
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| | | if(!Topology.Add(desc))
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| | | return INIT_FAILED;
|
| | | //--- 4
|
| | | desc = new CLayerDescription();
|
| | | if(CheckPointer(desc) == POINTER_INVALID)
|
| | | return INIT_FAILED;
|
| | | prev = desc.count = prev / 2;
|
| | | desc.type = defNeuronBaseOCL;
|
| | | desc.activation = TANH;
|
| | | desc.optimization = ADAM;
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| | | if(!Topology.Add(desc))
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| | | return INIT_FAILED;
|
| | | //--- 5
|
| | | desc = new CLayerDescription();
|
| | | if(CheckPointer(desc) == POINTER_INVALID)
|
| | | return INIT_FAILED;
|
| | | desc.count = 4;
|
| | | desc.type = defNeuronBaseOCL;
|
| | | desc.activation = TANH;
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| | | desc.optimization = ADAM;
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| | | if(!Topology.Add(desc))
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| | | return INIT_FAILED;
|
| | | //--- 6
|
| | | desc = new CLayerDescription();
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| | | if(CheckPointer(desc) == POINTER_INVALID)
|
| | | return INIT_FAILED;
|
| | | desc.count = 2;
|
| | | desc.type = defNeuronVAEOCL;
|
| | | if(!Topology.Add(desc))
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| | | return INIT_FAILED;
|
| | | //--- 7
|
| | | desc = new CLayerDescription();
|
| | | if(CheckPointer(desc) == POINTER_INVALID)
|
| | | return INIT_FAILED;
|
| | | desc.count = (int) HistoryBars;
|
| | | desc.type = defNeuronBaseOCL;
|
| | | desc.activation = TANH;
|
| | | desc.optimization = ADAM;
|
| | | if(!Topology.Add(desc))
|
| | | return INIT_FAILED;
|
| | | //--- 8
|
| | | desc = new CLayerDescription();
|
| | | if(CheckPointer(desc) == POINTER_INVALID)
|
| | | return INIT_FAILED;
|
| | | desc.count = (int) HistoryBars * 2;
|
| | | desc.type = defNeuronBaseOCL;
|
| | | desc.activation = TANH;
|
| | | desc.optimization = ADAM;
|
| | | if(!Topology.Add(desc))
|
| | | return INIT_FAILED;
|
| | | //--- 9
|
| | | desc = new CLayerDescription();
|
| | | if(CheckPointer(desc) == POINTER_INVALID)
|
| | | return INIT_FAILED;
|
| | | desc.count = (int) HistoryBars * 4;
|
| | | desc.type = defNeuronBaseOCL;
|
| | | desc.activation = TANH;
|
| | | desc.optimization = ADAM;
|
| | | if(!Topology.Add(desc))
|
| | | return INIT_FAILED;
|
| | | //--- 10
|
| | | desc = new CLayerDescription();
|
| | | if(CheckPointer(desc) == POINTER_INVALID)
|
| | | return INIT_FAILED;
|
| | | desc.count = (int) HistoryBars * 12;
|
| | | desc.type = defNeuronBaseOCL;
|
| | | desc.activation = TANH;
|
| | | desc.optimization = ADAM;
|
| | | if(!Topology.Add(desc))
|
| | | return INIT_FAILED;
|
| | | delete Net;
|
| | | Net = new CNet(Topology);
|
| | | delete Topology;
|
| | | if(CheckPointer(Net) == POINTER_INVALID)
|
| | | return INIT_FAILED;
|
| | | dError = FLT_MAX;
|
| | | }
|
| | | //---
|
| | | TempData = new CBufferFloat();
|
| | | if(CheckPointer(TempData) == POINTER_INVALID)
|
| | | return INIT_FAILED;
|
| | | //---
|
| | | bEventStudy = EventChartCustom(ChartID(), 1, (long)MathMax(0, MathMin(iTime(Symb.Name(), PERIOD_CURRENT, (int)(100 * Net.recentAverageSmoothingFactor * 10)), dtStudied)), 0, "Init");
