| //+------------------------------------------------------------------+
|
| //| Research.mq5 |
|
| //| Copyright DNG® |
|
| //| https://www.mql5.com/ru/users/dng |
|
| //+------------------------------------------------------------------+
|
| #property copyright "Copyright DNG®"
|
| #property link "https://www.mql5.com/ru/users/dng"
|
| #property version "1.00"
|
| //+------------------------------------------------------------------+
|
| //| Includes |
|
| //+------------------------------------------------------------------+
|
| #include "Trajectory.mqh"
|
| #include <Trade\Trade.mqh>
|
| #include <Trade\SymbolInfo.mqh>
|
| #include <Indicators\Oscilators.mqh>
|
| //+------------------------------------------------------------------+
|
| //| Input parameters |
|
| //+------------------------------------------------------------------+
|
| input ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
|
| input double MinProfit = 10;
|
| //---
|
| 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
|
| input int Agent = 1;
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| SState sState;
|
| STrajectory Base;
|
| STrajectory Buffer[];
|
| STrajectory Frame[1];
|
| CNet Autobot;
|
| CNet StateEncoder;
|
| CNet Actor;
|
| CNet Goal;
|
| //---
|
| float dError;
|
| datetime dtStudied;
|
| //---
|
| CSymbolInfo Symb;
|
| CTrade Trade;
|
| //---
|
| MqlRates Rates[];
|
| CiRSI RSI;
|
| CiCCI CCI;
|
| CiATR ATR;
|
| CiMACD MACD;
|
| //---
|
| CBufferFloat bState;
|
| CBufferFloat bOnes;
|
| CBufferFloat bAccount;
|
| CBufferFloat *Result;
|
| vector<float> check;
|
| double PrevBalance = 0;
|
| double PrevEquity = 0;
|
| //+------------------------------------------------------------------+
|
| //| Expert initialization function |
|
| //+------------------------------------------------------------------+
|
| int OnInit()
|
| {
|
| //---
|
| if(!Symb.Name(_Symbol))
|
| return INIT_FAILED;
|
| Symb.Refresh();
|
| //---
|
| if(!RSI.Create(Symb.Name(), TimeFrame, RSIPeriod, RSIPrice))
|
| return INIT_FAILED;
|
| //---
|
| if(!CCI.Create(Symb.Name(), TimeFrame, CCIPeriod, CCIPrice))
|
| return INIT_FAILED;
|
| //---
|
| if(!ATR.Create(Symb.Name(), TimeFrame, ATRPeriod))
|
| return INIT_FAILED;
|
| //---
|
| if(!MACD.Create(Symb.Name(), TimeFrame, FastPeriod, SlowPeriod, SignalPeriod, MACDPrice))
|
| return INIT_FAILED;
|
| if(!RSI.BufferResize(HistoryBars) || !CCI.BufferResize(HistoryBars) ||
|
| !ATR.BufferResize(HistoryBars) || !MACD.BufferResize(HistoryBars))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| return INIT_FAILED;
|
| }
|
| //---
|
| if(!Trade.SetTypeFillingBySymbol(Symb.Name()))
|
| return INIT_FAILED;
|
| //--- load models
|
| float temp;
|
| if(!Autobot.Load(FileName + "Traj.nnw", temp, temp, temp, dtStudied, true))
|
| {
|
| CArrayObj *autobot = new CArrayObj();
|
| if(!CreateTrajNetDescriptions(autobot))
|
| {
|
| delete autobot;
|
| return INIT_FAILED;
|
| }
|
| if(!Autobot.Create(autobot))
|
| {
|
| delete autobot;
|
| return INIT_FAILED;
|
| }
|
| delete autobot;
|
| //---
|
| }
|
| if(!StateEncoder.Load(FileName + "StEnc.nnw", temp, temp, temp, dtStudied, true) ||
