| //+------------------------------------------------------------------+
|
| //| Trajectory.mqh |
|
| //| Copyright 2026, DNG |
|
| //| https://www.mql5.com/ru/users/dng |
|
| //+------------------------------------------------------------------+
|
| #property copyright "Copyright 2026, DNG"
|
| #property link "https://www.mql5.com/ru/users/dng"
|
| #property version "1.00"
|
| #include "..\NeuroNet_DNG\NeuroNet.mqh"
|
| #include <Trade\Trade.mqh>
|
| #include <Trade\SymbolInfo.mqh>
|
| #include <Indicators\Oscilators.mqh>
|
| input group "---- Indicators ----"
|
| input ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
|
| //---
|
| 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
|
| int iLatentLayer = -1;
|
| //---
|
| #define HistoryBars 5
|
| #define BarDescr 9 //Elements for 1 bar description
|
| #define AccountDescr 13 //Account description
|
| #define NActions 6 //Number of possible Actions
|
| #define NRewards 1 //Number of rewards
|
| #define NForecast 12 //Number of forecast
|
| #define EtalonBalance 1e4
|
| #define BatchSize 1e+5
|
| #define EmbeddingSize 32
|
| #define Buffer_Size 31000
|
| #define DiscFactor 0.9f
|
| #define FileName "MDL"
|
| #define LatentCount 64
|
| #define LatentLayer iLatentLayer
|
| #define MaxSL 1000
|
| #define MaxTP 1000
|
| #define ActorUpdate 5
|
| #define TargetUpdate 24*5
|
| #define tau 0.9f
|
| #define NExperts 5
|
| #define NScenarios 16
|
| #define TopK 3
|
| #define NHeads 4
|
| #define StackSize 24*63
|
| CSymbolInfo Symb;
|
| CTrade Trade;
|
| MqlRates Rates[];
|
| //---
|
| CiRSI RSI;
|
| CiCCI CCI;
|
| CiATR ATR;
|
| CiMACD MACD;
|
| struct SState
|
| {
|
| float state[HistoryBars * BarDescr];
|
| float account[AccountDescr - 4];
|
| float action[NActions];
|
| float rewards[NRewards];
|
| //---
|
| SState(void);
|
| //---
|
| bool Save(int file_handle);
|
| bool Load(int file_handle);
|
| //--- overloading
|
| void operator=(const SState &obj)
|
| {
|
| ArrayCopy(state, obj.state);
|
| ArrayCopy(account, obj.account);
|
| ArrayCopy(action, obj.action);
|
| ArrayCopy(rewards, obj.rewards);
|
| }
|
| };
|
| //+------------------------------------------------------------------+
|
| //| Implements SState. |
|
| //+------------------------------------------------------------------+
|
| SState::SState(void)
|
| {
|
| ArrayInitialize(state, 0);
|
| ArrayInitialize(account, 0);
|
| ArrayInitialize(action, 0);
|
| ArrayInitialize(rewards, 0);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Saves . |
|
| //+------------------------------------------------------------------+
|
| bool SState::Save(int file_handle)
|
| {
|
| if(file_handle == INVALID_HANDLE)
|
| return false;
|
| //---
|
| int total = ArraySize(state);
|
| if(FileWriteInteger(file_handle, total) < sizeof(int))
|
| return false;
|
| for(int i = 0; i < total; i++)
|
| if(FileWriteFloat(file_handle, state[i]) < sizeof(float))
|
| return false;
|
| //---
|
| total = ArraySize(account);
|
| if(FileWriteInteger(file_handle, total) < sizeof(int))
|
| return false;
|
| for(int i = 0; i < total; i++)
|
| if(FileWriteFloat(file_handle, account[i]) < sizeof(float))
|
| return false;
|
| //---
|
| total = ArraySize(action);
|
| if(FileWriteInteger(file_handle, total) < sizeof(int))
|
| return false;
|
| for(int i = 0; i < total; i++)
|
| if(FileWriteFloat(file_handle, action[i]) < sizeof(float))
|
| return false;
|
| total = ArraySize(rewards);
|
| if(FileWriteInteger(file_handle, total) < sizeof(int))
|
| return false;
|
| for(int i = 0; i < total; i++)
|
| if(FileWriteFloat(file_handle, rewards[i]) < sizeof(float))
|
| return false;
