| //+------------------------------------------------------------------+
|
| //| Research.mq5 |
|
| //| Copyright DNG® |
|
| //| https://www.mql5.com/ru/users/dng |
|
| //+------------------------------------------------------------------+
|
| #property copyright "Copyright DNG®"
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| #property link "https://www.mql5.com/ru/users/dng"
|
| #property version "1.00"
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| #include "Trajectory.mqh"
|
| #include <Trade\Trade.mqh>
|
| #include <Trade\SymbolInfo.mqh>
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| #include <Indicators\Oscilators.mqh>
|
| //+------------------------------------------------------------------+
|
| //| Input parameters |
|
| //+------------------------------------------------------------------+
|
| input ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
|
| //---
|
| 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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| //---
|
| 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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| //---
|
| input group "---- ATR ----"
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| input int ATRPeriod = 14; //Period
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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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| input int Agent = 1;
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| bool TrainMode = true;
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| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| SState sState;
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| STrajectory Base;
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| STrajectory Buffer[];
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| STrajectory Frame[1];
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| CFQF Actor;
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| CFQF Scheduler;
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| //---
|
| float dError;
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| datetime dtStudied;
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| bool bEventStudy;
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| //---
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| CBufferFloat State1;
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| CBufferFloat *Result;
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| //---
|
| CSymbolInfo Symb;
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| CTrade Trade;
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| //---
|
| MqlRates Rates[];
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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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| vector<float> prev_scheduler;
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| vector<float> prev_actor;
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| vector<float> skills_count;
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| float prev_balance;
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| float prev_equity;
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| //+------------------------------------------------------------------+
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| //| Expert initialization function |
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| //+------------------------------------------------------------------+
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| int OnInit()
|
| {
|
| //---
|
| if(!Symb.Name(_Symbol))
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| return INIT_FAILED;
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| Symb.Refresh();
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| //---
|
| if(!RSI.Create(Symb.Name(), TimeFrame, RSIPeriod, RSIPrice))
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| return INIT_FAILED;
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| //---
|
| if(!CCI.Create(Symb.Name(), TimeFrame, CCIPeriod, CCIPrice))
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| return INIT_FAILED;
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| //---
|
| if(!ATR.Create(Symb.Name(), TimeFrame, ATRPeriod))
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| return INIT_FAILED;
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| //---
|
| if(!MACD.Create(Symb.Name(), TimeFrame, FastPeriod, SlowPeriod, SignalPeriod, MACDPrice))
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| return INIT_FAILED;
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| if(!RSI.BufferResize(HistoryBars) || !CCI.BufferResize(HistoryBars) ||
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| !ATR.BufferResize(HistoryBars) || !MACD.BufferResize(HistoryBars))
|
| {
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| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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| return INIT_FAILED;
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| }
|
| //---
|
| if(!Trade.SetTypeFillingBySymbol(Symb.Name()))
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| return INIT_FAILED;
|
| //--- load models
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| ResetLastError();
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| if(!Actor.Load(FileName + "Act.nnw", dtStudied, true))
|
| {
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| PrintFormat("Error of load Actor: %5d", GetLastError());
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| return INIT_FAILED;
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| }
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| if(!Scheduler.Load(FileName + "Sch.nnw", dtStudied, true))
|
| {
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| PrintFormat("Error of load Scheduler: %5d", GetLastError());
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| return INIT_FAILED;
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| }
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| Scheduler.getResults(Result);
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| if(Result.Total() != NSkills)
|
| {
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| PrintFormat("The scope of the scheduler does not match the skills count (%d <> %d)", NSkills, Result.Total());
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| return INIT_FAILED;
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| }
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| Actor.getResults(Result);
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| if(Result.Total() != NActions)
|
| {
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| PrintFormat("The scope of the actor does not match the actions count (%d <> %d)", NActions, Result.Total());
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| return INIT_FAILED;
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| }
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| //---
|
| prev_scheduler.Init(NSkills);
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| prev_actor.Init(NActions);
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| skills_count=vector<float>::Zeros(NSkills);
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| prev_balance = (float)AccountInfoDouble(ACCOUNT_BALANCE);
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| prev_equity = (float)AccountInfoDouble(ACCOUNT_EQUITY);
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| //---
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| return(INIT_SUCCEEDED);
|
| }
|
| //+------------------------------------------------------------------+
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| //| Expert deinitialization function |
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| //+------------------------------------------------------------------+
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| void OnDeinit(const int reason)
|
| {
|
| //---
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| delete Result;
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| Print(skills_count);
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| }
|
| //+------------------------------------------------------------------+
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| //| Expert tick function |
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| //+------------------------------------------------------------------+
|
| void OnTick()
|
| {
|
| //---
|
| if(!IsNewBar())
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| return;
|
| //---
|
| int bars = CopyRates(Symb.Name(), TimeFrame, iTime(Symb.Name(), TimeFrame, 1), HistoryBars, Rates);
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| 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();
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| //---
|
| MqlDateTime sTime;
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| for(int b = 0; b < (int)HistoryBars; b++)
|
| {
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| float open = (float)Rates[b].open;
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| TimeToStruct(Rates[b].time, sTime);
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| 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);
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| float macd = (float)MACD.Main(b);
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| float sign = (float)MACD.Signal(b);
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| 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;
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| sState.state[b * 12 + 2] = (float)Rates[b].low - open;
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| sState.state[b * 12 + 3] = (float)Rates[b].tick_volume / 1000.0f;
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| sState.state[b * 12 + 4] = (float)sTime.hour;
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| sState.state[b * 12 + 5] = (float)sTime.day_of_week;
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| sState.state[b * 12 + 6] = (float)sTime.mon;
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| sState.state[b * 12 + 7] = rsi;
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| 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);
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| sState.account[2] = (float)AccountInfoDouble(ACCOUNT_MARGIN_FREE);
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| sState.account[3] = (float)AccountInfoDouble(ACCOUNT_MARGIN_LEVEL);
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| 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);
|
| State1.Add((sState.account[0] - prev_balance) / prev_balance);
|
| State1.Add(sState.account[1] / prev_balance);
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| State1.Add((sState.account[1] - prev_equity) / prev_equity);
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| State1.Add(sState.account[3] / 100.0f);
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| State1.Add(sState.account[4] / prev_balance);
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| State1.Add(sState.account[5]);
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| State1.Add(sState.account[6]);
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| State1.Add(sState.account[7] / prev_balance);
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| State1.Add(sState.account[8] / prev_balance);
|
| //---
|
| if(!Scheduler.feedForward(GetPointer(State1), 1, false))
|
| return;
|
| Scheduler.getResults(Result);
|
| vector<float> temp;
|
| Result.GetData(temp);
|
| int skill=Scheduler.getAction();
|
| float delta = MathAbs(prev_scheduler - temp).Sum();
|
| prev_scheduler = temp;
|
| skills_count[skill]++;
|
| temp=vector<float>::Zeros(NSkills);
|
| temp[skill]=1;
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| State1.AddArray(temp);
|
| //---
|
| if(!Actor.feedForward(GetPointer(State1), 1, false))
|
| return;
|
| Actor.getResults(Result);
|
| Result.GetData(temp);
|
| delta = MathAbs(prev_actor - temp).Sum();
|
| prev_actor = temp;
|
| int act = Actor.getAction();
|
| 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;
|
| }
|
| //---
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | 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;
|
| }
|
| //+------------------------------------------------------------------+
|
|
|