|
| | | //---
|
| | | return(INIT_SUCCEEDED);
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Expert deinitialization function |
|
| | | //+------------------------------------------------------------------+
|
| | | void OnDeinit(const int reason)
|
| | | {
|
| | | //---
|
| | | if(CheckPointer(Symb) != POINTER_INVALID)
|
| | | delete Symb;
|
| | | //---
|
| | | if(CheckPointer(RSI) != POINTER_INVALID)
|
| | | delete RSI;
|
| | | //---
|
| | | if(CheckPointer(CCI) != POINTER_INVALID)
|
| | | delete CCI;
|
| | | //---
|
| | | if(CheckPointer(ATR) != POINTER_INVALID)
|
| | | delete ATR;
|
| | | //---
|
| | | if(CheckPointer(MACD) != POINTER_INVALID)
|
| | | delete MACD;
|
| | | //---
|
| | | if(CheckPointer(Net) != POINTER_INVALID)
|
| | | delete Net;
|
| | | //---
|
| | | if(CheckPointer(TempData) != POINTER_INVALID)
|
| | | delete TempData;
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Expert tick function |
|
| | | //+------------------------------------------------------------------+
|
| | | void OnTick()
|
| | | {
|
| | | //---
|
| | | if(!bEventStudy && (dtStudied < SeriesInfoInteger(Symb.Name(), TimeFrame, SERIES_LASTBAR_DATE)))
|
| | | bEventStudy = EventChartCustom(ChartID(), 1, (long)0, 0, "New Bar");
|
| | | //---
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| Trade function |
|
| | | //+------------------------------------------------------------------+
|
| | | void OnTrade()
|
| | | {
|
| | | //---
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| TradeTransaction function |
|
| | | //+------------------------------------------------------------------+
|
| | | void OnTradeTransaction(const MqlTradeTransaction& trans,
|
| | | const MqlTradeRequest& request,
|
| | | const MqlTradeResult& result)
|
| | | {
|
| | | //---
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| ChartEvent function |
|
| | | //+------------------------------------------------------------------+
|
| | | void OnChartEvent(const int id,
|
| | | const long &lparam,
|
| | | const double &dparam,
|
| | | const string &sparam)
|
| | | {
|
| | | //---
|
| | | if(id == 1001)
|
| | | {
|
| | | Train(lparam);
|
| | | bEventStudy = false;
|
| | | OnTick();
|
| | | }
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
| | | //| |
|
| | | //+------------------------------------------------------------------+
|
| | | void Train(datetime StartTrainBar = 0)
|
| | | {
|
| | | int count = 0;
|
| | | //---
|
| | | MqlDateTime start_time;
|
| | | TimeCurrent(start_time);
|
| | | start_time.year -= StudyPeriod;
|
| | | if(start_time.year <= 0)
|
| | | start_time.year = 1900;
|
| | | datetime st_time = StructToTime(start_time);
|
| | | dtStudied = MathMax(StartTrainBar, st_time);
|
| | | ulong last_tick = 0;
|
| | | //---
|
| | | double prev_er = DBL_MAX;
|
| | | datetime bar_time = 0;
|
| | | bool stop = IsStopped();
|
| | | CArrayDouble *loss = new CArrayDouble();
|
| | | MqlDateTime sTime;
|
| | | //---
|
| | | int bars = CopyRates(Symb.Name(), TimeFrame, st_time, TimeCurrent(), Rates);
|
| | | prev_er = dError;
|
| | | //---
|
| | | if(!RSI.BufferResize(bars) || !CCI.BufferResize(bars) || !ATR.BufferResize(bars) || !MACD.BufferResize(bars))
|
| | | {
|
| | | ExpertRemove();
|
| | | return;
|
| | | }
|
| | | if(!ArraySetAsSeries(Rates, true))
|
| | | {
|