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Loads . |
|
| //+------------------------------------------------------------------+
|
| bool SState::Load(int file_handle)
|
| {
|
| if(file_handle == INVALID_HANDLE)
|
| return false;
|
| if(FileIsEnding(file_handle))
|
| return false;
|
| //---
|
| int total = FileReadInteger(file_handle);
|
| if(total != ArraySize(state))
|
| return false;
|
| //---
|
| for(int i = 0; i < total; i++)
|
| {
|
| if(FileIsEnding(file_handle))
|
| return false;
|
| state[i] = FileReadFloat(file_handle);
|
| }
|
| //---
|
| total = FileReadInteger(file_handle);
|
| if(total != ArraySize(account))
|
| return false;
|
| //---
|
| for(int i = 0; i < total; i++)
|
| {
|
| if(FileIsEnding(file_handle))
|
| return false;
|
| account[i] = FileReadFloat(file_handle);
|
| }
|
| //---
|
| total = FileReadInteger(file_handle);
|
| if(total != ArraySize(action))
|
| return false;
|
| //---
|
| for(int i = 0; i < total; i++)
|
| {
|
| if(FileIsEnding(file_handle))
|
| return false;
|
| action[i] = MathMin(MathMax(FileReadFloat(file_handle), 0), 1);
|
| }
|
| //---
|
| total = FileReadInteger(file_handle);
|
| if(total != ArraySize(rewards))
|
| return false;
|
| //---
|
| for(int i = 0; i < total; i++)
|
| {
|
| if(FileIsEnding(file_handle))
|
| return false;
|
| rewards[i] = FileReadFloat(file_handle);
|
| }
|
| //---
|
| return true;
|
| }
|
| struct STrajectory
|
| {
|
| SState States[Buffer_Size];
|
| int Total;
|
| float DiscountFactor;
|
| bool CumCounted;
|
| //---
|
| STrajectory(void);
|
| //---
|
| bool Add(SState &state);
|
| void CumRevards(void);
|
| //---
|
| bool Save(int file_handle);
|
| bool Load(int file_handle);
|
| };
|
| //+------------------------------------------------------------------+
|
| //| Implements STrajectory. |
|
| //+------------------------------------------------------------------+
|
| STrajectory::STrajectory(void) : Total(0),
|
| //--- Implements DiscountFactor.
|
| DiscountFactor(DiscFactor),
|
| //--- Creates and manages object lifecycle for CumCounted.
|
| CumCounted(false)
|
| {
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Saves (Save). |
|
| //+------------------------------------------------------------------+
|
| bool STrajectory::Save(int file_handle)
|
| {
|
| if(file_handle == INVALID_HANDLE)
|
| return false;
|
| if(Total <= 0)
|
| return true;
|
| //---
|
| if(!CumCounted)
|
| CumRevards();
|
| Total = MathMin((int)States.Size(), Total);
|
| if(FileWriteInteger(file_handle, Total) < sizeof(int))
|
| return false;
|
| if(FileWriteFloat(file_handle, DiscountFactor) < sizeof(float))
|
| return false;
|
| for(int i = 0; i < Total; i++)
|
| if(!States[i].Save(file_handle))
|
| return false;
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Loads (Load). |
|
| //+------------------------------------------------------------------+
|
| bool STrajectory::Load(int file_handle)
|
| {
|
| if(file_handle == INVALID_HANDLE)
|
| return false;
|
| //---
|
| Total = FileReadInteger(file_handle);
|
| if(FileIsEnding(file_handle) || Total >= ArraySize(States))
|
| return false;
|
| DiscountFactor = FileReadFloat(file_handle);
|
| CumCounted = true;
|
| //---
|
| for(int i = 0; i < Total; i++)
|
| if(!States[i].Load(file_handle))
|
| return false;
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Creates and manages object lifecycle for CumRevards. |
|
| //+------------------------------------------------------------------+
|
| void STrajectory::CumRevards(void)
|
| {
|
| if(CumCounted)
|
| return;
|
| //---
|
| for(int i = Total - 2; i >= 0; i--)
|
| for(int r = 0; r < NRewards; r++)
|