|
| !Goal.Load(FileName + "Goal.nnw", temp, temp, temp, dtStudied, true) ||
|
| !Actor.Load(FileName + "Act.nnw", temp, temp, temp, dtStudied, true))
|
| {
|
| CArrayObj *actor = new CArrayObj();
|
| CArrayObj *goal = new CArrayObj();
|
| CArrayObj *encoder = new CArrayObj();
|
| if(!CreateDescriptions(actor, goal, encoder))
|
| {
|
| delete actor;
|
| delete goal;
|
| delete encoder;
|
| return INIT_FAILED;
|
| }
|
| if(!Actor.Create(actor) || !StateEncoder.Create(encoder) || !Goal.Create(goal))
|
| {
|
| delete actor;
|
| delete goal;
|
| delete encoder;
|
| return INIT_FAILED;
|
| }
|
| delete actor;
|
| delete goal;
|
| delete encoder;
|
| //---
|
| }
|
| //---
|
| StateEncoder.SetOpenCL(Actor.GetOpenCL());
|
| Autobot.SetOpenCL(Actor.GetOpenCL());
|
| Goal.SetOpenCL(Actor.GetOpenCL());
|
| Autobot.TrainMode(false);
|
| //---
|
| Actor.getResults(Result);
|
| if(Result.Total() != NActions)
|
| {
|
| PrintFormat("The scope of the actor does not match the actions count (%d <> %d)", NActions, Result.Total());
|
| return INIT_FAILED;
|
| }
|
| //---
|
| Autobot.getResults(Result);
|
| if(Result.Total() != PrecoderBars * 3)
|
| {
|
| PrintFormat("The scope of the Autobot does not match precoder bars (%d <> %d)", PrecoderBars * 3, Result.Total());
|
| return INIT_FAILED;
|
| }
|
| //---
|
| Autobot.GetLayerOutput(0, Result);
|
| if(Result.Total() != (HistoryBars * BarDescr))
|
| {
|
| PrintFormat("Input size of Autobot doesn't match state description (%d <> %d)", Result.Total(), (HistoryBars * BarDescr));
|
| return INIT_FAILED;
|
| }
|
| //---
|
| StateEncoder.GetLayerOutput(0, Result);
|
| if(Result.Total() != PrecoderBars * 3)
|
| {
|
| PrintFormat("Input size of State Encoder doesn't match precoder bars (%d <> %d)", Result.Total(), PrecoderBars * 3);
|
| return INIT_FAILED;
|
| }
|
| //---
|
| StateEncoder.getResults(Result);
|
| int latent_state = Result.Total();
|
| Actor.GetLayerOutput(0, Result);
|
| if(Result.Total() != latent_state)
|
| {
|
| PrintFormat("Input size of Actor doesn't match output State Encoder (%d <> %d)", Result.Total(), latent_state);
|
| return INIT_FAILED;
|
| }
|
| //---
|
| Goal.GetLayerOutput(0, Result);
|
| latent_state = Result.Total();
|
| Autobot.getResults(Result);
|
| if(Result.Total() != latent_state)
|
| {
|
| PrintFormat("Input size of Goal doesn't match output Autobot (%d <> %d)", Result.Total(), latent_state);
|
| return INIT_FAILED;
|
| }
|
| //---
|
| Goal.getResults(Result);
|
| if(Result.Total() != NRewards)
|
| {
|
| PrintFormat("The scope of Goal doesn't match rewards count (%d <> %d)", Result.Total(), NRewards);
|
| return INIT_FAILED;
|
| }
|
| //---
|
| if(!bOnes.BufferInit(EmbeddingSize, 1) ||
|
| !bOnes.BufferCreate(Autobot.GetOpenCL()))
|
| {
|
| PrintFormat("Error of create buffers: %d", GetLastError());
|
| return INIT_FAILED;
|
| }
|
| //---
|
| PrevBalance = AccountInfoDouble(ACCOUNT_BALANCE);
|
| PrevEquity = AccountInfoDouble(ACCOUNT_EQUITY);
|
| //---
|
| return(INIT_SUCCEEDED);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Expert deinitialization function |
|
| //+------------------------------------------------------------------+
