geforkt von dng/NN_in_Trading
//+------------------------------------------------------------------+
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//| Study.mq5 |
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//| Copyright DNG® |
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//| https://www.mql5.com/ru/users/dng |
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//+------------------------------------------------------------------+
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#property copyright "Copyright DNG®"
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#property link "https://www.mql5.com/ru/users/dng"
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#property version "1.00"
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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#define Study
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#define StudyOnline
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#include <Trade\SymbolInfo.mqh>
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#include <Indicators\Oscilators.mqh>
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#include "Trajectory.mqh"
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//+------------------------------------------------------------------+
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//| Input parameters |
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//+------------------------------------------------------------------+
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input datetime Start = D'2024.01.01';
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input datetime End = D'2025.07.01';
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input int Epochs = 100;
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input double MinBalance = 50;
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input double MaxBalance = 150;
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input group "---- Indicators ----"
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input ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
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//---
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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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//---
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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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//---
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input group "---- ATR ----"
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input int ATRPeriod = 14; //Period
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//---
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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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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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CNet cEncoder;
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CNet cSTFS;
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CNet cActor;
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CNet cCritic;
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//---
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CSymbolInfo Symb;
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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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//---
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float dError;
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datetime dtStudied;
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//---
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CBufferFloat bState;
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CBufferFloat bAccount;
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CBufferFloat bTime;
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CBufferFloat bGradient;
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CBufferFloat *Result;
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CBufferFloat *Action;
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vector<float> check;
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//+------------------------------------------------------------------+
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//| Expert initialization function |
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//+------------------------------------------------------------------+
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int OnInit()
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{
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//---
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ResetLastError();
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//--- load models
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float temp;
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CArrayObj *encoder = new CArrayObj();
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CArrayObj *stfs = new CArrayObj();
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CArrayObj *actor = new CArrayObj();
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CArrayObj *critic = new CArrayObj();
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if(!CreateDescriptions(encoder, stfs, actor, critic))
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{
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// Implements DeleteObj.
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DeleteObj(encoder)
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// Implements DeleteObj.
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DeleteObj(stfs)
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// Implements DeleteObj.
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DeleteObj(actor)
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// Implements DeleteObj.
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DeleteObj(critic)
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return INIT_FAILED;
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}
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if(!cEncoder.Load(FileName + "Enc.nnw", temp, temp, temp, dtStudied, true))
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{
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Print("Create new State Encoder");
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if(!cEncoder.Create(encoder))
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{
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// Implements DeleteObj.
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DeleteObj(encoder)
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// Implements DeleteObj.
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DeleteObj(stfs)
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// Implements DeleteObj.
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DeleteObj(actor)
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// Implements DeleteObj.
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DeleteObj(critic)
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return INIT_FAILED;
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}
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}
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if(!cSTFS.Load(FileName + "STFS.nnw", temp, temp, temp, dtStudied, true))
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{
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Print("Create new STFS");
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if(!cSTFS.Create(stfs))
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{
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// Implements DeleteObj.
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DeleteObj(encoder)
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// Implements DeleteObj.
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DeleteObj(stfs)
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// Implements DeleteObj.
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DeleteObj(actor)
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// Implements DeleteObj.
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DeleteObj(critic)
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return INIT_FAILED;
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}
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}
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if(!cActor.Load(FileName + "Act.nnw", temp, temp, temp, dtStudied, true))
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{
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Print("Create new Actor");
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if(!cActor.Create(actor))
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{
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// Implements DeleteObj.
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DeleteObj(encoder)
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// Implements DeleteObj.
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DeleteObj(stfs)
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// Implements DeleteObj.
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DeleteObj(actor)
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// Implements DeleteObj.
