| //+------------------------------------------------------------------+
|
| //| 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"
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| #include "Trajectory.mqh"
|
| #include <Trade\Trade.mqh>
|
| #include <Trade\SymbolInfo.mqh>
|
| #include <Indicators\Oscilators.mqh>
|
| //+------------------------------------------------------------------+
|
| //| Input parameters |
|
| //+------------------------------------------------------------------+
|
| input double ProfitToSave = 10;
|
| input double MoneyTP = 10;
|
| input double MoneySL = 5;
|
| //---
|
| input ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
|
| //---
|
| 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;
|
| bool TrainMode = true;
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| SState sState;
|
| STrajectory Base;
|
| STrajectory Buffer[];
|
| STrajectory Frame[1];
|
| CFQF Actor;
|
| int Models = 1;
|
| //---
|
| float dError;
|
| datetime dtStudied;
|
| bool bEventStudy;
|
| //---
|
| CBufferFloat State1;
|
| CBufferFloat *Result;
|
| //---
|
| CSymbolInfo Symb;
|
| CTrade Trade;
|
| //---
|
| MqlRates Rates[];
|
| CiRSI RSI;
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| CiCCI CCI;
|
| CiATR ATR;
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| CiMACD MACD;
|
| //+------------------------------------------------------------------+
|
| //| 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))
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| 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__);
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| return INIT_FAILED;
|
| }
|
| //---
|
| if(!Trade.SetTypeFillingBySymbol(Symb.Name()))
|
| return INIT_FAILED;
|
| //--- load models
|
| if(!Actor.Load(FileName + "Act.nnw", dtStudied, true))
|
| {
|
| CArrayObj *actor = new CArrayObj();
|
| CArrayObj *scheduler = new CArrayObj();
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| CArrayObj *discriminator=new CArrayObj();
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| if(!CreateDescriptions(actor, scheduler, discriminator))
|
| {
|
| delete actor;
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| delete scheduler;
|
| delete discriminator;
|
| return INIT_FAILED;
|
| }
|
| if(!Actor.Create(actor))
|
| {
|
| delete actor;
|
| delete scheduler;
|
| delete discriminator;
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| return INIT_FAILED;
|
| }
|
| delete actor;
|
| delete scheduler;
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| delete discriminator;
|
| }
|
| Actor.getResults(Result);
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| if(Result.Total() != NActions)
|
| {
|
| PrintFormat("The scope of the actor does not match the actions count (%d <> %d)", NActions, Result.Total());
|
| return INIT_FAILED;
|
| }
|
| //---
|
| return(INIT_SUCCEEDED);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Expert deinitialization function |
|
| //+------------------------------------------------------------------+
|
| void OnDeinit(const int reason)
|
| {
|
| //---
|
| delete Result;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Expert tick function |
|
| //+------------------------------------------------------------------+
|
| void OnTick()
|
| {
|
| //---
|
| if(!IsNewBar())
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| return;
|
| //---
|
| int bars = CopyRates(Symb.Name(), TimeFrame, iTime(Symb.Name(), TimeFrame, 1), HistoryBars, Rates);
|
| if(!ArraySetAsSeries(Rates, true))
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| return;
|
| //---
|
| RSI.Refresh();
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| CCI.Refresh();
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| ATR.Refresh();
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| MACD.Refresh();
|
| //---
|
| MqlDateTime sTime;
|
| for(int b = 0; b < (int)HistoryBars; b++)
|
| {
|
| float open = (float)Rates[b].open;
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| TimeToStruct(Rates[b].time, sTime);
|
| float rsi = (float)RSI.Main(b);
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| float cci = (float)CCI.Main(b);
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| float atr = (float)ATR.Main(b);
|
| float macd = (float)MACD.Main(b);
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| float sign = (float)MACD.Signal(b);
|
| if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
|
| continue;
|
| //---
|
| sState.state[b * 12] = (float)Rates[b].close - open;
|
| sState.state[b * 12 + 1] = (float)Rates[b].high - open;
|
| sState.state[b * 12 + 2] = (float)Rates[b].low - open;
|
| sState.state[b * 12 + 3] = (float)Rates[b].tick_volume / 1000.0f;
|
| sState.state[b * 12 + 4] = (float)sTime.hour;
|
| sState.state[b * 12 + 5] = (float)sTime.day_of_week;
|
| sState.state[b * 12 + 6] = (float)sTime.mon;
|
| sState.state[b * 12 + 7] = rsi;
|
| sState.state[b * 12 + 8] = cci;
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| sState.state[b * 12 + 9] = atr;