| States[i].rewards[r] += States[i + 1].rewards[r] * DiscountFactor;
|
| CumCounted = true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Implements Add. |
|
| //+------------------------------------------------------------------+
|
| bool STrajectory::Add(SState &state)
|
| {
|
| if(Total + 1 >= ArraySize(States))
|
| return false;
|
| States[Total] = state;
|
| Total++;
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Implements CreateDescriptions. |
|
| //+------------------------------------------------------------------+
|
| bool CreateDescriptions(CArrayObj *&actor,
|
| CArrayObj *&critic
|
| )
|
| {
|
| //---
|
| CLayerDescription *descr;
|
| //---
|
| if(!actor)
|
| {
|
| actor = new CArrayObj();
|
| if(!actor)
|
| return false;
|
| }
|
| if(!critic)
|
| {
|
| critic = new CArrayObj();
|
| if(!critic)
|
| return false;
|
| }
|
| //--- Actor
|
| actor.Clear();
|
| //--- Input layer
|
| if(!(descr = new CLayerDescription()))
|
| DeleteObjAndFalse(descr);
|
| descr.type = defNeuronBaseOCL;
|
| uint prev_count = descr.count = (HistoryBars * BarDescr) + AccountDescr;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| DeleteObjAndFalse(descr);
|
| iLatentLayer = 0;
|
| //--- layer 1
|
| if(!(descr = new CLayerDescription()))
|
| DeleteObjAndFalse(descr);
|
| descr.type = defNeuronMDL;
|
| {
|
| if(ArrayResize(descr.windows, BarDescr + 3) < (BarDescr + 3))
|
| ReturnFalse;
|
| ArrayFill(descr.windows, 0, BarDescr, HistoryBars);
|
| descr.windows[BarDescr] = 4; // Account
|
| descr.windows[BarDescr + 1] = 5; // Position
|
| descr.windows[BarDescr + 2] = 4; // Time
|
| }
|
| {
|
| uint temp[] = {BarDescr, NScenarios};
|
| if(ArrayCopy(descr.units, temp, 0, 0, temp.Size()) < int(temp.Size()))
|
| ReturnFalse;
|
| }
|
| descr.step = NHeads;
|
| descr.count = StackSize;
|
| descr.layers = 3;
|
| descr.window_out = EmbeddingSize;
|
| descr.variables = NExperts; //Candidates
|
| descr.probability = TopK;
|
| descr.batch = BatchSize;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| DeleteObjAndFalse(descr);
|
| iLatentLayer++;
|
| uint count = prev_count = 3;
|
| uint prev_out = descr.window_out;
|
| uint window = prev_out;
|
| //--- layer 2
|
| if(!(descr = new CLayerDescription()))
|
| DeleteObjAndFalse(descr);
|
| descr.type = defNeuronSpikeConvBlock;
|
| descr.count = prev_count;
|
| descr.window = prev_out;
|
| descr.step = prev_out;
|
| descr.window_out = (LatentCount + prev_count - 1) / prev_count;
|
| descr.variables = 1;
|
| descr.batch = BatchSize;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| DeleteObjAndFalse(descr);
|
| //--- layer 3
|
| if(!(descr = new CLayerDescription()))
|
| DeleteObjAndFalse(descr);
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = LatentCount;
|
| descr.activation = SIGMOID;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| DeleteObjAndFalse(descr);
|
| //--- layer 4
|
| if(!(descr = new CLayerDescription()))
|
| DeleteObjAndFalse(descr);
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 2 * NActions;
|
| descr.activation = SIGMOID;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| DeleteObjAndFalse(descr);
|
| //--- layer 5
|
| if(!(descr = new CLayerDescription()))
|
| DeleteObjAndFalse(descr);
|
| descr.type = defNeuronVAEOCL;
|
| descr.count = NActions;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| DeleteObjAndFalse(descr);
|
| //--- layer 6
|
| if(!(descr = new CLayerDescription()))
|
| DeleteObjAndFalse(descr);
|
| descr.type = defNeuronConvOCL;
|
| descr.count = NActions / 3;
|
| descr.window = 3;
|
| descr.step = 3;
|
| descr.window_out = 3;
|
| descr.activation = SIGMOID;
