| //+------------------------------------------------------------------+
|
| //| StudyActor.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 "..\NeuroNet_DNG\NeuroNet.mqh"
|
| #include <Trade\Trade.mqh>
|
| #include <Trade\SymbolInfo.mqh>
|
| #include <Indicators\Oscilators.mqh>
|
| //+------------------------------------------------------------------+
|
| //| Defines |
|
| //+------------------------------------------------------------------+
|
| #define HistoryBars 20 //Depth of history
|
| #define BarDescr 12 //Elements for 1 bar description
|
| #define AccountDescr 8 //Account description
|
| #define FileName "DDPG"
|
| #define LatentLayer 6
|
| //+------------------------------------------------------------------+
|
| //| Input parameters |
|
| //+------------------------------------------------------------------+
|
| input ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
|
| input float Tau = 0.001f;
|
| //---
|
| 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;
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| CNet Actor;
|
| CNet Critic;
|
| CNet TargetActor;
|
| CNet TargetCritic;
|
| //---
|
| float dError;
|
| datetime dtStudied;
|
| //---
|
| CSymbolInfo Symb;
|
| CTrade Trade;
|
| //---
|
| MqlRates Rates[];
|
| CiRSI RSI;
|
| CiCCI CCI;
|
| CiATR ATR;
|
| CiMACD MACD;
|
| //---
|
| CBufferFloat State;
|
| CBufferFloat Account;
|
| CBufferFloat PrevAccount;
|
| CBufferFloat Gradient;
|
| CBufferFloat *Result;
|
| vector<float> check;
|
| vector<float> ActorResult;
|
| double PrevBalance = 0;
|
| double PrevEquity = 0;
|
| bool FirstBar = true;
|
| //+------------------------------------------------------------------+
|
| //| 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(!Actor.Load(FileName + "Act.nnw", temp, temp, temp, dtStudied, true) ||
|
| !Critic.Load(FileName + "Crt.nnw", temp, temp, temp, dtStudied, true) ||
|
| !TargetActor.Load(FileName + "Act.nnw", temp, temp, temp, dtStudied, true) ||
|
| !TargetCritic.Load(FileName + "Crt.nnw", temp, temp, temp, dtStudied, true))
|
| {
|
| CArrayObj *actor = new CArrayObj();
|
| CArrayObj *critic = new CArrayObj();
|
| if(!CreateDescriptions(actor, critic))
|
| {
|
| delete actor;
|
| delete critic;
|
| return INIT_FAILED;
|
| }
|
| if(!Actor.Create(actor) || !Critic.Create(critic) ||
|
| !TargetActor.Create(actor) || !TargetCritic.Create(critic))
|
| {
|
| delete actor;
|
| delete critic;
|
| return INIT_FAILED;
|
| }
|
| delete actor;
|
| delete critic;
|
| //---
|
| }
|
| //---
|
| COpenCLMy *opencl = Actor.GetOpenCL();
|
| Critic.SetOpenCL(opencl);
|
| TargetActor.SetOpenCL(opencl);
|
| TargetCritic.SetOpenCL(opencl);
|
| //---
|
| Actor.getResults(Result);
|
| if(Result.Total() != 6)
|
| {
|
| PrintFormat("The scope of the actor does not match the actions count (%d <> %d)", 6, Result.Total());
|
| return INIT_FAILED;
|
| }
|
| ActorResult = vector<float>::Zeros(6);
|
| //---
|
| Actor.GetLayerOutput(0, Result);
|
| if(Result.Total() != (HistoryBars * BarDescr))
|
| {
|
| PrintFormat("Input size of Actor doesn't match state description (%d <> %d)", Result.Total(), (HistoryBars * BarDescr));
|
| return INIT_FAILED;
|
| }
|
| //---
|
| Actor.GetLayerOutput(LatentLayer, Result);
|
| int latent_state = Result.Total();
|
| Critic.GetLayerOutput(0, Result);
|
| if(Result.Total() != latent_state)
|
| {
|
| PrintFormat("Input size of Critic doesn't match latent state Actor (%d <> %d)", Result.Total(), latent_state);
|
| return INIT_FAILED;
|
| }
|
| //---
|
| PrevBalance = AccountInfoDouble(ACCOUNT_BALANCE);
|
| PrevEquity = AccountInfoDouble(ACCOUNT_EQUITY);
|
| FirstBar = true;
|
| Gradient.BufferInit(AccountDescr, 0);
|
| Gradient.BufferCreate(opencl);
|
| //---
|
| return(INIT_SUCCEEDED);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Expert deinitialization function |
|
| //+------------------------------------------------------------------+
|
| void OnDeinit(const int reason)
|
| {
|
| //---
|
| TargetActor.WeightsUpdate(GetPointer(Actor), Tau);
|
| TargetCritic.WeightsUpdate(GetPointer(Critic), Tau);
|
| TargetActor.Save(FileName + "Act.nnw", Actor.getRecentAverageError(), 0, 0, TimeCurrent(), true);
|
| TargetCritic.Save(FileName + "Crt.nnw", Critic.getRecentAverageError(), 0, 0, TimeCurrent(), true);
