NN_in_Trading/Experts/Unsupervised/PCA/pca.mq5

//+------------------------------------------------------------------+
//| kmeans.mq5 |
//| Copyright 2021, 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 "pca.mqh"
#include <Trade\SymbolInfo.mqh>
#include <Indicators\Oscilators.mqh>
//+------------------------------------------------------------------+
//| Input parameters                                                 |
//+------------------------------------------------------------------+
input int                  StudyPeriod =  15;            //Study period, years
input uint                 HistoryBars =  20;            //Depth of history
ENUM_TIMEFRAMES            TimeFrame   =  PERIOD_CURRENT;
//---
input group                "---- RSI ----"
input int                  RSIPeriod   =  14;            //Period
input ENUM_APPLIED_PRICE   RSIPrice    =  PRICE_CLOSE;   //Applied price
//---
input group                "---- CCI ----"
input int                  CCIPeriod   =  14;            //Period
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
input ENUM_APPLIED_PRICE   MACDPrice   =  PRICE_CLOSE;   //Applied price
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
CSymbolInfo         *Symb;
MqlRates            Rates[];
CPCA                *PCA;
CArrayDouble        *TempData;
CiRSI               *RSI;
CiCCI               *CCI;
CiATR               *ATR;
CiMACD              *MACD;
//+------------------------------------------------------------------+
//| Expert initialization function                                   |
//+------------------------------------------------------------------+
int OnInit()
  {
//---
   Symb = new CSymbolInfo();
   if(CheckPointer(Symb) == POINTER_INVALID || !Symb.Name(_Symbol))
      return INIT_FAILED;
   Symb.Refresh();
//---
   RSI = new CiRSI();
   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();
   if(CheckPointer(MACD) == POINTER_INVALID || !MACD.Create(Symb.Name(), TimeFrame, FastPeriod, SlowPeriod, SignalPeriod, MACDPrice))
      return INIT_FAILED;
//---
   PCA = new CPCA();
   if(CheckPointer(PCA) == POINTER_INVALID)
      return INIT_FAILED;
//---
   bool    bEventStudy = EventChartCustom(ChartID(), 1, 0, 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(PCA) != POINTER_INVALID)
      delete PCA;
//---
  }
//+------------------------------------------------------------------+
//| Expert tick function                                             |
//+------------------------------------------------------------------+
void OnTick()
  {
//---
  }
//+------------------------------------------------------------------+
//| ChartEvent function                                              |
//+------------------------------------------------------------------+
void OnChartEvent(const int id,
                  const long &lparam,
                  const double &dparam,
                  const string &sparam)
  {
//---
   if(id == 1001)
      Train();
  }
//+------------------------------------------------------------------+
//|                                                                |
//+------------------------------------------------------------------+
//| | T ra in implementation.                                        |
//+------------------------------------------------------------------+
void Train(void)
  {
//---
   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);
//---
   int bars = CopyRates(Symb.Name(), TimeFrame, st_time, TimeCurrent(), Rates);
   if(!RSI.BufferResize(bars) || !CCI.BufferResize(bars) || !ATR.BufferResize(bars) || !MACD.BufferResize(bars))
      return;
   if(!ArraySetAsSeries(Rates, true))
      return;
//---
   RSI.Refresh();
   CCI.Refresh();
   ATR.Refresh();
   MACD.Refresh();
//---
   int total = bars - (int)HistoryBars;
   matrixf data;
   if(!data.Init(total, 8 * HistoryBars))
     {
      ExpertRemove();
      return;
     }
//---
   for(int i = 0; i < total; i++)
     {
      Comment(StringFormat("Create data: %d of %d", i, total));
      for(int b = 0; b < (int)HistoryBars; b++)
        {
         int bar = i + b;
         int shift = b * 8;
         double open = Rates[bar]
                       .open;
         data[i, shift] = float(open - Rates[bar].low);
         data[i, shift + 1] = float(Rates[bar].high - open);
         data[i, shift + 2] = float(Rates[bar].close - open);
         data[i, shift + 3] = float(RSI.GetData(MAIN_LINE, bar));
         data[i, shift + 4] = float(CCI.GetData(MAIN_LINE, bar));
         data[i, shift + 5] = float(ATR.GetData(MAIN_LINE, bar));
         data[i, shift + 6] = float(MACD.GetData(MAIN_LINE, bar));
         data[i, shift + 7] = float(MACD.GetData(SIGNAL_LINE, bar));
        }
     }
//---
   ResetLastError();
   if(!PCA.Study(data))
     {
      printf("Ошибка выполнения %d", GetLastError());
      return;
     }
   int handl = FileOpen("pca.net", FILE_WRITE | FILE_BIN);
   if(handl != INVALID_HANDLE)
     {
      PCA.Save(handl);
      FileClose(handl);
     }
//---
   Comment("");
   ExpertRemove();
  }
//+------------------------------------------------------------------+