|
| descr.optimization = ADAM;
|
| if(!actor.Add(descr))
|
| DeleteObjAndFalse(descr);
|
| //--- Critic
|
| critic.Clear();
|
| //--- Input layer
|
| if(!(descr = new CLayerDescription()))
|
| DeleteObjAndFalse(descr);
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = NActions;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!critic.Add(descr))
|
| DeleteObjAndFalse(descr);
|
| //--- layer 1
|
| if(!(descr = new CLayerDescription()))
|
| DeleteObjAndFalse(descr);
|
| descr.type = defNeuronMHCrossFAT;
|
| {
|
| uint temp[] = {3, // Inputs window
|
| EmbeddingSize, // Key Dimension
|
| window, // Cross window
|
| EmbeddingSize // Embedding size
|
| };
|
| if(ArrayCopy(descr.windows, temp) < (int)temp.Size())
|
| return false;
|
| }
|
| {
|
| uint temp[] = {NActions / 3, // Query units
|
| count // Cross units
|
| };
|
| if(ArrayCopy(descr.units, temp) < (int)temp.Size())
|
| return false;
|
| }
|
| descr.step = NHeads; // Heads
|
| descr.batch = 1e4;
|
| descr.layers = NExperts; // Candidates
|
| descr.variables = TopK; // Top-K
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!critic.Add(descr))
|
| DeleteObjAndFalse(descr);
|
| //--- layer 2
|
| if(!(descr = new CLayerDescription()))
|
| DeleteObjAndFalse(descr);
|
| descr.type = defNeuronSpikeConvBlock;
|
| descr.count = NActions / 3;
|
| descr.window = 3;
|
| descr.step = 3;
|
| descr.window_out = EmbeddingSize;
|
| descr.variables = 1;
|
| descr.batch = BatchSize;
|
| descr.optimization = ADAM;
|
| if(!critic.Add(descr))
|
| DeleteObjAndFalse(descr);
|
| //--- layer 4
|
| if(!(descr = new CLayerDescription()))
|
| DeleteObjAndFalse(descr);
|
| descr.type = defNeuronSpikeConvBlock;
|
| descr.count = NActions / 3;
|
| descr.window = EmbeddingSize;
|
| descr.step = EmbeddingSize;
|
| descr.window_out = EmbeddingSize;
|
| descr.variables = 1;
|
| descr.batch = BatchSize;
|
| descr.optimization = ADAM;
|
| if(!critic.Add(descr))
|
| DeleteObjAndFalse(descr);
|
| //--- layer 5
|
| if(!(descr = new CLayerDescription()))
|
| DeleteObjAndFalse(descr);
|
| descr.type = defNeuronBaseOCL;
|
| prev_count = descr.count = LatentCount;
|
| descr.activation = SIGMOID;
|
| descr.batch = BatchSize;
|
| descr.optimization = ADAM;
|
| if(!critic.Add(descr))
|
| DeleteObjAndFalse(descr);
|
| //--- layer 6
|
| if(!(descr = new CLayerDescription()))
|
| DeleteObjAndFalse(descr);
|
| descr.type = defNeuronBaseOCL;
|
| prev_count = descr.count = NRewards;
|
| descr.activation = None;
|
| descr.batch = BatchSize;
|
| descr.optimization = ADAM;
|
| if(!critic.Add(descr))
|
| DeleteObjAndFalse(descr);
|
| //---
|
| return true;
|
| }
|
| #ifndef Study
|
| //+------------------------------------------------------------------+
|
| //| Checks NewBar. |
|
| //+------------------------------------------------------------------+
|
| bool IsNewBar(void)
|
| {
|
| static datetime last_bar = 0;
|
| if(last_bar >= iTime(Symb.Name(), TimeFrame, 0))
|
| return false;
|
| //---
|
| last_bar = iTime(Symb.Name(), TimeFrame, 0);
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Creates and manages object lifecycle for CloseByDirection. |
|
| //+------------------------------------------------------------------+
|
| bool CloseByDirection(ENUM_POSITION_TYPE type)
|
| {
|
| int total = PositionsTotal();
|
| bool result = true;
|
| for(int i = total - 1; i >= 0; i--)
|
| {
|
| if(PositionGetSymbol(i) != Symb.Name())
|
| continue;
|
| if(PositionGetInteger(POSITION_TYPE) != type)
|
| continue;
|
| result = (Trade.PositionClose(PositionGetInteger(POSITION_TICKET)) && result);
|
| }
|
| //---
|