|
| 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();
|
| //---
|
| MqlDateTime sTime;
|
| float atr = 0;
|
| State.Clear();
|
| for(int b = 0; b < (int)HistoryBars; b++)
|
| {
|
| float open = (float)Rates[b].open;
|
| TimeToStruct(Rates[b].time, sTime);
|
| 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;
|
| //---
|
| State.Add((float)Rates[b].close - open);
|
| State.Add((float)Rates[b].high - open);
|
| State.Add((float)Rates[b].low - open);
|
| State.Add((float)Rates[b].tick_volume / 1000.0f);
|
| State.Add((float)sTime.hour);
|
| State.Add((float)sTime.day_of_week);
|
| State.Add((float)sTime.mon);
|
| State.Add(rsi);
|
| State.Add(cci);
|
| State.Add(atr);
|
| State.Add(macd);
|
| State.Add(sign);
|
| }
|
| //---
|
| vector<float> account = vector<float>::Zeros(AccountDescr - 1);
|
| account[0] = (float)AccountInfoDouble(ACCOUNT_BALANCE);
|
| 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);
|
| }
|
| account[2] = (float)buy_value;
|
| account[3] = (float)sell_value;
|
| account[4] = (float)buy_profit;
|
| account[5] = (float)sell_profit;
|
| account[6] = (float)position_discount;
|
| //---
|
| Account.Clear();
|
| Account.Add((float)((account[0] - PrevBalance) / PrevBalance));
|
| Account.Add((float)(account[1] / PrevBalance));
|
| Account.Add((float)((account[1] - PrevEquity) / PrevEquity));
|
| Account.Add(account[2]);
|
| Account.Add(account[3]);
|
| Account.Add((float)(account[4] / PrevBalance));
|
| Account.Add((float)(account[5] / PrevBalance));
|
| Account.Add((float)(account[6] / PrevBalance));
|
| //---
|
| if(Account.GetIndex() >= 0)
|
| if(!Account.BufferWrite())
|
| return;
|
| //---
|
| if(!FirstBar)
|
| {
|
| if(!TargetActor.feedForward(GetPointer(State), 1, false, GetPointer(Account)))
|
| return;
|
| if(!TargetCritic.feedForward(GetPointer(TargetActor), LatentLayer, GetPointer(TargetActor)))
|
| return;
|
| TargetCritic.getResults(Result);
|
| float reward = (float)(account[0] - PrevBalance + Result[0]);
|
| if(account[0] == PrevBalance)
|
| if((buy_value + sell_value) == 0)
|
| reward -= 1;
|
| Result.Update(0, reward);
|
| if(!Critic.backProp(Result, GetPointer(Actor)) || !Actor.backPropGradient(GetPointer(PrevAccount), GetPointer(Gradient)))
|
| return;
|
| }
|
| //---
|
| if(!Actor.feedForward(GetPointer(State), 1, false, GetPointer(Account)))
|
| return;
|
| //---
|
| if(!Critic.feedForward(GetPointer(Actor), LatentLayer, GetPointer(Actor)))
|
| return;
|
| if(!FirstBar)
|
| {
|
| Critic.getResults(Result);
|
| Result.Update(0, Result.At(0) + MathAbs(Result.At(0) * 0.0001f));
|
| Critic.TrainMode(false);
|
| if(!Critic.backProp(Result, GetPointer(Actor)) || !Actor.backPropGradient(GetPointer(Account), GetPointer(Gradient)))
|
| return;
|
| Critic.TrainMode(true);
|
| }
|
| //---
|
| FirstBar = false;
|
| PrevAccount.AssignArray(GetPointer(Account));
|
| PrevAccount.BufferCreate(Actor.GetOpenCL());
|
| PrevBalance = account[0];
|
| PrevEquity = account[1];
|
| //---
|
| vector<float> temp;
|
| Actor.getResults(temp);
|
| float delta = MathAbs(ActorResult - temp).Sum();
|
| ActorResult = temp;
|
| //---
|
| double min_lot = Symb.LotsMin();
|
| double stops = MathMax(Symb.StopsLevel(), 1) * Symb.Point();
|
| double buy_lot = MathRound((double)ActorResult[0] / min_lot) * min_lot;
|
| double sell_lot = MathRound((double)ActorResult[3] / min_lot) * min_lot;
|
| double buy_tp = NormalizeDouble(Symb.Ask() + ActorResult[1], Symb.Digits());
|
| double buy_sl = NormalizeDouble(Symb.Ask() - ActorResult[2], Symb.Digits());
|
| double sell_tp = NormalizeDouble(Symb.Bid() - ActorResult[4], Symb.Digits());
|
| double sell_sl = NormalizeDouble(Symb.Bid() + ActorResult[5], Symb.Digits());
|
| //---
|
| if(ActorResult[0] > min_lot && ActorResult[1] > stops && ActorResult[2] > stops && buy_sl > 0)
|
| Trade.Buy(buy_lot, Symb.Name(), Symb.Ask(), buy_sl, buy_tp);
|
| if(ActorResult[3] > min_lot && ActorResult[4] > stops && ActorResult[5] > stops && sell_tp > 0)
|
| Trade.Sell(sell_lot, Symb.Name(), Symb.Bid(), sell_sl, sell_tp);
|
| //---
|
| if(temp.Min() < 0 || MathMax(temp[0], temp[3]) > 1.0f || MathMax(temp[1], temp[4]) > (Symb.Point() * 5000) ||
|
| // Implements MathMax.