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DeleteObj(critic)
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return INIT_FAILED;
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}
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}
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if(!cCritic.Load(FileName + "Crt.nnw", temp, temp, temp, dtStudied, true))
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{
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Print("Create new Critic");
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if(!cCritic.Create(critic))
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{
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DeleteObj(encoder)
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DeleteObj(stfs)
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DeleteObj(actor)
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DeleteObj(critic)
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return INIT_FAILED;
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}
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}
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DeleteObj(encoder)
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DeleteObj(stfs)
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DeleteObj(actor)
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DeleteObj(critic)
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//---
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cEncoder.TrainMode(true);
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cSTFS.TrainMode(true);
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cActor.TrainMode(true);
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cCritic.TrainMode(true);
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COpenCL *opencl = cActor.GetOpenCL();
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cCritic.SetOpenCL(opencl);
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cEncoder.SetOpenCL(opencl);
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cSTFS.SetOpenCL(opencl);
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//---
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if(!Symb.Name(_Symbol) || !Symb.Refresh())
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return INIT_FAILED;
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//---
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if(!RSI.Create(Symb.Name(), TimeFrame, RSIPeriod, RSIPrice))
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return INIT_FAILED;
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//---
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if(!CCI.Create(Symb.Name(), TimeFrame, CCIPeriod, CCIPrice))
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return INIT_FAILED;
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//---
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if(!ATR.Create(Symb.Name(), TimeFrame, ATRPeriod))
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return INIT_FAILED;
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//---
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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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//---
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cEncoder.GetLayerOutput(0, Result);
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if(Result.Total() != (HistoryBars * BarDescr))
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{
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PrintFormat("Input size of Encoder doesn't match state description (%d <> %d)", Result.Total(), (HistoryBars * BarDescr));
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return INIT_FAILED;
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}
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//---
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if(!EventChartCustom(ChartID(), 1, 0, 0, "Init"))
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{
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PrintFormat("Error of create study event: %d", GetLastError());
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return INIT_FAILED;
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}
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//---
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return(INIT_SUCCEEDED);
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}
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//+------------------------------------------------------------------+
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//| Expert deinitialization function |
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//+------------------------------------------------------------------+
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void OnDeinit(const int reason)
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{
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//---
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if(!(reason == REASON_INITFAILED || reason == REASON_RECOMPILE))
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{
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if(!cEncoder.Save(FileName + "Enc.nnw", 0, 0, 0, TimeCurrent(), true))
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PrintFormat("Error of save model: %s", "Encoder");
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if(!cSTFS.Save(FileName + "STFS.nnw", 0, 0, 0, TimeCurrent(), true))
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PrintFormat("Error of save model: %s", "STFS");
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if(!cActor.Save(FileName + "Act.nnw", 0, 0, 0, TimeCurrent(), true))
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PrintFormat("Error of save model: %s", "Actor");
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if(!cCritic.Save(FileName + "Crt.nnw", 0, 0, 0, TimeCurrent(), true))
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PrintFormat("Error of save model: %s", "Critic");
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}
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delete Result;
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delete Action;
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}
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//+------------------------------------------------------------------+
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//| ChartEvent function |
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//+------------------------------------------------------------------+
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void OnChartEvent(const int id,
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const long &lparam,
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const double &dparam,
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const string &sparam)
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{
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//---
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switch(id)
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{
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case 1001:
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Train();
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break;
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case 1007:
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Print("Event 1007");
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if(!EventChartCustom(ChartID(), 1, 0, 0, "ChartEvent"))
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{
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PrintFormat("Error of create study event: %d", GetLastError());
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ExpertRemove();
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}
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break;
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}
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}
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//+------------------------------------------------------------------+
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//| Train function |
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//+------------------------------------------------------------------+
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void Train(void)
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{
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int start = iBarShift(Symb.Name(), TimeFrame, Start);
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int end = iBarShift(Symb.Name(), TimeFrame, End);
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int bars = CopyRates(Symb.Name(), TimeFrame, 0, start, Rates);
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//---
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if(!RSI.BufferResize(bars) || !CCI.BufferResize(bars) ||
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!ATR.BufferResize(bars) || !MACD.BufferResize(bars))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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ExpertRemove();
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return;
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}
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//---
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int count = -1;
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bool calculated = false;
