| //+------------------------------------------------------------------+
|
| //| 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
|
| #include <Trade\SymbolInfo.mqh>
|
| #include <Indicators\Oscilators.mqh>
|
| //+------------------------------------------------------------------+
|
| //| Input parameters |
|
| //+------------------------------------------------------------------+
|
| input datetime Start = D'2024.01.01';
|
| input datetime End = D'2025.07.01';
|
| input int Epochs = 100;
|
| input double MinBalance = 50;
|
| input double MaxBalance = 150;
|
| #include "Trajectory.mqh"
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| CNet cEncoder;
|
| CNet cSTFS;
|
| CNet cActor;
|
| CNet cCritic;
|
| //---
|
| CSymbolInfo Symb;
|
| MqlRates Rates[];
|
| CiRSI RSI;
|
| CiCCI CCI;
|
| CiATR ATR;
|
| CiMACD MACD;
|
| //---
|
| float dError;
|
| datetime dtStudied;
|
| //---
|
| CBufferFloat bState;
|
| CBufferFloat bAccount;
|
| CBufferFloat bTime;
|
| CBufferFloat bGradient;
|
| CBufferFloat *Result;
|
| CBufferFloat *Action;
|
| vector<float> check;
|
| //+------------------------------------------------------------------+
|
| //| Expert initialization function |
|
| //+------------------------------------------------------------------+
|
| int OnInit()
|
| {
|
| //---
|
| ResetLastError();
|
| //--- load models
|
| float temp;
|
| CArrayObj *encoder = new CArrayObj();
|
| CArrayObj *stfs = new CArrayObj();
|
| CArrayObj *actor = new CArrayObj();
|
| CArrayObj *critic = new CArrayObj();
|
| if(!CreateDescriptions(encoder, stfs, actor, critic))
|
| {
|
| // Function implementation for DeleteObj.
|
| DeleteObj(encoder)
|
| // Function implementation for DeleteObj.
|
| DeleteObj(stfs)
|
| // Function implementation for DeleteObj.
|
| DeleteObj(actor)
|
| // Function implementation for DeleteObj.
|
| DeleteObj(critic)
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| return INIT_FAILED;
|
| }
|
| if(!cEncoder.Load(FileName + "Enc.nnw", temp, temp, temp, dtStudied, true))
|
| {
|
| Print("Create new State Encoder");
|
| if(!cEncoder.Create(encoder))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| // Function implementation for DeleteObj.
|
| DeleteObj(encoder)
|
| // Function implementation for DeleteObj.
|
| DeleteObj(stfs)
|
| // Function implementation for DeleteObj.
|
| DeleteObj(actor)
|
| // Function implementation for DeleteObj.
|
| DeleteObj(critic)
|
| return INIT_FAILED;
|
| }
|
| }
|
| if(!cSTFS.Load(FileName + "STFS.nnw", temp, temp, temp, dtStudied, true))
|
| {
|
| Print("Create new STFS");
|
| if(!cSTFS.Create(stfs))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| // Function implementation for DeleteObj.
|
| DeleteObj(encoder)
|
| // Function implementation for DeleteObj.
|
| DeleteObj(stfs)
|
| // Function implementation for DeleteObj.
|
| DeleteObj(actor)
|
| // Function implementation for DeleteObj.
|
| DeleteObj(critic)
|
| return INIT_FAILED;
|
| }
|
| }
|
| if(!cActor.Load(FileName + "Act.nnw", temp, temp, temp, dtStudied, true))
|
| {
|
| Print("Create new Actor");
|
| if(!cActor.Create(actor))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| // Function implementation for DeleteObj.
|
| DeleteObj(encoder)
|
| // Function implementation for DeleteObj.
|
| DeleteObj(stfs)
|
| // Function implementation for DeleteObj.
|
| DeleteObj(actor)
|
| // Function implementation for DeleteObj.