| | | ExpertRemove();
|
| | | return;
|
| | | }
|
| | | RSI.Refresh(OBJ_ALL_PERIODS);
|
| | | CCI.Refresh(OBJ_ALL_PERIODS);
|
| | | ATR.Refresh(OBJ_ALL_PERIODS);
|
| | | MACD.Refresh(OBJ_ALL_PERIODS);
|
| | | //---
|
| | | int total = (int)(bars - MathMax(HistoryBars, 0));
|
| | | do
|
| | | {
|
| | | //---
|
| | | stop = IsStopped();
|
| | | prev_er = dError;
|
| | | for(int it = total - 1; it >= 0 && !stop; it--)
|
| | | {
|
| | | int i = (int)((MathRand() * MathRand() / MathPow(32767, 2)) * (total));
|
| | | if((GetTickCount64() - last_tick) >= 250)
|
| | | {
|
| | | string com = StringFormat("Study -> Era %d -> %.6f\n %d of %d -> %.2f%% \nError %.5f", count, prev_er, bars - it + 1, bars, (double)(bars - it + 1.0) / bars * 100, Net.getRecentAverageError());
|
| | | Comment(com);
|
| | | last_tick = GetTickCount64();
|
| | | }
|
| | | TempData.Clear();
|
| | | int r = i + (int)HistoryBars;
|
| | | if(r > bars)
|
| | | continue;
|
| | | //---
|
| | | for(int b = 0; b < (int)HistoryBars; b++)
|
| | | {
|
| | | int bar_t = r - b;
|
| | | double open = Rates[bar_t].open;
|
| | | TimeToStruct(Rates[bar_t].time, sTime);
|
| | | float rsi = (float)RSI.Main(bar_t);
|
| | | float cci = (float)CCI.Main(bar_t);
|
| | | float atr = (float)ATR.Main(bar_t);
|
| | | float macd = (float)MACD.Main(bar_t);
|
| | | float sign = (float)MACD.Signal(bar_t);
|
| | | if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
|
| | | continue;
|
| | | //---
|
| | | if(!TempData.Add((float)(Rates[bar_t].close - open)) || !TempData.Add((float)(Rates[bar_t].high - open)) || !TempData.Add((float)(Rates[bar_t].low - open)) || !TempData.Add((float)(Rates[bar_t].tick_volume / 1000.0)) ||
|
| | | !TempData.Add(sTime.hour) || !TempData.Add(sTime.day_of_week) || !TempData.Add(sTime.mon) ||
|
| | | !TempData.Add(rsi) || !TempData.Add(cci) || !TempData.Add(atr) || !TempData.Add(macd) || !TempData.Add(sign))
|
| | | break;
|
| | | }
|
| | | if(TempData.Total() < (int)HistoryBars * 12)
|
| | | continue;
|
| | | Net.feedForward(TempData, 12, true, (CBufferFloat*)NULL);
|
| | | TempData.Clear();
|
| | | if(!Net.GetLayerOutput(1, TempData))
|
| | | break;
|
| | | Net.backProp(TempData, NULL, NULL);
|
| | | stop = IsStopped();
|
| | | }
|
| | | if(!stop)
|
| | | {
|
| | | dError = Net.getRecentAverageError();
|
| | | Net.Save(FileName + ".nnw", dError, 0, 0, dtStudied, false);
|
| | | printf("Era %d -> error %.5f %%", count, dError);
|
| | | loss.Add(dError);
|
| | | count++;
|
| | | }
|
| | | }
|
| | | while(!(dError < 0.01 && (prev_er - dError) < 0.01) && !stop);
|
| | | //---
|
| | | Comment("Write dinamic of error");
|
| | | int handle = FileOpen("ae_loss.csv", FILE_WRITE | FILE_CSV | FILE_ANSI, ",", CP_UTF8);
|
| | | if(handle == INVALID_HANDLE)
|
| | | {
|
| | | PrintFormat("Error of open loss file: %d", GetLastError());
|
| | | delete loss;
|
| | | return;
|
| | | }
|
| | | for(int i = 0; i < loss.Total(); i++)
|
| | | if(FileWrite(handle, loss.At(i)) <= 0)
|
| | | break;
|
| | | FileClose(handle);
|
| | | PrintFormat("The dynamics of the error change is saved to a file %s\\%s",
|
| | | TerminalInfoString(TERMINAL_DATA_PATH), "ae_loss.csv");
|
| | | delete loss;
|
| | | Comment("");
|
| | | ExpertRemove();
|
| | | }
|
| | | //+------------------------------------------------------------------+
|