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do
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{
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count++;
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calculated = (RSI.BarsCalculated() >= bars &&
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CCI.BarsCalculated() >= bars &&
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ATR.BarsCalculated() >= bars &&
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MACD.BarsCalculated() >= bars
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);
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Sleep(100);
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count++;
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}
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while(!calculated && count < 100);
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if(!calculated)
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{
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PrintFormat("%s -> %d The training data has not been loaded", __FUNCTION__, __LINE__);
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ExpertRemove();
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return;
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}
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RSI.Refresh();
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CCI.Refresh();
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ATR.Refresh();
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MACD.Refresh();
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//---
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if(!ArraySetAsSeries(Rates, true))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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ExpertRemove();
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return;
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}
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bars -= end + HistoryBars + NForecast;
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if(bars < 0)
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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ExpertRemove();
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return;
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}
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//---
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vector<float> result, target, neg_target;
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bool Stop = false;
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//---
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uint ticks = GetTickCount();
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//---
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for(int epoch = 0; (epoch < Epochs && !IsStopped() && !Stop); epoch ++)
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{
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if(!cEncoder.Clear() ||
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!cSTFS.Clear() ||
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!cActor.Clear() ||
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!cCritic.Clear())
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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ExpertRemove();
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return;
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}
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for(int posit = start - HistoryBars - NForecast - 1; posit >= end; posit--)
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{
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if(!CreateBuffers(posit, GetPointer(bState), GetPointer(bTime), Result))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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ExpertRemove();
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return;
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}
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const vector<float> account = SampleAccount(GetPointer(bState), datetime(bTime[0]));
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const vector<float> target_action = OraculAction(account, Result);
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if(!bAccount.AssignArray(account))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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ExpertRemove();
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return;
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}
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//--- Feed Forward
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if(!cEncoder.feedForward((CBufferFloat*)GetPointer(bState), 1, false, (CBufferFloat*)GetPointer(bTime)))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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if(!cSTFS.feedForward(GetPointer(cEncoder), LatentLayer, (CBufferFloat*)NULL))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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if(!cActor.feedForward(GetPointer(bAccount), 1, false, GetPointer(cEncoder), LatentLayer))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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if(!cCritic.feedForward(GetPointer(cActor), -1, GetPointer(cEncoder), LatentLayer))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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//--- Study
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if(!cSTFS.backProp(Result, (CBufferFloat*)NULL, (CBufferFloat*)NULL) ||
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!cEncoder.backPropGradient((CBufferFloat*)GetPointer(bTime), (CBufferFloat*)NULL))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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cActor.getResults(Action);
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double equity = bAccount[2] * bAccount[0] * EtalonBalance / (1 + bAccount[1]);
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double reward = CheckAction(Action, equity, posit - NForecast + 1) / EtalonBalance;
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if(reward < 0)
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reward *= 2;
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else
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if(reward == 0)
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reward = -10;
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Result.Clear();
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if(!Result.Add(float(reward)))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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if(!cCritic.backProp(Result, GetPointer(cEncoder), LatentLayer) ||
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!cActor.backPropGradient(GetPointer(cEncoder), LatentLayer, -1, true)
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)
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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//--- Oracul
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if(!cActor.feedForward(GetPointer(bAccount), 1, false, GetPointer(cEncoder), LatentLayer))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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if(!Action.AssignArray(target_action))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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reward = CheckAction(Action, equity, posit - NForecast + 1) / EtalonBalance;
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if(!cActor.backProp(Action, GetPointer(cEncoder), LatentLayer))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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if(!cCritic.feedForward(Action, 1, false, GetPointer(cEncoder), LatentLayer))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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if(!Result.Update(0, float(reward)))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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if(!cCritic.backProp(Result, GetPointer(cEncoder), LatentLayer))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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//---
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if(GetTickCount() - ticks > 500)
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{
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double percent = (epoch + 1.0 - double(posit - end) / (start - end - HistoryBars - NForecast)) / Epochs * 100.0;
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string str = "";
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str += StringFormat("%-12s %6.2f%% -> Error %15.8f\n", "STFS", percent, cSTFS.getRecentAverageError());
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str += StringFormat("%-12s %6.2f%% -> Error %15.8f\n", "Actor", percent, cActor.getRecentAverageError());
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str += StringFormat("%-12s %6.2f%% -> Error %15.8f\n", "Critic", percent, cCritic.getRecentAverageError());
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Comment(str);
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ticks = GetTickCount();
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}
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}
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}
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Comment("");