| return result;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Implements TrailPosition. |
|
| //+------------------------------------------------------------------+
|
| bool TrailPosition(ENUM_POSITION_TYPE type, double sl, double tp)
|
| {
|
| int total = PositionsTotal();
|
| bool result = true;
|
| datetime time = TimeCurrent() - 5 * PeriodSeconds(TimeFrame);
|
| //---
|
| for(int i = 0; i < total; i++)
|
| {
|
| if(PositionGetSymbol(i) != Symb.Name())
|
| continue;
|
| if(PositionGetInteger(POSITION_TYPE) != type)
|
| continue;
|
| if(PositionGetInteger(POSITION_TIME_UPDATE) > time)
|
| continue;
|
| bool modify = false;
|
| double psl = PositionGetDouble(POSITION_SL);
|
| double ptp = PositionGetDouble(POSITION_TP);
|
| switch(type)
|
| {
|
| case POSITION_TYPE_BUY:
|
| if((sl - psl) >= Symb.Point())
|
| {
|
| psl = sl;
|
| modify = true;
|
| }
|
| if(MathAbs(tp - ptp) >= Symb.Point())
|
| {
|
| ptp = tp;
|
| modify = true;
|
| }
|
| break;
|
| case POSITION_TYPE_SELL:
|
| if((psl - sl) >= Symb.Point())
|
| {
|
| psl = sl;
|
| modify = true;
|
| }
|
| if(MathAbs(tp - ptp) >= Symb.Point())
|
| {
|
| ptp = tp;
|
| modify = true;
|
| }
|
| break;
|
| }
|
| if(modify)
|
| result = (Trade.PositionModify(PositionGetInteger(POSITION_TICKET), psl, ptp) && result);
|
| }
|
| //---
|
| return result;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Creates and manages object lifecycle for ClosePartial. |
|
| //+------------------------------------------------------------------+
|
| bool ClosePartial(ENUM_POSITION_TYPE type, double value)
|
| {
|
| if(value <= 0)
|
| return true;
|
| //---
|
| for(int i = 0; (i < PositionsTotal() && value > 0); i++)
|
| {
|
| if(PositionGetSymbol(i) != Symb.Name())
|
| continue;
|
| if(PositionGetInteger(POSITION_TYPE) != type)
|
| continue;
|
| double pvalue = PositionGetDouble(POSITION_VOLUME);
|
| if(pvalue <= value)
|
| {
|
| if(Trade.PositionClose(PositionGetInteger(POSITION_TICKET)))
|
| {
|
| value -= pvalue;
|
| i--;
|
| }
|
| }
|
| else
|
| {
|
| if(Trade.PositionClosePartial(PositionGetInteger(POSITION_TICKET), value))
|
| value = 0;
|
| }
|
| }
|
| //---
|
| return (value <= 0);
|
| }
|
| #endif
|
| //+------------------------------------------------------------------+
|
| //| Gets ProbTrajectories. |
|
| //+------------------------------------------------------------------+
|
| vector<float> GetProbTrajectories(STrajectory &buffer[], double lambda)
|
| {
|
| ulong total = buffer.Size();
|
| vector<float> result = vector<float>::Zeros(total);
|
| vector<float> temp;
|
| for(ulong i = 0; i < total; i++)
|
| {
|
| temp.Assign(buffer[i].States[0].rewards);
|
| result[i] = temp.Sum();
|
| if(!MathIsValidNumber(result[i]))
|
| result[i] = -FLT_MAX;
|
| }
|
| float max_reward = result.Max();
|
| //---
|
| vector<float> sorted = result;
|
| bool sort = true;
|
| int iter = 0;
|
| while(sort)
|
| {
|
| sort = false;
|
| for(ulong i = 0; i < sorted.Size() - 1; i++)
|
| if(sorted[i] > sorted[i + 1])
|
| {
|
| float temp = sorted[i];
|
| sorted[i] = sorted[i + 1];
|
| sorted[i + 1] = temp;
|
| sort = true;
|
| }
|
| iter++;
|
| }
|
| //---
|
| float min = result.Min() - 0.1f * MathAbs(max_reward);
|
| if(max_reward > min)
|
| {
|
| float k = sorted.Percentile(80) - max_reward;
|
| vector<float> multipl = MathExp(MathAbs(result - max_reward) / (k == 0 ? -1 : k));
|
| result = (result - min) / (max_reward - min);
|
| result = result / (result + lambda) * multipl;
|
| result.ReplaceNan(0);
|
| }
|
| else
|
| result.Fill(1);
|
| result = result / result.Sum();
|
| result = result.CumSum();
|
| //---
|