|
| void OnDeinit(const int reason)
|
| {
|
| //---
|
| delete Result;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Expert tick function |
|
| //+------------------------------------------------------------------+
|
| void OnTick()
|
| {
|
| //---
|
| if(!IsNewBar())
|
| return;
|
| //---
|
| int bars = CopyRates(Symb.Name(), TimeFrame, iTime(Symb.Name(), TimeFrame, 1), HistoryBars, Rates);
|
| if(!ArraySetAsSeries(Rates, true))
|
| return;
|
| //---
|
| RSI.Refresh();
|
| CCI.Refresh();
|
| ATR.Refresh();
|
| MACD.Refresh();
|
| Symb.Refresh();
|
| Symb.RefreshRates();
|
| //---
|
| float atr = 0;
|
| for(int b = 0; b < (int)HistoryBars; b++)
|
| {
|
| float open = (float)Rates[b].open;
|
| float rsi = (float)RSI.Main(b);
|
| float cci = (float)CCI.Main(b);
|
| atr = (float)ATR.Main(b);
|
| float macd = (float)MACD.Main(b);
|
| float sign = (float)MACD.Signal(b);
|
| if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
|
| continue;
|
| //---
|
| int shift = b * BarDescr;
|
| sState.state[shift] = (float)(Rates[b].close - open);
|
| sState.state[shift + 1] = (float)(Rates[b].high - open);
|
| sState.state[shift + 2] = (float)(Rates[b].low - open);
|
| sState.state[shift + 3] = (float)(Rates[b].tick_volume / 1000.0f);
|
| sState.state[shift + 4] = rsi;
|
| sState.state[shift + 5] = cci;
|
| sState.state[shift + 6] = atr;
|
| sState.state[shift + 7] = macd;
|
| sState.state[shift + 8] = sign;
|
| }
|
| bState.AssignArray(sState.state);
|
| //---
|
| sState.account[0] = (float)AccountInfoDouble(ACCOUNT_BALANCE);
|
| sState.account[1] = (float)AccountInfoDouble(ACCOUNT_EQUITY);
|
| //---
|
| double buy_value = 0, sell_value = 0, buy_profit = 0, sell_profit = 0;
|
| double position_discount = 0;
|
| double multiplyer = 1.0 / (60.0 * 60.0 * 10.0);
|
| int total = PositionsTotal();
|
| datetime current = TimeCurrent();
|
| for(int i = 0; i < total; i++)
|
| {
|
| if(PositionGetSymbol(i) != Symb.Name())
|
| continue;
|
| double profit = PositionGetDouble(POSITION_PROFIT);
|
| switch((int)PositionGetInteger(POSITION_TYPE))
|
| {
|
| case POSITION_TYPE_BUY:
|
| buy_value += PositionGetDouble(POSITION_VOLUME);
|
| buy_profit += profit;
|
| break;
|
| case POSITION_TYPE_SELL:
|
| sell_value += PositionGetDouble(POSITION_VOLUME);
|
| sell_profit += profit;
|
| break;
|
| }
|
| position_discount += profit - (current - PositionGetInteger(POSITION_TIME)) * multiplyer * MathAbs(profit);
|
| }
|
| sState.account[2] = (float)buy_value;
|
| sState.account[3] = (float)sell_value;
|
| sState.account[4] = (float)buy_profit;
|
| sState.account[5] = (float)sell_profit;
|
| sState.account[6] = (float)position_discount;
|
| sState.account[7] = (float)Rates[0].time;
|
| //---
|
| bAccount.Clear();
|
| bAccount.Add((float)((sState.account[0] - PrevBalance) / PrevBalance));
|
| bAccount.Add((float)(sState.account[1] / PrevBalance));
|
| bAccount.Add((float)((sState.account[1] - PrevEquity) / PrevEquity));
|
| bAccount.Add(sState.account[2]);
|
| bAccount.Add(sState.account[3]);
|
| bAccount.Add((float)(sState.account[4] / PrevBalance));
|
