2026-09-28 01:52:58 +03:00 | | | //+------------------------------------------------------------------+
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| | | //| pca_net.mq5 |
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| | | //| Copyright 2022, DNG |
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| | | //| https://www.mql5.com/ru/users/dng |
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| | | //+------------------------------------------------------------------+
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| | | #property copyright "Copyright 2022, 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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| | | //| Includes |
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| | | //+------------------------------------------------------------------+
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| | | #include "..\..\NeuroNet_DNG\NeuroNet.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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| | | #define FileName Symb.Name()+"_"+EnumToString((ENUM_TIMEFRAMES)Period())+"_"+StringSubstr(__FILE__,0,StringFind(__FILE__,".",0)-1)
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| | | #define CSV __FILE__+".csv"
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| | | //---
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| | | enum ENUM_SIGNAL
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| | | {
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| | | Sell = -1,
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| | | Undefine = 0,
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| | | Buy = 1
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| | | };
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| | | //+------------------------------------------------------------------+
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| | | //| input parameters |
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| | | //+------------------------------------------------------------------+
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| | | input int StudyPeriod = 15; //Study period, years
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| | | input uint HistoryBars = 40; //Depth of history
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| | | input ENUM_TIMEFRAMES TimeFrame = PERIOD_CURRENT;
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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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| | | //+------------------------------------------------------------------+
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| | | //| |
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| | | //+------------------------------------------------------------------+
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| | | CSymbolInfo *Symb;
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| | | MqlRates Rates[];
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| | | CBufferFloat *TempData;
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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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| | | CNet *Net;
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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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| | | //+------------------------------------------------------------------+
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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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| | | Symb = new CSymbolInfo();
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| | | if(CheckPointer(Symb) == POINTER_INVALID || !Symb.Name(_Symbol))
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| | | return INIT_FAILED;
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| | | Symb.Refresh();
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| | | //---
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| | | RSI = new CiRSI();
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| | | if(CheckPointer(RSI) == POINTER_INVALID || !RSI.Create(Symb.Name(), TimeFrame, RSIPeriod, RSIPrice))
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| | | return INIT_FAILED;
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| | | //---
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| | | CCI = new CiCCI();
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| | | if(CheckPointer(CCI) == POINTER_INVALID || !CCI.Create(Symb.Name(), TimeFrame, CCIPeriod, CCIPrice))
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| | | return INIT_FAILED;
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| | | //---
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| | | ATR = new CiATR();
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| | | if(CheckPointer(ATR) == POINTER_INVALID || !ATR.Create(Symb.Name(), TimeFrame, ATRPeriod))
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| | | return INIT_FAILED;
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| | | //---
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| | | MACD = new CiMACD();
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| | | if(CheckPointer(MACD) == POINTER_INVALID || !MACD.Create(Symb.Name(), TimeFrame, FastPeriod, SlowPeriod, SignalPeriod, MACDPrice))
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| | | return INIT_FAILED;
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| | | //---
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| | | Net = new CNet(NULL);
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| | | ResetLastError();
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| | | float temp1, temp2;
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| | | if(CheckPointer(Net) == POINTER_INVALID || !Net.Load(FileName + ".nnw", dError, temp1, temp2, dtStudied, false))
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| | | {
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| | | printf("%s - %d -> Error of read %s prev Net %d", __FUNCTION__, __LINE__, FileName + ".nnw", GetLastError());
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| | | return INIT_FAILED;
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| | | }
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| | | //---
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| | | TempData = new CBufferFloat();
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| | | if(CheckPointer(TempData) == POINTER_INVALID)
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| | | return INIT_FAILED;
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| | | //---
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| | | bEventStudy = EventChartCustom(ChartID(), 1, (long)MathMax(0, MathMin(iTime(Symb.Name(), PERIOD_CURRENT, (int)(100 * Net.recentAverageSmoothingFactor * 10)), dtStudied)), 0, "Init");
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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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| | | if(CheckPointer(Symb) != POINTER_INVALID)
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| | | delete Symb;
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| | | //---
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| | | if(CheckPointer(RSI) != POINTER_INVALID)
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| | | delete RSI;
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| | | //---
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| | | if(CheckPointer(CCI) != POINTER_INVALID)
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| | | delete CCI;
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| | | //---
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| | | if(CheckPointer(ATR) != POINTER_INVALID)