|
| MathMax(temp[2], temp[5]) > (Symb.Point() * 2000))
|
| {
|
| temp[0] = (float)(Symb.LotsMin() * (1 + MathRand() / 32767.0 * 5));
|
| temp[3] = (float)(Symb.LotsMin() * (1 + MathRand() / 32767.0 * 5));
|
| temp[1] = (float)(Symb.Point() * (MathRand() / 32767.0 * 500.0 + Symb.StopsLevel()));
|
| temp[4] = (float)(Symb.Point() * (MathRand() / 32767.0 * 500.0 + Symb.StopsLevel()));
|
| temp[2] = (float)(Symb.Point() * (MathRand() / 32767.0 * 200.0 + Symb.StopsLevel()));
|
| temp[5] = (float)(Symb.Point() * (MathRand() / 32767.0 * 200.0 + Symb.StopsLevel()));
|
| Result.AssignArray(temp);
|
| Actor.backProp(Result, GetPointer(PrevAccount), GetPointer(Gradient));
|
| }
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Creates or initializes Descriptions. |
|
| //+------------------------------------------------------------------+
|
| bool CreateDescriptions(CArrayObj *actor, CArrayObj *critic)
|
| {
|
| //---
|
| CLayerDescription *descr;
|
| //---
|
| if(!actor)
|
| {
|
| actor = new CArrayObj();
|
| if(!actor)
|
| return false;
|
| }
|
| if(!critic)
|
| {
|
| critic = new CArrayObj();
|
| if(!critic)
|
| return false;
|
| }
|
| //--- Actor
|
| actor.Clear();
|
| //--- Input layer
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| uint prev_count = descr.count = (HistoryBars * BarDescr);
|
| descr.window = 0;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 1
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBatchNormOCL;
|
| descr.count = prev_count;
|
| descr.batch = 1000;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 2
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronConvOCL;
|
| prev_count = descr.count = prev_count - 1;
|
| descr.window = 2;
|
| descr.step = 1;
|
| descr.window_out = 8;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 3
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronConvOCL;
|
| prev_count = descr.count = prev_count;
|
| descr.window = 8;
|
| descr.step = 8;
|
| descr.window_out = 8;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 4
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 256;
|
| descr.optimization = ADAM;
|
| descr.activation = LReLU;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 5
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 128;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 6
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronConcatenate;
|
| descr.count = 256;
|
| descr.window = prev_count;
|
| descr.step = AccountDescr;
|
| descr.optimization = ADAM;
|
| descr.activation = LReLU;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 7
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 256;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 8
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 256;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 9
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 6;
|
| descr.optimization = ADAM;
|
| descr.activation = LReLU;
|
| if(!actor.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- Critic
|
| critic.Clear();
|
| //--- Input layer
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| prev_count = descr.count = 256;
|
| descr.window = 0;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!critic.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 1
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronConcatenate;
|
| descr.count = 128;
|
| descr.window = prev_count;
|
| descr.step = 6;
|
| descr.optimization = ADAM;
|
| descr.activation = LReLU;
|
| if(!critic.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 2
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 128;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!critic.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 3
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 128;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!critic.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 4
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 1;
|
| descr.optimization = ADAM;
|
| descr.activation = None;
|
| if(!critic.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Checks NewBar. |
|
| //+------------------------------------------------------------------+
|
| bool IsNewBar(void)
|
| {
|
| static datetime last_bar = 0;
|
| if(last_bar >= iTime(Symb.Name(), TimeFrame, 0))
|
| return false;
|
| //---
|
| last_bar = iTime(Symb.Name(), TimeFrame, 0);
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
|
|
