| //+------------------------------------------------------------------+
|
| //| Genetic.mq5 |
|
| //| Copyright 2022, DNG |
|
| //| https://www.mql5.com/ru/users/dng |
|
| //+------------------------------------------------------------------+
|
| #property copyright "Copyright 2022, DNG"
|
| #property link "https://www.mql5.com/ru/users/dng"
|
| #property version "1.00"
|
| //+------------------------------------------------------------------+
|
| //| Includes |
|
| //+------------------------------------------------------------------+
|
| #include "NetEvolution.mqh"
|
| #include <Trade\SymbolInfo.mqh>
|
| #include <Indicators\Oscilators.mqh>
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| #define MODEL Symb.Name()+"_"+EnumToString((ENUM_TIMEFRAMES)Period())+"_Evolution"
|
| #define NeuronsToBar 12
|
| //+------------------------------------------------------------------+
|
| //| Input parameters |
|
| //+------------------------------------------------------------------+
|
| input int StudyPeriod = 2; //Study period, years
|
| uint HistoryBars = 20; //Depth of history
|
| ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
|
| input int PopulationSize = 50;
|
| input int Generations = 1000;
|
| input float Mutation = 0.01f;
|
| int Actions = 3;
|
| //---
|
| 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
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| CSymbolInfo Symb;
|
| MqlRates Rates[];
|
| CNetEvolution Models;
|
| CBufferFloat *TempData;
|
| CiRSI RSI;
|
| CiCCI CCI;
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| CiATR ATR;
|
| CiMACD MACD;
|
| //---
|
| float dError;
|
| datetime dtStudied;
|
| bool bEventStudy;
|
| MqlDateTime sTime;
|
| float BestLoss;
|
| //+------------------------------------------------------------------+
|
| //| 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(!Models.Load(MODEL + ".nnw", PopulationSize, false))
|
| return INIT_FAILED;
|
| //---
|
| if(!Models.GetLayerOutput(0, TempData))
|
| return INIT_FAILED;
|
| HistoryBars = TempData.Total() / NeuronsToBar;
|
| Models.getResults(TempData);
|
| if(TempData.Total() != Actions)
|
| return INIT_PARAMETERS_INCORRECT;
|
| //---
|
| bEventStudy = EventChartCustom(ChartID(), 1, 0, 0, "Init");
|
| //---
|
| return(INIT_SUCCEEDED);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Expert deinitialization function |
|
| //+------------------------------------------------------------------+
|
| void OnDeinit(const int reason)
|
| {
|
| if(!!TempData)
|
| delete TempData;
|
| //---
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Expert tick function |
|
| //+------------------------------------------------------------------+
|
| void OnTick()
|
| {
|
| //---
|
| }
|
| //+------------------------------------------------------------------+
|
| //| ChartEvent function |
|
| //+------------------------------------------------------------------+
|
| void OnChartEvent(const int id,
|
| const long &lparam,
|
| const double &dparam,
|
| const string &sparam)
|
| {
|
| //---
|
| if(id == 1001)
|
| Train();
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| void Train(void)
|
| {
|
| //---
|
| MqlDateTime start_time;
|
| TimeCurrent(start_time);
|
| start_time.year -= StudyPeriod;
|
| if(start_time.year <= 0)
|
| start_time.year = 1900;
|
| datetime st_time = StructToTime(start_time);
|
| //---
|
| int bars = CopyRates(Symb.Name(), TimeFrame, st_time, TimeCurrent(), Rates);
|
| if(!RSI.BufferResize(bars) || !CCI.BufferResize(bars) || !ATR.BufferResize(bars) || !MACD.BufferResize(bars))
|
| {
|
| ExpertRemove();
|
| return;
|
| }
|
| if(!ArraySetAsSeries(Rates, true))
|
| {
|
| ExpertRemove();
|
| return;
|
| }
|
| //---
|
| RSI.Refresh();
|
| CCI.Refresh();
|
| ATR.Refresh();
|
| MACD.Refresh();
|
| //---
|
| CBufferFloat* State = new CBufferFloat();
|
| float loss = 0;
|
| uint count = 0;
|
| uint total = bars - HistoryBars - 2;
|
| ulong ticks = GetTickCount64();
|
| uint test_size = 22 * 24;
|
| for(int gen = 0; (gen < Generations && !IsStopped()); gen ++)
|
| {
|
| for(uint i = total; i > test_size; i--)
|
| {
|
| uint r = i + HistoryBars;
|
| if(r > (uint)bars)
|
| {
|
| continue;
|
| }
|
| State.Clear();
|
| for(uint b = 0; b < HistoryBars; b++)
|
| {
|
| uint bar_t = r - b;
|
| float open = (float)Rates[bar_t].open;
|
| TimeToStruct(Rates[bar_t].time, sTime);
|
| float rsi = (float)RSI.Main(bar_t);
|
| float cci = (float)CCI.Main(bar_t);
|
| float atr = (float)ATR.Main(bar_t);
|
| float macd = (float)MACD.Main(bar_t);
|
| float sign = (float)MACD.Signal(bar_t);
|
| if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
|
| continue;
|
| //---
|
| if(!State.Add((float)Rates[bar_t].close - open) || !State.Add((float)Rates[bar_t].high - open) ||
|
| !State.Add((float)Rates[bar_t].low - open) || !State.Add((float)Rates[bar_t].tick_volume / 1000.0f) ||
|
| !State.Add(sTime.hour) || !State.Add(sTime.day_of_week) || !State.Add(sTime.mon) ||
|
| !State.Add(rsi) || !State.Add(cci) || !State.Add(atr) || !State.Add(macd) || !State.Add(sign))
|
| {
|
| break;
|
| }
|
| }
|
| if(IsStopped())
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| break;
|
| }
|
| if(State.Total() < (int)HistoryBars * NeuronsToBar)
|
| {
|
| continue;
|
| }
|
| if(!Models.feedForward(State, NeuronsToBar, true))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| return;
|
| }
|
| double reward = Rates[i - 1].close - Rates[i - 1].open;
|
| TempData.Clear();
|
| if(!TempData.Add((float)(reward < 0 ? 20 * reward : reward)) ||
|
| !TempData.Add((float)(reward > 0 ? -reward * 20 : -reward)) ||
|
| !TempData.Add((float) - fabs(reward * 10)))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| break;
|
| }
|
| if(!Models.Rewards(TempData))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| break;
|
| }
|
| if(GetTickCount64() - ticks > 250)
|
| {
|
| uint x = total - i;
|
| double perc = x * 100.0 / (total - test_size);
|
| Comment(StringFormat("%d from %d -> %.2f%% from %.2f%%", x, total - test_size, perc, 100));
|
| ticks = GetTickCount64();
|
| }
|
| }
|
| //---
|
| if(!IsStopped())
|
| Models.Save(MODEL + ".nnw", false);
|
| //---
|
| float average, maximum;
|
| if(!Models.NextGeneration(Mutation, average, maximum))
|
| {
|
| PrintFormat("Error of create next generation: %d", GetLastError());
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| break;
|
| }
|
| //---
|
| PrintFormat("Generation %d, Average Cummulative reward %.5f, Max Reward %.5f", gen, average, maximum);
|
| }
|
| delete State;
|
| Comment("");
|
| //---
|
| ExpertRemove();
|
| }
|
| //+------------------------------------------------------------------+
|
|
|