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| | | delete ATR;
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| | | //---
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| | | if(CheckPointer(MACD) != POINTER_INVALID)
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| | | delete MACD;
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| | | //---
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| | | if(CheckPointer(Net) != POINTER_INVALID)
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| | | delete Net;
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| | | //---
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| | | if(CheckPointer(TempData) != POINTER_INVALID)
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| | | delete TempData;
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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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| | | //---
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| | | if(!bEventStudy && (dtStudied < SeriesInfoInteger(Symb.Name(), TimeFrame, SERIES_LASTBAR_DATE)))
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| | | bEventStudy = EventChartCustom(ChartID(), 1, (long)0, 0, "New Bar");
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| | | //---
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| | | }
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| | | //+------------------------------------------------------------------+
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| | | //| Trade function |
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| | | //+------------------------------------------------------------------+
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| | | void OnTrade()
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| | | {
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| | | //---
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| | | }
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| | | //+------------------------------------------------------------------+
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| | | //| TradeTransaction function |
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| | | //+------------------------------------------------------------------+
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| | | void OnTradeTransaction(const MqlTradeTransaction& trans,
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| | | const MqlTradeRequest& request,
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| | | const MqlTradeResult& result)
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| | | {
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| | | //---
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| | | }
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| | | //+------------------------------------------------------------------+
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| | | //| ChartEvent function |
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| | | //+------------------------------------------------------------------+
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| | | void OnChartEvent(const int id,
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| | | const long &lparam,
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| | | const double &dparam,
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| | | const string &sparam)
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| | | {
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| | | //---
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| | | if(id == 1001)
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| | | {
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| | | Train(lparam);
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| | | bEventStudy = false;
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| | | OnTick();
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| | | }
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| | | }
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| | | //+------------------------------------------------------------------+
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| | | //| |
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| | | //+------------------------------------------------------------------+
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| | | void Train(datetime StartTrainBar = 0)
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| | | {
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| | | int count = 0;
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| | | //---
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| | | MqlDateTime start_time;
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| | | TimeCurrent(start_time);
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| | | start_time.year -= StudyPeriod;
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| | | if(start_time.year <= 0)
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| | | start_time.year = 1900;
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| | | datetime st_time = StructToTime(start_time);
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| | | dtStudied = MathMax(StartTrainBar, st_time);
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| | | ulong last_tick = 0;
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| | | //---
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| | | double prev_er = DBL_MAX;
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| | | datetime bar_time = 0;
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| | | bool stop = IsStopped();
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| | | int handle = FileOpen("VAE_latent.csv", FILE_WRITE | FILE_CSV);
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| | | //---
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| | | int bars = CopyRates(Symb.Name(), TimeFrame, st_time, TimeCurrent(), Rates);
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| | | prev_er = dError;
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| | | //---
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| | | if(!RSI.BufferResize(bars) || !CCI.BufferResize(bars) || !ATR.BufferResize(bars) || !MACD.BufferResize(bars))
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| | | {
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| | | ExpertRemove();
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| | | return;
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| | | }
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| | | if(!ArraySetAsSeries(Rates, true))
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| | | {
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| | | ExpertRemove();
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| | | return;
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| | | }
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| | | RSI.Refresh(OBJ_ALL_PERIODS);
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| | | CCI.Refresh(OBJ_ALL_PERIODS);
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| | | ATR.Refresh(OBJ_ALL_PERIODS);
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| | | MACD.Refresh(OBJ_ALL_PERIODS);
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| | | //---
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| | | int total = bars - (int)HistoryBars;
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| | | matrix data;
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| | | if(!data.Init(total, 12 * HistoryBars))
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| | | {
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| | | ExpertRemove();
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| | | return;
