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 "AssocRules.mqh"
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| | | #include "..\\PCA\\pca.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))
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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 = 20; //Depth of history
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| | | 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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| | | CArrayDouble *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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| | | CAssocRules *Rules;
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| | | CPCA *PCA;
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| | | //---
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| | | double dError;
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| | | double dUndefine;
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| | | double dForecast;
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| | | double dPrevSignal;
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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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| | | Rules = new CAssocRules();
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| | | if(!Rules)
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| | | return INIT_FAILED;
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| | | //---
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| | | PCA = new CPCA();
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| | | if(CheckPointer(PCA) == POINTER_INVALID)
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| | | return INIT_FAILED;
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| | | int handl = FileOpen("pca.net", FILE_READ | FILE_BIN);
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| | | if(handl == INVALID_HANDLE)
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| | | return INIT_FAILED;
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| | | if(!PCA.Load(handl))
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| | | {
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| | | FileClose(handl);
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| | | return INVALID_HANDLE;
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| | | }
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| | | FileClose(handl);
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| | | //---
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| | | bEventStudy = EventChartCustom(ChartID(), 1, 0, 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(Rules) != POINTER_INVALID)
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| | | delete Rules;
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| | | //---
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| | | if(CheckPointer(PCA) != POINTER_INVALID)
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| | | delete PCA;
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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 && (dPrevSignal == -2 || 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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| | | //---
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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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| | | //---
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| | | int bars = CopyRates(Symb.Name(), TimeFrame, st_time, TimeCurrent(), Rates);
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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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| | | //---
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| | | RSI.Refresh();
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| | | CCI.Refresh();
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| | | ATR.Refresh();
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| | | MACD.Refresh();
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| | | //---
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| | | int total = bars - (int)HistoryBars - 1;
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| | | matrixf fractals;
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| | | matrixf data;
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| | | if(!data.Init(total, 8 * HistoryBars) ||
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| | | !fractals.Init(total, 3))
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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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| | | for(int i = 0; (i < total && !IsStopped()); 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 * 8;
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| | | double open = Rates[bar].open;
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| | | data[i, shift] = (float)(open - Rates[bar].low);
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| | | data[i, shift + 1] = (float)(Rates[bar].high - open);
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| | | data[i, shift + 2] = (float)(Rates[bar].close - open);
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| | | data[i, shift + 3] = (float)RSI.GetData(MAIN_LINE, bar);
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| | | data[i, shift + 4] = (float)CCI.GetData(MAIN_LINE, bar);
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| | | data[i, shift + 5] = (float)ATR.GetData(MAIN_LINE, bar);
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| | | data[i, shift + 6] = (float)MACD.GetData(MAIN_LINE, bar);
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| | | data[i, shift + 7] = (float)MACD.GetData(SIGNAL_LINE, bar);
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| | | }
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| | | int bar = i + 1;
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| | | fractals[i, 0] = (float)(Rates[bar - 1].high <= Rates[bar].high && Rates[bar + 1].high < Rates[bar].high);
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| | | fractals[i, 1] = (float)(Rates[bar - 1].low >= Rates[bar].low && Rates[bar + 1].low > Rates[bar].low);
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| | | fractals[i, 2] = (float)((fractals[i, 0] + fractals[i, 1]) == 0);
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| | | }
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| | | if(IsStopped())
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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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| | | data=PCA.ReduceM(data);
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| | | //---
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| | | ulong array[] = {300};
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| | | matrixf ar_data[], ar_fractals[];
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| | | data.Hsplit(array, ar_data);
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| | | fractals.Hsplit(array, ar_fractals);
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| | | //---
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| | | Rules.CreateRules(ar_data[1], ar_fractals[1].Col(0), ar_fractals[1].Col(1), 5, 0.05f, 0.50f);
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| | | float buy_prob, sell_prob;
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| | | for(ulong i = 0; i < ar_data[0].Rows(); i++)
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| | | {
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| | | if(!Rules.Probability(ar_data[0].Row(i), buy_prob, sell_prob))
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| | | return;
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| | | if(DoubleToSignal(buy_prob - sell_prob) == Undefine)
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| | | DeleteObject(Rates[i].time);
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| | | else
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| | | DrawObject(Rates[i].time, (buy_prob - sell_prob), Rates[i].high, Rates[i].low);
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| | | }
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| | | Comment("");
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| | | //---
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| | | ExpertRemove();
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| | | }
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| | | //+------------------------------------------------------------------+
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| | | //| |
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| | | //+------------------------------------------------------------------+
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| | | ENUM_SIGNAL DoubleToSignal(double value)
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| | | {
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| | | value = NormalizeDouble(value, 1);
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| | | if(MathAbs(value) > 1 || MathAbs(value) <= 0)
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| | | return Undefine;
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| | | if(value > 0)
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| | | return Buy;
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| | | else
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| | | return Sell;
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| | | //---
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| | | return Undefine;
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| | | }
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| | | //+------------------------------------------------------------------+
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| | | //| |
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| | | //+------------------------------------------------------------------+
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| | | void DrawObject(datetime time, double signal, double high, double low)
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| | | {
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| | | double price = 0;
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| | | int arrow = 0;
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| | | color clr = 0;
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| | | ENUM_ARROW_ANCHOR anch = ANCHOR_BOTTOM;
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| | | switch(DoubleToSignal(signal))
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| | | {
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| | | case Buy:
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| | | price = low;
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| | | arrow = 217;
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| | | clr = clrBlue;
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| | | anch = ANCHOR_TOP;
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| | | break;
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| | | case Sell:
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| | | price = high;
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| | | arrow = 218;
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| | | clr = clrRed;
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| | | anch = ANCHOR_BOTTOM;
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| | | break;
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| | | }
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| | | if(price == 0 || arrow == 0)
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| | | return;
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| | | //---
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| | | string name = TimeToString(time);
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| | | if(ObjectFind(0, name) < 0)
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| | | {
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| | | ResetLastError();
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| | | if(!ObjectCreate(0, name, OBJ_ARROW, 0, time, 0))
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| | | {
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| | | printf("Error of creating object %d", GetLastError());
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| | | return;
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| | | }
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| | | }
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| | | //---
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| | | ObjectSetDouble(0, name, OBJPROP_PRICE, price);
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| | | ObjectSetInteger(0, name, OBJPROP_ARROWCODE, arrow);
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| | | ObjectSetInteger(0, name, OBJPROP_COLOR, clr);
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| | | ObjectSetInteger(0, name, OBJPROP_ANCHOR, anch);
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| | | ObjectSetString(0, name, OBJPROP_TOOLTIP, EnumToString(DoubleToSignal(signal)) + " " + DoubleToString(signal, 5));
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| | | }
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| | | //+------------------------------------------------------------------+
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| | | //| |
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| | | //+------------------------------------------------------------------+
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| | | void DeleteObject(datetime time)
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| | | {
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| | | string name = TimeToString(time);
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| | | if(ObjectFind(0, name) >= 0)
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| | | ObjectDelete(0, name);
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| | | }
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| | | //+------------------------------------------------------------------+
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