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//---
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PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "STFS", cSTFS.getRecentAverageError());
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PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Actor", cActor.getRecentAverageError());
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PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Critic", cCritic.getRecentAverageError());
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ExpertRemove();
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//---
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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//| | Creates or initializes Buffers. |
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//+------------------------------------------------------------------+
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bool CreateBuffers(const int start_bar, CBufferFloat* state, CBufferFloat *time, CBufferFloat* forecast)
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{
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if(!state || !time || start_bar < 0 ||
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(start_bar + HistoryBars + NForecast) >= int(Rates.Size()))
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return false;
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//---
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vector<float> vState = vector<float>::Zeros(HistoryBars * BarDescr);
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vector<float> vForecast = vector<float>::Zeros(NForecast * BarDescr);
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time.Clear();
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time.Reserve(HistoryBars);
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int bar = start_bar + NForecast;
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for(int b = 0; b < (int)HistoryBars; b++)
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{
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float open = (float)Rates[b + bar].open;
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float rsi = (float)RSI.Main(b + bar);
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float cci = (float)CCI.Main(b + bar);
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float atr = (float)ATR.Main(b + bar);
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float macd = (float)MACD.Main(b + bar);
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float sign = (float)MACD.Signal(b + bar);
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if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
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return false;
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//---
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int shift = b * BarDescr;
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vState[shift] = (float)(Rates[b + bar].close - open);
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vState[shift + 1] = (float)(Rates[b + bar].high - open);
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vState[shift + 2] = (float)(Rates[b + bar].low - open);
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vState[shift + 3] = (float)(Rates[b + bar].tick_volume / 1000.0f);
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vState[shift + 4] = rsi;
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vState[shift + 5] = cci;
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vState[shift + 6] = atr;
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vState[shift + 7] = macd;
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vState[shift + 8] = sign;
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if(!time.Add(float(Rates[b + bar].time)))
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return false;
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}
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//---
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bar--;
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for(int b = 0; b < (int)NForecast; b++)
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{
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float open = (float)Rates[bar - b].open;
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float rsi = (float)RSI.Main(bar - b);
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float cci = (float)CCI.Main(bar - b);
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float atr = (float)ATR.Main(bar - b);
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float macd = (float)MACD.Main(bar - b);
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float sign = (float)MACD.Signal(bar - b);
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if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
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return false;
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//---
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int shift = (NForecast - b - 1) * BarDescr;
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vForecast[shift] = (float)(Rates[bar - b].close - open);
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vForecast[shift + 1] = (float)(Rates[bar - b].high - open);
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vForecast[shift + 2] = (float)(Rates[bar - b].low - open);
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vForecast[shift + 3] = (float)(Rates[bar - b].tick_volume / 1000.0f);
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vForecast[shift + 4] = rsi;
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vForecast[shift + 5] = cci;
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vForecast[shift + 6] = atr;
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vForecast[shift + 7] = macd;
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vForecast[shift + 8] = sign;
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}
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//---
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if(!state.AssignArray(vState))
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return false;
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if(!forecast.AssignArray(vForecast))
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return false;
| |
if(time.GetIndex() >= 0)
| |
if(!time.BufferWrite())
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return false;
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//---
| |
return true;
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}
| |
//+------------------------------------------------------------------+
| |
//| |
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//+------------------------------------------------------------------+
| |
//| | Implements SampleAccount. |
| |
//+------------------------------------------------------------------+
| |
const vector<float> SampleAccount(CBufferFloat *state, datetime time)
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{
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vector<float> result = vector<float>::Zeros(AccountDescr);
| |
if(!state)
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return result;
| |
//---
| |
double marg = 0;
| |
if(!Symb.RefreshRates() || !OrderCalcMargin(ORDER_TYPE_BUY, Symb.Name(), 1, Symb.Ask(), marg))
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return result;
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double buy_lot = 0, sell_lot = 0, profit = 0;
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double deal = MathRand() / (32767 * 0.5) - 1;
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double multiplyer = 1.0 / (60.0 * 60.0 * 10.0);
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//---
| |
double balance = (MaxBalance - MinBalance) * MathRand() / 32767.0 + MinBalance;
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double prev_balance = balance;
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double equity = balance;
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double prev_equity = balance;
| |
double position_discount = 0;
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//---
| |
if(deal > 0)
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{
| |
double lot = balance / (2.0 * marg) * deal;
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if(lot >= Symb.LotsMin())
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buy_lot = MathMin(int((lot - Symb.LotsMin()) / Symb.LotsStep()) * Symb.LotsStep() + Symb.LotsMin(), 1.0);
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}
| |
else
| |
if(deal < 0)
| |
{
| |
double lot = MathAbs(balance / (2.0 * marg) * deal);
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if(lot >= Symb.LotsMin())
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sell_lot = MathMin(int((lot - Symb.LotsMin()) / Symb.LotsStep()) * Symb.LotsStep() + Symb.LotsMin(), 1.0);
| |
}
| |
else
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prev_balance += (MathRand() / (2.0 * 32767.0) - 0.25) * balance;
| |
//---
| |
if(sell_lot > 0 || buy_lot > 0)
| |
{
| |
int pos_open = int(MathRand() / 32767.0 * (state.Total() / BarDescr - 1));
| |
for(int i = 0; i <= pos_open; i++)
| |
{
| |
profit += state.At(i * BarDescr) / Symb.TickSize() * Symb.TickValue();
| |
if(((buy_lot > 0 && profit < 0) ||
| |
(sell_lot > 0 && profit > 0))
| |
// Implements MathAbs.