| return result;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Implements SampleTrajectory. |
|
| //+------------------------------------------------------------------+
|
| int SampleTrajectory(vector<float> &probability)
|
| {
|
| //--- check
|
| ulong total = probability.Size();
|
| if(total <= 0)
|
| return -1;
|
| //--- randomize
|
| float rnd = float(MathRand() / 32767.0);
|
| //--- search
|
| if(rnd <= probability[0] || total == 1)
|
| return 0;
|
| if(rnd > probability[total - 2])
|
| return int(total - 1);
|
| int result = int(rnd * total);
|
| if(probability[result] < rnd)
|
| while(probability[result] < rnd)
|
| result++;
|
| else
|
| {
|
| if(result <= 0)
|
| Sleep(0);
|
| while(probability[result - 1] >= rnd)
|
| result--;
|
| }
|
| //--- return result
|
| return result;
|
| }
|
| class CDeal : public CObject
|
| {
|
| public:
|
| datetime OpenTime;
|
| datetime CloseTime;
|
| ENUM_POSITION_TYPE Type;
|
| double Volume;
|
| double OpenPrice;
|
| double StopLos;
|
| double TakeProfit;
|
| double point;
|
| //---
|
| CDeal(void);
|
| ~CDeal(void) {};
|
| //---
|
| vector<float> Action(datetime current, double ask, double bid, int period_seconds);
|
| };
|
| //+------------------------------------------------------------------+
|
| //| Creates and manages object lifecycle for CDeal. |
|
| //+------------------------------------------------------------------+
|
| void CDeal::CDeal(void) : OpenTime(0),
|
| //--- Creates and manages object lifecycle for CloseTime.
|
| CloseTime(0),
|
| //--- Implements Type.
|
| Type(POSITION_TYPE_BUY),
|
| //--- Implements Volume.
|
| Volume(0),
|
| //--- Implements OpenPrice.
|
| OpenPrice(0),
|
| //--- Implements StopLos.
|
| StopLos(0),
|
| //--- Implements TakeProfit.
|
| TakeProfit(0),
|
| //--- Implements point.
|
| point(1e-5)
|
| {
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Implements Action. |
|
| //+------------------------------------------------------------------+
|
| vector<float> CDeal::Action(datetime current, double ask, double bid, int period_seconds)
|
| {
|
| vector<float> result = vector<float>::Zeros(NActions);
|
| if((OpenTime - period_seconds) > current || CloseTime <= current)
|
| return result;
|
| //---
|
| switch(Type)
|
| {
|
| case POSITION_TYPE_BUY:
|
| result[0] = float(Volume);
|
| if(TakeProfit > 0)
|
| result[1] = float((TakeProfit - ask) / (MaxTP * point));
|
| if(StopLos > 0)
|
| result[2] = float((ask - StopLos) / (MaxSL * point));
|
| break;
|
| case POSITION_TYPE_SELL:
|
| result[3] = float(Volume);
|
| if(TakeProfit > 0)
|
| result[4] = float((bid - TakeProfit) / (MaxTP * point));
|
| if(StopLos > 0)
|
| result[5] = float((StopLos - bid) / (MaxSL * point));
|
| break;
|
| }
|
| //---
|
| return result;
|
| }
|
| class CDeals
|
| {
|
| protected:
|
| CArrayObj Deals;
|
| public:
|
| CDeals(void) { Deals.Clear(); }
|
| ~CDeals(void) { Deals.Clear(); }
|
| //---
|
| bool LoadDeals(string file_name, string symbol, double point);
|
| vector<float> Action(datetime current, double ask, double bid, int period_seconds);
|
| };
|
| //+------------------------------------------------------------------+
|
| //| Loads Deals. |
|
| //+------------------------------------------------------------------+
|
| bool CDeals::LoadDeals(string file_name, string symbol, double point)
|
| {
|
| if(file_name == NULL || !FileIsExist(file_name, FILE_COMMON))
|
| {
|
| PrintFormat("File %s not exist", file_name);
|
| return false;
|
| }
|
| if(symbol == NULL)
|
| {
|
| symbol = _Symbol;
|
| point = _Point;
|
| }
|
| //---
|
| ResetLastError();
|
| int handle = FileOpen(file_name, FILE_READ | FILE_ANSI | FILE_CSV | FILE_COMMON, short(';'), CP_ACP);
