| //+------------------------------------------------------------------+
|
| //| Study.mq5 |
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| //| 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"
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| #property version "1.00"
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| #define Study
|
| #include "Trajectory.mqh"
|
| //+------------------------------------------------------------------+
|
| //| Input parameters |
|
| //+------------------------------------------------------------------+
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| input int Iterations = 10000;
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| //+------------------------------------------------------------------+
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| //| |
|
| //+------------------------------------------------------------------+
|
| STrajectory Buffer[];
|
| CNet Actor;
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| CNet StateEncoder;
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| CNet Encoder;
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| CNet Goal;
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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 bGoal;
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| CBufferFloat bGradient;
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| CBufferFloat bLastEncoder;
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| CBufferFloat *Result;
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| vector<float> check;
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| vector<float> STD_Actor;
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| vector<float> STD_Goal;
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| //---
|
| COpenCLMy *OpenCL;
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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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| ResetLastError();
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| if(!LoadTotalBase())
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| {
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| PrintFormat("Error of load study data: %d", GetLastError());
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| return INIT_FAILED;
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| }
|
| //--- load models
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| float temp;
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| if(!Encoder.Load(FileName + "Enc.nnw", temp, temp, temp, dtStudied, true))
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| {
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| Print("Cann't load Encoder model");
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| return INIT_FAILED;
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| }
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| if(!StateEncoder.Load(FileName + "StEnc.nnw", temp, temp, temp, dtStudied, true) ||
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| !Goal.Load(FileName + "Goal.nnw", temp, temp, temp, dtStudied, true) ||
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| !Actor.Load(FileName + "Act.nnw", temp, temp, temp, dtStudied, true))
|
| {
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| CArrayObj *actor = new CArrayObj();
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| CArrayObj *goal = new CArrayObj();
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| CArrayObj *encoder = new CArrayObj();
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| if(!CreateDescriptions(actor, goal, encoder))
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| {
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| delete actor;
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| delete goal;
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| delete encoder;
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| return INIT_FAILED;
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| }
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| if(!Actor.Create(actor) || !StateEncoder.Create(encoder) || !Goal.Create(goal))
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| {
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| delete actor;
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| delete goal;
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| delete encoder;
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| return INIT_FAILED;
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| }
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| delete actor;
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| delete goal;
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| delete encoder;
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| //---
|
| }
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| //---
|
| OpenCL = Actor.GetOpenCL();
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| StateEncoder.SetOpenCL(OpenCL);
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| Encoder.SetOpenCL(OpenCL);
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| Goal.SetOpenCL(OpenCL);
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| Encoder.TrainMode(false);
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| //---
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| Actor.getResults(Result);
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| if(Result.Total() != NActions)
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| {
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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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| Encoder.getResults(Result);
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| if(Result.Total() != EmbeddingSize)
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| {
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| PrintFormat("The scope of the Encoder does not match the embedding size (%d <> %d)", EmbeddingSize, Result.Total());
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| return INIT_FAILED;
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| }
|
| //---
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| Encoder.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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| StateEncoder.GetLayerOutput(0, Result);
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| if(Result.Total() != EmbeddingSize)
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| {
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| PrintFormat("Input size of State Encoder doesn't match Bottleneck (%d <> %d)", Result.Total(), EmbeddingSize);