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| | | }
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| | | //---
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| | | MqlDateTime sTime;
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| | | for(int i = 0; i < total; i++)
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| | | {
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| | | Comment(StringFormat("Create data: %d of %d", i, total));
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| | | for(int b = 0; b < (int)HistoryBars; b++)
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| | | {
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| | | int bar = i + b;
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| | | int shift = b * 12;
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| | | double open = Rates[bar].open;
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| | | TimeToStruct(Rates[bar].time, sTime);
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| | | data[i, shift + 0] = open - Rates[bar].low;
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| | | data[i, shift + 1] = Rates[bar].high - open;
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| | | data[i, shift + 2] = Rates[bar].close - open;
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| | | data[i, shift + 3] = RSI.GetData(MAIN_LINE, bar);
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| | | data[i, shift + 4] = CCI.GetData(MAIN_LINE, bar);
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| | | data[i, shift + 5] = ATR.GetData(MAIN_LINE, bar);
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| | | data[i, shift + 6] = MACD.GetData(MAIN_LINE, bar);
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| | | data[i, shift + 7] = MACD.GetData(SIGNAL_LINE, bar);
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| | | data[i, shift + 8] = (double)Rates[bar].tick_volume / 1000.0;
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| | | data[i, shift + 9] = sTime.hour;
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| | | data[i, shift + 10] = sTime.day_of_week;
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| | | data[i, shift + 11] = sTime.mon;
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| | | }
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| | | }
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| | | //---
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| | | {
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| | | //---
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| | | stop = IsStopped();
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| | | bool add_loop = false;
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| | | for(int it = 0; it < 1000 && !stop; it++)
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| | | {
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| | | if((GetTickCount64() - last_tick) >= 250)
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| | | {
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| | | string com = StringFormat("Calculation -> %d of %d -> %.2f%%", it + 1, 1000, (double)(it + 1.0) / 1000 * 100);
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| | | Comment(com);
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| | | last_tick = GetTickCount64();
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| | | }
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| | | int i = (int)((MathRand() * MathRand() / MathPow(32767, 2)) * (total) + HistoryBars / 2);
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| | | TempData.Clear();
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| | | int r = i + (int)HistoryBars;
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| | | if(r > bars)
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| | | continue;
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| | | //---
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| | | for(int b = 0; b < (int)HistoryBars; b++)
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| | | {
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| | | int bar_t = r - b;
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| | | double open = Rates[bar_t].open;
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| | | TimeToStruct(Rates[bar_t].time, sTime);
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| | | float rsi = (float)RSI.Main(bar_t);
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| | | float cci = (float)CCI.Main(bar_t);
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| | | float atr = (float)ATR.Main(bar_t);
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| | | float macd = (float)MACD.Main(bar_t);
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| | | float sign = (float)MACD.Signal(bar_t);
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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(!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)) ||
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| | | !TempData.Add(sTime.hour) || !TempData.Add(sTime.day_of_week) || !TempData.Add(sTime.mon) ||
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| | | !TempData.Add(rsi) || !TempData.Add(cci) || !TempData.Add(atr) || !TempData.Add(macd) || !TempData.Add(sign))
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| | | break;
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| | | }
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| | | if(TempData.Total() < (int)HistoryBars * 12)
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| | | continue;
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| | | Net.feedForward(TempData, 12, true, (CBufferFloat*)NULL);
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| | | TempData.Clear();
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| | | if(!Net.GetLayerOutput(6, TempData))
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| | | break;
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| | | //---
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| | | bool sell = (Rates[i - 1].high <= Rates[i].high && Rates[i + 1].high < Rates[i].high);
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| | | bool buy = (Rates[i - 1].low >= Rates[i].low && Rates[i + 1].low > Rates[i].low);
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| | | if(buy && sell)
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| | | buy = sell = false;
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| | | //---
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| | | FileWrite(handle, (buy ? DoubleToString(TempData.At(0)) : " "), (buy ? DoubleToString(TempData.At(1)) : " "),
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| | | (sell ? DoubleToString(TempData.At(0)) : " "), (sell ? DoubleToString(TempData.At(1)) : " "),
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| | | (!(buy || sell) ? DoubleToString(TempData.At(0)) : " "),
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| | | (!(buy || sell) ? DoubleToString(TempData.At(1)) : " "));
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| | | stop = IsStopped();
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| | | }
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| | | }
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| | | //---
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| | | FileClose(handle);
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| | | Comment("");
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| | | ExpertRemove();
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| | | }
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| | | //+------------------------------------------------------------------+
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