|
| if(handle == INVALID_HANDLE)
|
| {
|
| PrintFormat("Error of open file %s: %d", file_name, GetLastError());
|
| return false;
|
| }
|
| FileSeek(handle, 0, SEEK_SET);
|
| while(!FileIsEnding(handle))
|
| {
|
| string s = FileReadString(handle);
|
| datetime open_time = StringToTime(s);
|
| string type = FileReadString(handle);
|
| double volume = StringToDouble(FileReadString(handle));
|
| string deal_symbol = FileReadString(handle);
|
| double open_price = StringToDouble(FileReadString(handle));
|
| volume = MathMin(volume, StringToDouble(FileReadString(handle)));
|
| datetime close_time = StringToTime(FileReadString(handle));
|
| double close_price = StringToDouble(FileReadString(handle));
|
| s = FileReadString(handle);
|
| s = FileReadString(handle);
|
| s = FileReadString(handle);
|
| if(StringFind(deal_symbol, symbol, 0) < 0)
|
| continue;
|
| //---
|
| ResetLastError();
|
| CDeal *deal = new CDeal();
|
| if(!deal)
|
| {
|
| PrintFormat("Error of create new deal object: %d", GetLastError());
|
| return false;
|
| }
|
| deal.OpenTime = open_time;
|
| deal.CloseTime = close_time;
|
| deal.OpenPrice = open_price;
|
| deal.Volume = volume;
|
| deal.point = point;
|
| if(type == "Sell")
|
| {
|
| deal.Type = POSITION_TYPE_SELL;
|
| if(close_price < open_price)
|
| {
|
| deal.TakeProfit = close_price;
|
| deal.StopLos = 0;
|
| }
|
| else
|
| {
|
| deal.TakeProfit = 0;
|
| deal.StopLos = close_price;
|
| }
|
| }
|
| else
|
| {
|
| deal.Type = POSITION_TYPE_BUY;
|
| if(close_price > open_price)
|
| {
|
| deal.TakeProfit = close_price;
|
| deal.StopLos = 0;
|
| }
|
| else
|
| {
|
| deal.TakeProfit = 0;
|
| deal.StopLos = close_price;
|
| }
|
| }
|
| //---
|
| ResetLastError();
|
| if(!Deals.Add(deal))
|
| {
|
| PrintFormat("Error of add new deal: %d", GetLastError());
|
| return false;
|
| }
|
| }
|
| //---
|
| FileClose(handle);
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Implements Action (Action). |
|
| //+------------------------------------------------------------------+
|
| vector<float> CDeals::Action(datetime current, double ask, double bid, int period_seconds)
|
| {
|
| vector<float> result = vector<float>::Zeros(NActions);
|
| for(int i = 0; i < Deals.Total(); i++)
|
| {
|
| CDeal *deal = Deals.At(i);
|
| if(!deal)
|
| continue;
|
| vector<float> action = deal.Action(current, ask, bid, period_seconds);
|
| result[0] += action[0];
|
| result[3] += action[3];
|
| result[1] = MathMax(result[1], action[1]);
|
| result[2] = MathMax(result[2], action[2]);
|
| result[4] = MathMax(result[4], action[4]);
|
| result[5] = MathMax(result[5], action[5]);
|
| }
|
| //---
|
| return result;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Creates or initializes Buffers. |
|
| //+------------------------------------------------------------------+
|
| bool CreateBuffers(const int start_bar, CBufferFloat* state, CBufferFloat *time, CBufferFloat* forecast)
|
| {
|
| int total_bars = (start_bar + HistoryBars + (!!forecast ? NForecast : 0));
|
| if(!state || !time || start_bar < 0 ||
|
| total_bars > int(Rates.Size()))
|
| return false;
|
| //---
|
| matrix<float> mState = matrix<float>::Zeros(BarDescr, HistoryBars);
|
| vector<float> vForecast = vector<float>::Zeros(NForecast * BarDescr);
|
| time.Clear();
|
| time.Reserve(HistoryBars);
|
| int bar = start_bar + (!!forecast ? NForecast : 0);
|
| for(int b = 0; b < (int)HistoryBars; b++)
|
| {
|
| float open = (float)Rates[b + bar].open;
|
| float rsi = (float)RSI.Main(b + bar);
|
| float cci = (float)CCI.Main(b + bar);
|
| float atr = (float)ATR.Main(b + bar);
|
