| //+------------------------------------------------------------------+
|
| //| Study.mq5 |
|
| //| Copyright DNG® |
|
| //| https://www.mql5.com/ru/users/dng |
|
| //+------------------------------------------------------------------+
|
| #property copyright "Copyright DNG®"
|
| #property link "https://www.mql5.com/ru/users/dng"
|
| #property version "1.00"
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| #define Study
|
| #define StudyOnline
|
| //+------------------------------------------------------------------+
|
| //| Input parameters |
|
| //+------------------------------------------------------------------+
|
| input datetime Start = D'2024.01.01';
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| input datetime End = D'2026.01.01';
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| input int Epochs = 100;
|
| input double MinBalance = 50;
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| input double MaxBalance = 150;
|
| #include "Trajectory.mqh"
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| CNet cActor;
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| CNet cCritic;
|
| //---
|
| float dError;
|
| datetime dtStudied;
|
| //---
|
| CBufferFloat bState;
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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;
|
| //+------------------------------------------------------------------+
|
| //| Expert initialization function |
|
| //+------------------------------------------------------------------+
|
| int OnInit()
|
| {
|
| //---
|
| ResetLastError();
|
| //--- load models
|
| float temp;
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| CArrayObj *actor = new CArrayObj();
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| CArrayObj *critic = new CArrayObj();
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| if(!CreateDescriptions(actor, critic))
|
| {
|
| // Implements DeleteObj.
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| DeleteObj(actor)
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| // Implements DeleteObj.
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| DeleteObj(critic)
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| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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| return INIT_FAILED;
|
| }
|
| if(!cActor.Load(FileName + "Act.nnw", temp, temp, temp, dtStudied, true))
|
| {
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| Print("Create new Actor");
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| if(!cActor.Create(actor))
|
| {
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| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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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;
|
| }
|
| }
|
| if(!cCritic.Load(FileName + "Crt.nnw", temp, temp, temp, dtStudied, true))
|
| {
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| Print("Create new Critic");
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| if(!cCritic.Create(critic))
|
| {
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| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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| DeleteObj(actor)
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| DeleteObj(critic)
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| return INIT_FAILED;
|
| }
|
| }
|
| DeleteObj(actor)
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| DeleteObj(critic)
|
| //---
|
| 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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| //---
|
| if(!Symb.Name(_Symbol) || !Symb.Refresh())
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| return INIT_FAILED;
|
| //---
|
| if(!RSI.Create(Symb.Name(), TimeFrame, RSIPeriod, RSIPrice))
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| return INIT_FAILED;
|
| //---
|
| if(!CCI.Create(Symb.Name(), TimeFrame, CCIPeriod, CCIPrice))
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| return INIT_FAILED;
|
| //---
|
| if(!ATR.Create(Symb.Name(), TimeFrame, ATRPeriod))
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| return INIT_FAILED;
|
| //---
|
| if(!MACD.Create(Symb.Name(), TimeFrame, FastPeriod, SlowPeriod, SignalPeriod, MACDPrice))
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| return INIT_FAILED;
|
| //---
|
| cActor.GetLayerOutput(0, Result);
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| if(Result.Total() != (HistoryBars * BarDescr + AccountDescr))
|
| {
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| PrintFormat("Input size of Actor doesn't match state description (%d <> %d)", Result.Total(), (HistoryBars * BarDescr + AccountDescr));
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| return INIT_FAILED;
|
| }
|
| //---
|
| if(!EventChartCustom(ChartID(), 1, 0, 0, "Init"))
|
| {
|
| PrintFormat("Error of create study event: %d", GetLastError());
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| return INIT_FAILED;
|
| }
|
| //---
|
| return(INIT_SUCCEEDED);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Expert deinitialization function |
|
| //+------------------------------------------------------------------+
|
| void OnDeinit(const int reason)
|
| {
|
| //---
|
| if(!(reason == REASON_INITFAILED || reason == REASON_RECOMPILE))
|
| {
|
| 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");
|
| }
|
| delete Result;
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| delete Action;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| ChartEvent function |
|
| //+------------------------------------------------------------------+
|
| void OnChartEvent(const int id,
|
| const long &lparam,
|
| const double &dparam,
|