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| sState.state[b * 12 + 10] = macd;
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| sState.state[b * 12 + 11] = sign;
|
| }
|
| //---
|
| sState.account[0] = (float)AccountInfoDouble(ACCOUNT_BALANCE);
|
| sState.account[1] = (float)AccountInfoDouble(ACCOUNT_EQUITY);
|
| sState.account[2] = (float)AccountInfoDouble(ACCOUNT_MARGIN_FREE);
|
| sState.account[3] = (float)AccountInfoDouble(ACCOUNT_MARGIN_LEVEL);
|
| sState.account[4] = (float)AccountInfoDouble(ACCOUNT_PROFIT);
|
| //---
|
| double buy_value = 0, sell_value = 0, buy_profit = 0, sell_profit = 0;
|
| int total = PositionsTotal();
|
| for(int i = 0; i < total; i++)
|
| {
|
| if(PositionGetSymbol(i) != Symb.Name())
|
| continue;
|
| switch((int)PositionGetInteger(POSITION_TYPE))
|
| {
|
| case POSITION_TYPE_BUY:
|
| buy_value += PositionGetDouble(POSITION_VOLUME);
|
| buy_profit += PositionGetDouble(POSITION_PROFIT);
|
| break;
|
| case POSITION_TYPE_SELL:
|
| sell_value += PositionGetDouble(POSITION_VOLUME);
|
| sell_profit += PositionGetDouble(POSITION_PROFIT);
|
| break;
|
| }
|
| }
|
| sState.account[5] = (float)buy_value;
|
| sState.account[6] = (float)sell_value;
|
| sState.account[7] = (float)buy_profit;
|
| sState.account[8] = (float)sell_profit;
|
| //---
|
| State1.AssignArray(sState.state);
|
| float PrevBalance = (Base.Total <= 0 ? sState.account[0] : Base.States[Base.Total - 1].account[0]);
|
| float PrevEquity = (Base.Total <= 0 ? sState.account[1] : Base.States[Base.Total - 1].account[1]);
|
| State1.Add((sState.account[0] - PrevBalance) / PrevBalance);
|
| State1.Add(sState.account[1] / PrevBalance);
|
| State1.Add((sState.account[1] - PrevEquity) / PrevEquity);
|
| State1.Add(sState.account[3] / 100.0f);
|
| State1.Add(sState.account[4] / PrevBalance);
|
| State1.Add(sState.account[5]);
|
| State1.Add(sState.account[6]);
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| State1.Add(sState.account[7] / PrevBalance);
|
| State1.Add(sState.account[8] / PrevBalance);
|
| //---
|
| vector<float> one_hot = vector<float>::Zeros(NSkills);
|
| int skill=(int)MathRound(MathRand()/32767.0*(NSkills-1));
|
| one_hot[skill] = 1;
|
| State1.AddArray(one_hot);
|
| //---
|
| if(!Actor.feedForward(GetPointer(State1), 1, false))
|
| return;
|
| int act = Actor.getSample();
|
| double profit = buy_profit + sell_profit;
|
| if(profit >= MoneyTP || profit <= -MathAbs(MoneySL))
|
| act = 2;
|
| switch(act)
|
| {
|
| case 0:
|
| if(!Trade.Buy(Symb.LotsMin(), Symb.Name()))
|
| act = 3;
|
| break;
|
| case 1:
|
| if(!Trade.Sell(Symb.LotsMin(), Symb.Name()))
|
| act = 3;
|
| break;
|
| case 2:
|
| for(int i = PositionsTotal() - 1; i >= 0; i--)
|
| if(PositionGetSymbol(i) == Symb.Name())
|
| if(!Trade.PositionClose(PositionGetInteger(POSITION_IDENTIFIER)))
|
| {
|
| act = 3;
|
| break;
|
| }
|
| break;
|
| }
|
| //---
|
| float reward = (sState.account[0] - PrevBalance) / PrevBalance;
|
| if(!Base.Add(sState, act, reward))
|
| ExpertRemove();
|
| //---
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Tester function |
|
| //+------------------------------------------------------------------+
|
| //| | Strategy tester callback. |
|
| //+------------------------------------------------------------------+
|
| double OnTester()
|
| {
|
| //---
|
| double ret = 0.0;
|
| //---
|
| double profit = TesterStatistics(STAT_PROFIT);
|
| Frame[0] = Base;
|
| if(profit >= ProfitToSave)
|
| 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(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", total);
|
| Print("Saving...");
|
| SaveTotalBase();
|
| Print("Saved");
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | 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;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Saves TotalBase. |
|
| //+------------------------------------------------------------------+
|
| bool SaveTotalBase(void)
|
| {
|
| int total = ArraySize(Buffer);
|
| if(total < 0)
|
| return true;
|
| int handle = FileOpen(FileName + ".bd", FILE_WRITE | FILE_BIN | FILE_COMMON);
|
| if(handle < 0)
|
| return false;
|
| if(FileWriteInteger(handle, total) < INT_VALUE)
|
| {
|
| FileClose(handle);
|
| return false;
|
| }
|
| for(int i = 0; i < total; i++)
|
| if(!Buffer[i].Save(handle))
|
| {
|
| FileClose(handle);
|
| return false;
|
| }
|
| FileFlush(handle);
|
| FileClose(handle);
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Loads TotalBase. |
|
| //+------------------------------------------------------------------+
|
| bool LoadTotalBase(void)
|
| {
|
| int handle = FileOpen(FileName + ".bd", FILE_READ | FILE_BIN | FILE_COMMON | FILE_SHARE_READ);
|
| if(handle < 0)
|
| return false;
|
| int total = FileReadInteger(handle);
|
| if(total <= 0)
|
| {
|
| FileClose(handle);
|
| return false;
|
| }
|
| if(ArrayResize(Buffer, total) < total)
|
| {
|
| FileClose(handle);
|
| return false;
|
| }
|
| for(int i = 0; i < total; i++)
|
| if(!Buffer[i].Load(handle))
|
| {
|
| FileClose(handle);
|
| return false;
|
| }
|
| FileClose(handle);
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
|
|