| |
&& MathAbs(profit * (buy_lot - sell_lot)) > balance / 2)
| |
{
| |
pos_open = i;
| |
break;
| |
}
| |
}
| |
profit *= buy_lot - sell_lot;
| |
equity += profit;
| |
prev_equity = equity - state.At(0) / Symb.TickSize() * Symb.TickValue() * (buy_lot - sell_lot);
| |
position_discount = pos_open * PeriodSeconds(TimeFrame) * multiplyer * MathAbs(profit);
| |
}
| |
//---
| |
result[0] = float(balance / EtalonBalance);
| |
result[1] = float((balance - prev_balance) / prev_balance);
| |
result[2] = float(equity / prev_balance);
| |
result[3] = float((equity - prev_equity) / prev_equity);
| |
result[4] = float(buy_lot);
| |
result[5] = float(sell_lot);
| |
result[6] = float(buy_lot * profit / prev_balance);
| |
result[7] = float(sell_lot * profit / prev_balance);
| |
result[8] = float(position_discount / prev_balance);
| |
double x = time / (double)(D'2024.01.01' - D'2023.01.01');
| |
result[9] = float(MathSin(x != 0 ? 2.0 * M_PI * x : 0));
| |
x = time / (double)PeriodSeconds(PERIOD_MN1);
| |
result[10] = float(MathCos(x != 0 ? 2.0 * M_PI * x : 0));
| |
x = time / (double)PeriodSeconds(PERIOD_W1);
| |
result[11] = float(MathSin(x != 0 ? 2.0 * M_PI * x : 0));
| |
x = time / (double)PeriodSeconds(PERIOD_D1);
| |
result[12] = float(MathSin(x != 0 ? 2.0 * M_PI * x : 0));
| |
//---
| |
return result;
| |
}
| |
//+------------------------------------------------------------------+
| |
//| |
| |
//+------------------------------------------------------------------+
| |
//| | Creates and manages object lifecycle for CheckAction. |
| |
//+------------------------------------------------------------------+
| |
double CheckAction(CBufferFloat *action, double equity, uint start_position)
| |
{
| |
if(!action || start_position >= Rates.Size())
| |
return 0;
| |
//---
| |
double buy_lot = MathMax(double(action[0] - action[3]), 0);
| |
double sell_lot = MathMax(double(action[3] - action[0]), 0);
| |
double marg = 0;
| |
if(!OrderCalcMargin(ORDER_TYPE_BUY, Symb.Name(), 1, Symb.Ask(), marg))
| |
return 0;
| |
double point_cost = Symb.TickValue() / Symb.TickSize();
| |
if(MathMax(buy_lot, sell_lot) < Symb.LotsMin())
| |
{
| |
double loss = -MathMax(Rates[start_position].high - Rates[start_position].open,
| |
Rates[start_position].open - Rates[start_position].low) *
| |
point_cost * equity / (2 * marg);
| |
return loss;
| |
}
| |
if((marg * MathMax(buy_lot, sell_lot)) >= equity)
| |
{
| |
double loss = -MathMax(Rates[start_position].high - Rates[start_position].open,
| |
Rates[start_position].open - Rates[start_position].low) *
| |
point_cost * MathMax(buy_lot, sell_lot);
| |
return loss;
| |
}
| |
point_cost *= MathAbs(buy_lot - sell_lot);
| |
//---
| |
double tp = 0, sl = 0, profit = 0, reward = 0;
| |
int stops = MathMax(Symb.StopsLevel(), 10);
| |
int spread = Symb.Spread();
| |
if(buy_lot > 0)
| |
{
| |
tp = action[1] * MaxTP;
| |
sl = action[2] * MaxSL;
| |
if(int(tp) < stops || int(sl) < (stops + spread))
| |
{
| |
double loss = -MathMax(Rates[start_position].high - Rates[start_position].open,
| |
Rates[start_position].open - Rates[start_position].low) *
| |
point_cost * buy_lot;
| |
return loss;
| |
}
| |