| const string &sparam)
|
| {
|
| //---
|
| switch(id)
|
| {
|
| case 1001:
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| Train();
|
| break;
|
| case 1007:
|
| Print("Event 1007");
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| if(!EventChartCustom(ChartID(), 1, 0, 0, "ChartEvent"))
|
| {
|
| PrintFormat("Error of create study event: %d", GetLastError());
|
| ExpertRemove();
|
| }
|
| break;
|
| }
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Train function |
|
| //+------------------------------------------------------------------+
|
| void Train(void)
|
| {
|
| int start = iBarShift(Symb.Name(), TimeFrame, Start);
|
| int end = iBarShift(Symb.Name(), TimeFrame, End);
|
| int bars = CopyRates(Symb.Name(), TimeFrame, 0, start, Rates);
|
| //---
|
| if(!RSI.BufferResize(bars) || !CCI.BufferResize(bars) ||
|
| !ATR.BufferResize(bars) || !MACD.BufferResize(bars))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| ExpertRemove();
|
| return;
|
| }
|
| //---
|
| int count = -1;
|
| bool calculated = false;
|
| do
|
| {
|
| calculated = (RSI.BarsCalculated() >= bars &&
|
| CCI.BarsCalculated() >= bars &&
|
| ATR.BarsCalculated() >= bars &&
|
| MACD.BarsCalculated() >= bars
|
| );
|
| Sleep(100);
|
| count++;
|
| }
|
| while(!calculated && count < 100);
|
| if(!calculated)
|
| {
|
| PrintFormat("%s -> %d The training data has not been loaded", __FUNCTION__, __LINE__);
|
| ExpertRemove();
|
| return;
|
| }
|
| RSI.Refresh();
|
| CCI.Refresh();
|
| ATR.Refresh();
|
| MACD.Refresh();
|
| //---
|
| if(!ArraySetAsSeries(Rates, true))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| ExpertRemove();
|
| return;
|
| }
|
| bars -= end + HistoryBars + NForecast;
|
| if(bars < 0)
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| ExpertRemove();
|
| return;
|
| }
|
| //---
|
| vector<float> result, target, neg_target;
|
| bool Stop = false;
|
| //---
|
| uint ticks = GetTickCount();
|
| //---
|
| for(int epoch = 0; (epoch < Epochs && !IsStopped() && !Stop); epoch ++)
|
| {
|
| if(!cActor.Clear() ||
|
| !cCritic.Clear())
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| ExpertRemove();
|
| return;
|
| }
|
| for(int posit = start - HistoryBars - NForecast - 1; posit >= end; posit--)
|
| {
|
| if(!CreateBuffers(posit, GetPointer(bState), GetPointer(bTime), Result))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| ExpertRemove();
|
| return;
|
| }
|
| const vector<float> account = SampleAccount(GetPointer(bState), datetime(bTime[0]), MaxBalance, MinBalance);
|
| const vector<float> target_action = OraculAction(account, Result);
|
| if(!bState.AddArray(account))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| ExpertRemove();
|
| return;
|
| }
|
| //--- Feed Forward
|
| if(!cActor.feedForward((CBufferFloat*)GetPointer(bState), 1, false, (CBufferFloat*)GetPointer(bTime)))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| #ifdef _DEBUG
|
| vector<float> res;
|
| cActor.getResults(res);
|
| #endif
|
| if(!cCritic.feedForward(GetPointer(cActor), -1, GetPointer(cActor), LatentLayer))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| #ifdef _DEBUG
|
| cCritic.getResults(res);
|
| #endif
|
| //--- Study
|
| cActor.getResults(Action);
|
| double balance = account[0] * EtalonBalance;
|
| double reward = CheckAction(Action, balance, posit - NForecast + 1) * balance / EtalonBalance;
|
| //---
|
| Result.Clear();
|
| if(!Result.Add(float(reward)))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| if(!cCritic.backProp(Result, GetPointer(cActor), LatentLayer))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| //--- Oracul
|
| if(!Action.AssignArray(target_action))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| reward = CheckAction(Action, balance, posit - NForecast + 1) * balance / EtalonBalance;
|
| if(reward > 0)
|
| if(!cActor.backProp(Action, (CBufferFloat*)NULL))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| if(!cActor.feedForward((CBufferFloat*)GetPointer(bState), 1, false, (CBufferFloat*)GetPointer(bTime)) ||
|
| !cCritic.feedForward(Action, 1, false, GetPointer(cActor), LatentLayer))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| if(!Result.Update(0, float(reward)))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| if(!cCritic.backProp(Result, GetPointer(cActor), LatentLayer) ||
|
| !cActor.backPropGradient((CBufferFloat*)GetPointer(bTime), (CBufferFloat*)NULL, LatentLayer, true))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| cCritic.TrainMode(false);
|
| if(!cActor.feedForward((CBufferFloat*)GetPointer(bState), 1, false, (CBufferFloat*)GetPointer(bTime)) ||
|
| !cCritic.feedForward(GetPointer(cActor), -1, GetPointer(cActor), LatentLayer) ||
|
| !cCritic.backProp(Result, GetPointer(cActor), LatentLayer) ||
|
| !cActor.backPropGradient((CBufferFloat*)GetPointer(bTime), (CBufferFloat*)NULL, -1, true))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| cCritic.TrainMode(true);
|
| //---
|
| if(GetTickCount() - ticks > 500)
|
| {
|
| double percent = (epoch + 1.0 - double(posit - end) / (start - end - HistoryBars - NForecast)) / Epochs * 100.0;
|
| string str = "";
|
| str += StringFormat("%-12s %6.2f%% -> Error %15.8f\n", "Actor", percent, cActor.getRecentAverageError());
|
| str += StringFormat("%-12s %6.2f%% -> Error %15.8f\n", "Critic", percent, cCritic.getRecentAverageError());
|
| Comment(str);
|
| ticks = GetTickCount();
|
| }
|
| }
|
| }
|
| Comment("");
|
| //---
|
| PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Actor", cActor.getRecentAverageError());
|
| PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Critic", cCritic.getRecentAverageError());
|
| ExpertRemove();
|
| //---
|
| }
|
| //+------------------------------------------------------------------+
|
|
|