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| return INIT_FAILED;
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| }
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| //---
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| StateEncoder.getResults(Result);
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| int latent_state = Result.Total();
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| Actor.GetLayerOutput(0, Result);
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| if(Result.Total() != latent_state)
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| {
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| PrintFormat("Input size of Actor doesn't match output State Encoder (%d <> %d)", Result.Total(), latent_state);
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| return INIT_FAILED;
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| }
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| //---
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| Goal.GetLayerOutput(0, Result);
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| latent_state = Result.Total();
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| Encoder.getResults(Result);
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| if(Result.Total() != latent_state)
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| {
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| PrintFormat("Input size of Goal doesn't match output Encoder (%d <> %d)", Result.Total(), latent_state);
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| return INIT_FAILED;
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| }
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| //---
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| Goal.getResults(Result);
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| if(Result.Total() != NRewards)
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| {
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| PrintFormat("The scope of Goal doesn't match rewards count (%d <> %d)", Result.Total(), NRewards);
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| return INIT_FAILED;
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| }
|
| //---
|
| if(!bLastEncoder.BufferInit(EmbeddingSize, 0) ||
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| !bGradient.BufferInit(MathMax(EmbeddingSize, AccountDescr), 0) ||
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| !bLastEncoder.BufferCreate(OpenCL) ||
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| !bGradient.BufferCreate(OpenCL))
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| {
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| PrintFormat("Error of create buffers: %d", GetLastError());
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| return INIT_FAILED;
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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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| }
|
| //---
|
| return(INIT_SUCCEEDED);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Expert deinitialization function |
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| //+------------------------------------------------------------------+
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| void OnDeinit(const int reason)
|
| {
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| //---
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| if(!(reason == REASON_INITFAILED || reason == REASON_RECOMPILE))
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| {
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| Actor.Save(FileName + "Act.nnw", 0, 0, 0, TimeCurrent(), true);
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| StateEncoder.Save(FileName + "StEnc.nnw", 0, 0, 0, TimeCurrent(), true);
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| Goal.Save(FileName + "Goal.nnw", 0, 0, 0, TimeCurrent(), true);
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| }
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| delete Result;
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| delete OpenCL;
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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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| if(id == 1001)
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| Train();
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| }
|
| //+------------------------------------------------------------------+
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| //| Train function |
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| //+------------------------------------------------------------------+
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| void Train(void)
|
| {
|
| //---
|
| vector<float> probability = GetProbTrajectories(Buffer, 0.9);
|
| //---
|
| vector<float> result, target;
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| matrix<float> targets;
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| STD_Actor = vector<float>::Zeros(NActions);
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| STD_Goal = vector<float>::Zeros(NRewards);
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| int std_count = 0;
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| bool Stop = false;
|
| //---
|
| uint ticks = GetTickCount();
|
| //---
|
| for(int iter = 0; (iter < Iterations && !IsStopped() && !Stop); iter ++)
|
| {
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| int tr = SampleTrajectory(probability);
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| int batch = GPTBars + 50;
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| int state = (int)((MathRand() * MathRand() / MathPow(32767, 2)) * (Buffer[tr].Total - 2 - PrecoderBars - batch));
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| if(state <= 0)
|
| {
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| iter--;
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| continue;
|
| }
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| Encoder.Clear();
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| bLastEncoder.BufferInit(EmbeddingSize, 0);
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| int end = MathMin(state + batch, Buffer[tr].Total - PrecoderBars);
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| for(int i = state; i < end; i++)
|
| {
|
| bState.AssignArray(Buffer[tr].States[i].state);
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| //---
|
| if(!bLastEncoder.BufferWrite() ||