tp = (tp + spread) * Symb.Point() + Rates[start_position].open;
| |
sl = Rates[start_position].open - (sl + spread) * Symb.Point();
| |
reward = profit = -spread * Symb.Point() * point_cost;
| |
for(uint i = start_position; i > 0; i--)
| |
{
| |
if(sl >= Rates[i].low)
| |
{
| |
double p = (Rates[i].open - sl) * point_cost;
| |
profit -= p;
| |
reward -= p * MathPow(DiscFactor, float(i - start_position));
| |
break;
| |
}
| |
if(tp <= Rates[i].high)
| |
{
| |
double p = (tp - Rates[i].open) * point_cost;
| |
profit += p;
| |
reward += p * MathPow(DiscFactor, float(i - start_position));
| |
break;
| |
}
| |
double p = (Rates[i - 1].open - Rates[i].open) * point_cost;
| |
profit += p;
| |
reward += p * MathPow(DiscFactor, float(i - start_position));
| |
if(-profit >= equity)
| |
{
| |
reward -= 1000;
| |
break;
| |
}
| |
}
| |
}
| |
//---
| |
if(sell_lot > 0)
| |
{
| |
tp = action[4] * MaxTP;
| |
sl = action[5] * MaxSL;
| |
if(int(tp) < stops || int(sl) < (stops + spread))
| |
{
| |
double loss = -MathMax(Rates[start_position].high - Rates[start_position].open,
| |
Rates[start_position].open - Rates[start_position].low) *
| |
point_cost * sell_lot;
| |
return loss;
| |
}
| |
tp = Rates[start_position].open - (tp + spread) * Symb.Point();
| |
sl = Rates[start_position].open + (sl - spread) * Symb.Point();
| |
for(uint i = start_position; i > 0; i--)
| |
{
| |
if(sl <= Rates[i].high)
| |
{
| |
double p = (sl - Rates[i].open) * point_cost;
| |
profit -= p;
| |
reward -= p * MathPow(DiscFactor, float(i - start_position));
| |
break;
| |
}
| |
if(tp >= Rates[i].low)
| |
{
| |
double p = (Rates[i].open - tp) * point_cost;
| |
profit += p;
| |
reward += p * MathPow(DiscFactor, float(i - start_position));
| |
break;
| |
}
| |
double p = (Rates[i - 1].open - Rates[i].open) * point_cost;
| |
profit -= p;
| |
reward -= p * MathPow(DiscFactor, float(i - start_position));
| |
if(-profit >= equity)
| |
{
| |
reward -= 1000;
| |
break;
| |
}
| |
}
| |
}
| |
//---
| |
return reward;
| |
}
| |
//+------------------------------------------------------------------+
| |
//| |
| |
//+------------------------------------------------------------------+
| |
//| | Implements OraculAction. |
| |
//+------------------------------------------------------------------+
| |
vector<float> OraculAction(const vector<float> &account, CBufferFloat *forecat)
| |
{
| |
//--- Look for target
| |
vector<float> result = vector<float>::Zeros(NActions);
| |
matrix<float> fstate = matrix<float>::Zeros(NForecast, BarDescr);
| |
if(!forecat.GetData(fstate))
| |
return result;
| |
//---
| |
vector<float> target = fstate.Col(0).CumSum();
| |
if(account[4] > account[5])
| |
{
| |
float tp = 0;
| |
float sl = 0;
| |
float cur_sl = float(MathMax(MathRand() / 32767.0, 0.01) * MaxSL * Point());
| |
int pos = 0;
| |
for(int j = 0; j < NForecast; j++)
| |
{
| |
tp = MathMax(tp, target[j] + fstate[j, 1] - fstate[j, 0]);
| |
pos = j;
| |
if(cur_sl >= -(target[j] + fstate[j, 2] - fstate[j, 0]))
| |
break;
| |
sl = MathMin(sl, target[j] + fstate[j, 2] - fstate[j, 0]);
| |
}
| |
if(pos > 0 && tp > 0)
| |
{
| |
sl = float(MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01));
| |