| bAccount.Add((float)(sState.account[5] / PrevBalance));
|
| bAccount.Add((float)(sState.account[6] / PrevBalance));
|
| double x = (double)Rates[0].time / (double)(D'2024.01.01' - D'2023.01.01');
|
| bAccount.Add((float)MathSin(2.0 * M_PI * x));
|
| x = (double)Rates[0].time / (double)PeriodSeconds(PERIOD_MN1);
|
| bAccount.Add((float)MathCos(2.0 * M_PI * x));
|
| x = (double)Rates[0].time / (double)PeriodSeconds(PERIOD_W1);
|
| bAccount.Add((float)MathSin(2.0 * M_PI * x));
|
| x = (double)Rates[0].time / (double)PeriodSeconds(PERIOD_D1);
|
| bAccount.Add((float)MathSin(2.0 * M_PI * x));
|
| //---
|
| if(bAccount.GetIndex() >= 0)
|
| if(!bAccount.BufferWrite())
|
| return;
|
| //---
|
| if(!Autobot.feedForward((CBufferFloat*)GetPointer(bState), 1, false, (CBufferFloat*)GetPointer(bOnes)) ||
|
| !StateEncoder.feedForward((CNet *)GetPointer(Autobot), -1, (CBufferFloat *)GetPointer(bAccount)) ||
|
| !Goal.feedForward((CNet *)GetPointer(Autobot), -1, (CBufferFloat *)NULL) ||
|
| !Actor.feedForward((CNet *)GetPointer(StateEncoder), -1, (CNet *)GetPointer(Goal)))
|
| return;
|
| //---
|
| PrevBalance = sState.account[0];
|
| PrevEquity = sState.account[1];
|
| //---
|
| vector<float> temp;
|
| Actor.getResults(temp);
|
| if(temp.Size() < NActions)
|
| temp = vector<float>::Zeros(NActions);
|
| //---
|
| double min_lot = Symb.LotsMin();
|
| double step_lot = Symb.LotsStep();
|
| double stops = MathMax(Symb.StopsLevel(), 1) * Symb.Point();
|
| if(temp[0] >= temp[3])
|
| {
|
| temp[0] -= temp[3];
|
| temp[3] = 0;
|
| }
|
| else
|
| {
|
| temp[3] -= temp[0];
|
| temp[0] = 0;
|
| }
|
| //--- buy control
|
| if(temp[0] < min_lot || (temp[1] * MaxTP * Symb.Point()) <= stops || (temp[2] * MaxSL * Symb.Point()) <= stops)
|
| {
|
| if(buy_value > 0)
|
| CloseByDirection(POSITION_TYPE_BUY);
|
| }
|
| else
|
| {
|
| double buy_lot = min_lot + MathRound((double)(temp[0] - min_lot) / step_lot) * step_lot;
|
| double buy_tp = NormalizeDouble(Symb.Ask() + temp[1] * MaxTP * Symb.Point(), Symb.Digits());
|
| double buy_sl = NormalizeDouble(Symb.Ask() - temp[2] * MaxSL * Symb.Point(), Symb.Digits());
|
| if(buy_value > 0)
|
| TrailPosition(POSITION_TYPE_BUY, buy_sl, buy_tp);
|
| if(buy_value != buy_lot)
|
| {
|
| if(buy_value > buy_lot)
|
| ClosePartial(POSITION_TYPE_BUY, buy_value - buy_lot);
|
| else
|
| Trade.Buy(buy_lot - buy_value, Symb.Name(), Symb.Ask(), buy_sl, buy_tp);
|
| }
|
| }
|
| //--- sell control
|
| if(temp[3] < min_lot || (temp[4] * MaxTP * Symb.Point()) <= stops || (temp[5] * MaxSL * Symb.Point()) <= stops)
|
| {
|
| if(sell_value > 0)
|
| CloseByDirection(POSITION_TYPE_SELL);
|
| }
|
| else
|
| {
|
| double sell_lot = min_lot + MathRound((double)(temp[3] - min_lot) / step_lot) * step_lot;;
|
| double sell_tp = NormalizeDouble(Symb.Bid() - temp[4] * MaxTP * Symb.Point(), Symb.Digits());
|
| double sell_sl = NormalizeDouble(Symb.Bid() + temp[5] * MaxSL * Symb.Point(), Symb.Digits());
|
| if(sell_value > 0)
|
| TrailPosition(POSITION_TYPE_SELL, sell_sl, sell_tp);
|
| if(sell_value != sell_lot)
|
| {
|
| if(sell_value > sell_lot)
|
| ClosePartial(POSITION_TYPE_SELL, sell_value - sell_lot);
|
| else
|