| float macd = (float)MACD.Main(b + bar);
|
| float sign = (float)MACD.Signal(b + bar);
|
| if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
|
| return false;
|
| //---
|
| mState[0, b] = (float)(Rates[b + bar].close - open);
|
| mState[1, b] = (float)(Rates[b + bar].high - open);
|
| mState[2, b] = (float)(Rates[b + bar].low - open);
|
| mState[3, b] = (float)(Rates[b + bar].tick_volume / 1000.0f);
|
| mState[4, b] = rsi;
|
| mState[5, b] = cci;
|
| mState[6, b] = atr;
|
| mState[7, b] = macd;
|
| mState[8, b] = sign;
|
| if(!time.Add(float(Rates[b + bar].time)))
|
| return false;
|
| }
|
| if(!state.AssignArray(mState))
|
| return false;
|
| if(time.GetIndex() >= 0)
|
| if(!time.BufferWrite())
|
| return false;
|
| if(!forecast)
|
| return true;
|
| //---
|
| for(int b = 1; b <= (int)NForecast; b++)
|
| {
|
| float open = (float)Rates[bar - b].open;
|
| float rsi = (float)RSI.Main(bar - b);
|
| float cci = (float)CCI.Main(bar - b);
|
| float atr = (float)ATR.Main(bar - b);
|
| float macd = (float)MACD.Main(bar - b);
|
| float sign = (float)MACD.Signal(bar - b);
|
| if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
|
| return false;
|
| //---
|
| int shift = (NForecast - b) * BarDescr;
|
| vForecast[shift] = (float)(Rates[bar - b].close - open);
|
| vForecast[shift + 1] = (float)(Rates[bar - b].high - open);
|
| vForecast[shift + 2] = (float)(Rates[bar - b].low - open);
|
| vForecast[shift + 3] = (float)(Rates[bar - b].tick_volume / 1000.0f);
|
| vForecast[shift + 4] = rsi;
|
| vForecast[shift + 5] = cci;
|
| vForecast[shift + 6] = atr;
|
| vForecast[shift + 7] = macd;
|
| vForecast[shift + 8] = sign;
|
| }
|
| //---
|
| if(!forecast.AssignArray(vForecast))
|
| return false;
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Implements SampleAccount. |
|
| //+------------------------------------------------------------------+
|
| const vector<float> SampleAccount(CBufferFloat *state, datetime time, double max_balance, double min_balance = 0)
|
| {
|
| vector<float> result = vector<float>::Zeros(AccountDescr);
|
| if(!state)
|
| return result;
|
| //---
|
| double marg = 0;
|
| if(!Symb.RefreshRates() || !OrderCalcMargin(ORDER_TYPE_BUY, Symb.Name(), 1, Symb.Ask(), marg))
|
| return result;
|
| double buy_lot = 0, sell_lot = 0, profit = 0;
|
| double deal = 0;//MathRand() / (32767 * 0.5) - 1;
|
| double multiplyer = 1.0 / (60.0 * 60.0 * 10.0);
|
| //---
|
| double balance = (max_balance - min_balance) * MathRand() / 32767.0 + min_balance;
|
| double prev_balance = balance;
|
| double equity = balance;
|
| double prev_equity = balance;
|
| double position_discount = 0;
|
| //---
|
| if(deal > 0)
|
| {
|
| double lot = balance / (2.0 * marg) * deal;
|
| if(lot >= Symb.LotsMin())
|
| buy_lot = MathMin(int((lot - Symb.LotsMin()) / Symb.LotsStep()) * Symb.LotsStep() + Symb.LotsMin(), 1.0);
|
| }
|
| else
|
| if(deal < 0)
|
| {
|
| double lot = MathAbs(balance / (2.0 * marg) * deal);
|
| if(lot >= Symb.LotsMin())
|
| sell_lot = MathMin(int((lot - Symb.LotsMin()) / Symb.LotsStep()) * Symb.LotsStep() + Symb.LotsMin(), 1.0);
|
| }
|
| else
|
| 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 balance, 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 * balance / (2 * marg);
|
| return loss;
|
| }
|
| if((marg * MathMax(buy_lot, sell_lot)) >= balance)
|
| {
|
| 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 >= balance)
|
| {
|
| 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 >= balance)
|
| {
|
| 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;
|
| }
|
| //+------------------------------------------------------------------+ |