tp = float(MathMax(MathMin(tp / (MaxTP * Point()), 1), 0.01));
| |
result[0] = MathMax(result[0] - result[3], 0.011f);
| |
result[5] = result[1] = tp;
| |
result[4] = result[2] = sl;
| |
result[3] = 0;
| |
}
| |
}
| |
else
| |
{
| |
if(account[4] < account[5])
| |
{
| |
float tp = 0;
| |
float sl = 0;
| |
float cur_sl = float(MathMax(MathRand() / 32767.0, 0.01) * MaxSL * Point());
| |
int pos = 0;
| |
for(int j = 0; j < NForecast; j++)
| |
{
| |
tp = MathMin(tp, target[j] + fstate[j, 2] - fstate[j, 0]);
| |
pos = j;
| |
if(cur_sl <= target[j] + fstate[j, 1] - fstate[j, 0])
| |
break;
| |
sl = MathMax(sl, target[j] + fstate[j, 1] - fstate[j, 0]);
| |
}
| |
if(pos > 0 && tp < 0)
| |
{
| |
sl = float(MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01));
| |
tp = float(MathMax(MathMin(-tp / (MaxTP * Point()), 1), 0.01));
| |
result[3] = MathMax(result[3] - result[0], 0.011f);
| |
result[2] = result[4] = tp;
| |
result[1] = result[5] = sl;
| |
result[0] = 0;
| |
}
| |
}
| |
else
| |
{
| |
ulong argmin = target.ArgMin();
| |
ulong argmax = target.ArgMax();
| |
float max_sl = float(MaxSL * Point());
| |
double equity = account[2] * account[0] * EtalonBalance / (1 + account[1]);
| |
while(argmax > 0 && argmin > 0)
| |
{
| |
if(argmax < argmin && target[argmax] / 2 > MathAbs(target[argmin]) && MathAbs(target[argmin]) < max_sl)
| |
break;
| |
if(argmax > argmin && target[argmax] < MathAbs(target[argmin] / 2) && target[argmax] < max_sl)
| |
break;
| |
target.Resize(MathMin(argmax, argmin));
| |
argmin = target.ArgMin();
| |
argmax = target.ArgMax();
| |
}
| |
if(argmin == 0 || (argmax < argmin && argmax > 0))
| |
{
| |
float tp = 0;
| |
float sl = 0;
| |
float cur_sl = - float(MaxSL * Point());
| |
ulong pos = 0;
| |
for(ulong j = 0; j < argmax; j++)
| |
{
| |
tp = MathMax(tp, target[j] + fstate[j, 1] - fstate[j, 0]);
| |
pos = j;
| |
if(cur_sl >= -(target[j] + fstate[j, 2] - fstate[j, 0]))
| |
break;
| |
sl = MathMin(sl, target[j] + fstate[j, 2] - fstate[j, 0]);
| |
}
| |
if(pos > 0 && tp > 0)
| |
{
| |
sl = (float)MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01);
| |
tp = (float)MathMin(tp / (MaxTP * Point()), 1);
| |
result[0] = float(MathMax(equity / 100 * 0.01, 0.011));
| |
result[5] = result[1] = tp;
| |
result[4] = result[2] = sl;
| |
result[3] = 0;
| |
}
| |
}
| |
else
| |
{
| |
if(argmax == 0 || argmax > argmin)
| |
{
| |
float tp = 0;
| |
float sl = 0;
| |
float cur_sl = float(MaxSL * Point());
| |
ulong pos = 0;
| |
for(ulong j = 0; j < argmin; j++)
| |
{
| |
tp = MathMin(tp, target[j] + fstate[j, 2] - fstate[j, 0]);
| |
pos = j;
| |
if(cur_sl <= target[j] + fstate[j, 1] - fstate[j, 0])
| |
break;
| |
sl = MathMax(sl, target[j] + fstate[j, 1] - fstate[j, 0]);
| |
}
| |
if(pos > 0 && tp < 0)
| |
{
| |
sl = (float)MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01);
| |
tp = (float)MathMin(-tp / (MaxTP * Point()), 1);
| |
result[3] = float(MathMax(equity / 100 * 0.01, 0.011));
| |
result[2] = result[4] = tp;
| |
result[1] = result[5] = sl;
| |
result[0] = 0;
| |
}
| |
}
| |
}
| |
}
| |
}
| |
//---
| |
return result;
| |
}
| |
//+------------------------------------------------------------------+
| |
|