| Trade.Sell(sell_lot - sell_value, Symb.Name(), Symb.Bid(), sell_sl, sell_tp);
|
| }
|
| }
|
| //---
|
| sState.rewards[0] = bAccount[0];
|
| sState.rewards[1] = 1.0f - bAccount[1];
|
| if((buy_value + sell_value) == 0)
|
| sState.rewards[2] -= (float)(atr / PrevBalance);
|
| else
|
| sState.rewards[2] = 0;
|
| for(ulong i = 0; i < NActions; i++)
|
| sState.action[i] = temp[i];
|
| if(!Base.Add(sState))
|
| ExpertRemove();
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Tester function |
|
| //+------------------------------------------------------------------+
|
| //| | Strategy tester callback. |
|
| //+------------------------------------------------------------------+
|
| double OnTester()
|
| {
|
| //---
|
| double ret = 0.0;
|
| //---
|
| double profit = TesterStatistics(STAT_PROFIT);
|
| Frame[0] = Base;
|
| if(profit >= MinProfit && profit != 0)
|
| FrameAdd(MQLInfoString(MQL_PROGRAM_NAME), 1, profit, Frame);
|
| //---
|
| return(ret);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| TesterInit function |
|
| //+------------------------------------------------------------------+
|
| //| | Tester initialization handler. |
|
| //+------------------------------------------------------------------+
|
| void OnTesterInit()
|
| {
|
| //---
|
| LoadTotalBase();
|
| }
|
| //+------------------------------------------------------------------+
|
| //| TesterPass function |
|
| //+------------------------------------------------------------------+
|
| //| | Tester pass callback. |
|
| //+------------------------------------------------------------------+
|
| void OnTesterPass()
|
| {
|
| //---
|
| ulong pass;
|
| string name;
|
| long id;
|
| double value;
|
| STrajectory array[];
|
| while(FrameNext(pass, name, id, value, array))
|
| {
|
| int total = ArraySize(Buffer);
|
| if(name != MQLInfoString(MQL_PROGRAM_NAME))
|
| continue;
|
| if(id <= 0)
|
| continue;
|
| if(total >= MaxReplayBuffer)
|
| {
|
| for(int a = 0; a < id; a++)
|
| {
|
| float min = FLT_MAX;
|
| int min_tr = 0;
|
| for(int i = 0; i < total; i++)
|
| {
|
| if(Buffer[i].Total <= 0)
|
| {
|
| min = FLT_MIN;
|
| min_tr = i;
|
| break;
|
| }
|
| float prof = Buffer[i].States[Buffer[i].Total - 1].account[1];
|
| if(prof < min)
|
| {
|
| min = MathMin(prof, min);
|
| min_tr = i;
|
| }
|
| }
|
| float prof = array[a].States[array[a].Total - 1].account[1];
|
| if(min <= prof)
|
| {
|
| Buffer[min_tr] = array[a];
|
| PrintFormat("Replace %.2f to %.2f -> bars %d", min, prof, array[a].Total);
|
| }
|
| }
|
| }
|
| else
|
| {
|
| if(ArrayResize(Buffer, total + (int)id, 10) < 0)
|
| return;
|
| ArrayCopy(Buffer, array, total, 0, (int)id);
|
| }
|
| }
|
| }
|
| //+------------------------------------------------------------------+
|
| //| TesterDeinit function |
|
| //+------------------------------------------------------------------+
|
| void OnTesterDeinit()
|
| {
|
| //---
|
| int total = ArraySize(Buffer);
|
| printf("total %d", MathMin(total, MaxReplayBuffer));
|
| Print("Saving...");
|
| SaveTotalBase();
|
| Print("Saved");
|
| }
|
| //+------------------------------------------------------------------+
|
|
|