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| !Encoder.feedForward((CBufferFloat*)GetPointer(bState), 1, false, (CBufferFloat*)GetPointer(bLastEncoder)))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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| Stop = true;
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| break;
|
| }
|
| //---
|
| float PrevBalance = Buffer[tr].States[MathMax(i - 1, 0)].account[0];
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| float PrevEquity = Buffer[tr].States[MathMax(i - 1, 0)].account[1];
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| bAccount.Clear();
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| bAccount.Add((Buffer[tr].States[i].account[0] - PrevBalance) / PrevBalance);
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| bAccount.Add(Buffer[tr].States[i].account[1] / PrevBalance);
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| bAccount.Add((Buffer[tr].States[i].account[1] - PrevEquity) / PrevEquity);
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| bAccount.Add(Buffer[tr].States[i].account[2]);
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| bAccount.Add(Buffer[tr].States[i].account[3]);
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| bAccount.Add(Buffer[tr].States[i].account[4] / PrevBalance);
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| bAccount.Add(Buffer[tr].States[i].account[5] / PrevBalance);
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| bAccount.Add(Buffer[tr].States[i].account[6] / PrevBalance);
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| double time = (double)Buffer[tr].States[i].account[7];
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| double x = time / (double)(D'2024.01.01' - D'2023.01.01');
|
| bAccount.Add((float)MathSin(x != 0 ? 2.0 * M_PI * x : 0));
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| x = time / (double)PeriodSeconds(PERIOD_MN1);
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| bAccount.Add((float)MathCos(x != 0 ? 2.0 * M_PI * x : 0));
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| x = time / (double)PeriodSeconds(PERIOD_W1);
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| bAccount.Add((float)MathSin(x != 0 ? 2.0 * M_PI * x : 0));
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| x = time / (double)PeriodSeconds(PERIOD_D1);
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| bAccount.Add((float)MathSin(x != 0 ? 2.0 * M_PI * x : 0));
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| if(bAccount.GetIndex() >= 0)
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| bAccount.BufferWrite();
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| //--- State embedding
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| if(!StateEncoder.feedForward((CNet *)GetPointer(Encoder), -1, (CBufferFloat*)GetPointer(bAccount)))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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| Stop = true;
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| break;
|
| }
|
| //---
|
| targets = matrix<float>::Zeros(PrecoderBars, NRewards);
|
| result.Assign(Buffer[tr].States[i + 1].rewards);
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| for(int t = 0; t < PrecoderBars; t++)
|
| {
|
| target = result;
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| result.Assign(Buffer[tr].States[i + t + 2].rewards);
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| target = target - result * DiscFactor;
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| targets.Row(target, t);
|
| }
|
| for(int t = 1; t < PrecoderBars; t++)
|
| {
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| target = targets.Row(t - 1) + targets.Row(t) * MathPow(DiscFactor, t);
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| targets.Row(target, t);
|
| }
|
| result = targets.Sum(1);
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| ulong row = result.ArgMax();
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| target = targets.Row(row);
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| bGoal.AssignArray(target);
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| //--- Actor
|
| if(!Actor.feedForward((CNet *)GetPointer(StateEncoder), -1, (CBufferFloat*)GetPointer(bGoal)))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
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| break;
|
| }
|
| target.Assign(Buffer[tr].States[i].action);
|
| target.Clip(0, 1);
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| Actor.getResults(result);
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| vector<float> error = target - result;
|
| std_count = MathMin(std_count, 999);
|
| STD_Actor = MathSqrt((MathPow(STD_Actor, 2) * std_count + MathPow(error, 2)) / (std_count + 1));
|
| check = MathAbs(error) - STD_Actor * STD_Multiplier;
|
| if(check.Max() > 0)
|
| {
|
| Result.AssignArray(CAGrad(error) + result);
|
| if(!Actor.backProp(Result, (CBufferFloat *)GetPointer(bGoal), (CBufferFloat *)GetPointer(bGradient)) ||
|
| !StateEncoder.backPropGradient(GetPointer(bAccount), (CBufferFloat *)GetPointer(bGradient)))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| }
|
| //--- Goal
|
| if(!Goal.feedForward((CNet *)GetPointer(Encoder), -1, (CBufferFloat*)NULL))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| target=targets.Row(row);
|
| result = target / (MathAbs(target) + FLT_EPSILON);
|
| result = MathPow(vector<float>::Full(NRewards, 2), result);
|
| target = target * result;
|
| Goal.getResults(result);
|
| error = target - result;
|
| std_count = MathMin(std_count, 999);
|
| STD_Goal = MathSqrt((MathPow(STD_Goal, 2) * std_count + MathPow(error, 2)) / (std_count + 1));
|
| std_count++;
|
| check = MathAbs(error) - STD_Goal * STD_Multiplier;
|
| if(check.Max() > 0)
|
| {
|
| Result.AssignArray(CAGrad(error) + result);
|
| if(!Goal.backProp(Result, (CBufferFloat *)NULL, (CBufferFloat *)NULL))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| }
|
| //---
|
| Encoder.getResults(result);
|
| bLastEncoder.AssignArray(result);
|
| //---
|
| if(GetTickCount() - ticks > 500)
|
| {
|
| double percent = (double(i - state) / ((end - state)) + iter) * 100.0 / (Iterations);
|
| string str = StringFormat("%-14s %6.2f%% -> Error %15.8f\n", "Actor", percent, Actor.getRecentAverageError());
|
| str += StringFormat("%-14s %6.2f%% -> Error %15.8f\n", "Goal", percent, Goal.getRecentAverageError());
|
| Comment(str);
|
| ticks = GetTickCount();
|
| }
|
| }
|
| }
|
| Comment("");
|
| //---
|
| PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Actor", Actor.getRecentAverageError());
|
| PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Goal", Goal.getRecentAverageError());
|
| ExpertRemove();
|
| //---
|
| }
|
| //+------------------------------------------------------------------+
|
|
|