|
| DeleteObj(critic)
|
| return INIT_FAILED;
|
| }
|
| }
|
| if(!cCritic.Load(FileName + "Crt.nnw", temp, temp, temp, dtStudied, true))
|
| {
|
| Print("Create new Critic");
|
| if(!cCritic.Create(critic))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| DeleteObj(encoder)
|
| DeleteObj(stfs)
|
| DeleteObj(actor)
|
| DeleteObj(critic)
|
| return INIT_FAILED;
|
| }
|
| }
|
| DeleteObj(encoder)
|
| DeleteObj(stfs)
|
| DeleteObj(actor)
|
| DeleteObj(critic)
|
| //---
|
| cEncoder.TrainMode(true);
|
| cSTFS.TrainMode(true);
|
| cActor.TrainMode(true);
|
| cCritic.TrainMode(true);
|
| COpenCL *opencl = cActor.GetOpenCL();
|
| cCritic.SetOpenCL(opencl);
|
| cEncoder.SetOpenCL(opencl);
|
| cSTFS.SetOpenCL(opencl);
|
| //---
|
| if(!Symb.Name(_Symbol) || !Symb.Refresh())
|
| return INIT_FAILED;
|
| //---
|
| 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;
|
| //---
|
| cEncoder.GetLayerOutput(0, Result);
|
| if(Result.Total() != (HistoryBars * BarDescr))
|
| {
|
| PrintFormat("Input size of Encoder doesn't match state description (%d <> %d)", Result.Total(), (HistoryBars * BarDescr));
|
| return INIT_FAILED;
|
| }
|
| //---
|
| if(!EventChartCustom(ChartID(), 1, 0, 0, "Init"))
|
| {
|
| PrintFormat("Error of create study event: %d", GetLastError());
|
| return INIT_FAILED;
|
| }
|
| //---
|
| return(INIT_SUCCEEDED);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Expert deinitialization function |
|
| //+------------------------------------------------------------------+
|
| void OnDeinit(const int reason)
|
| {
|
| //---
|
| if(!(reason == REASON_INITFAILED || reason == REASON_RECOMPILE))
|
| {
|
| if(!cEncoder.Save(FileName + "Enc.nnw", 0, 0, 0, TimeCurrent(), true))
|
| PrintFormat("Error of save model: %s", "Encoder");
|
| if(!cSTFS.Save(FileName + "STFS.nnw", 0, 0, 0, TimeCurrent(), true))
|
| PrintFormat("Error of save model: %s", "STFS");
|
| if(!cActor.Save(FileName + "Act.nnw", 0, 0, 0, TimeCurrent(), true))
|
| PrintFormat("Error of save model: %s", "Actor");
|
| if(!cCritic.Save(FileName + "Crt.nnw", 0, 0, 0, TimeCurrent(), true))
|
| PrintFormat("Error of save model: %s", "Critic");
|
| }
|
| delete Result;
|
| delete Action;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| ChartEvent function |
|
| //+------------------------------------------------------------------+
|
| void OnChartEvent(const int id,
|
| const long &lparam,
|
| const double &dparam,
|
| const string &sparam)
|
| {
|
| //---
|
| switch(id)
|
| {
|
| case 1001:
|
| Train();
|
| break;
|
| case 1007:
|
| Print("Event 1007");
|
| if(!EventChartCustom(ChartID(), 1, 0, 0, "ChartEvent"))
|
| {
|
| PrintFormat("Error of create study event: %d", GetLastError());
|
| ExpertRemove();
|
| }
|
| break;
|
| }
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Train function |
|
| //+------------------------------------------------------------------+
|
| //| | T ra in implementation. |
|
| //+------------------------------------------------------------------+
|
| 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
|
| {
|
| count++;
|
| 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(!cEncoder.Clear() ||
|
| !cSTFS.Clear() ||
|
| !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]));
|
| const vector<float> target_action = OraculAction(account, Result);
|
| if(!bAccount.AssignArray(account))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| ExpertRemove();
|
| return;
|
| }
|
| //--- Feed Forward
|
| if(!cEncoder.feedForward((CBufferFloat*)GetPointer(bState), 1, false, (CBufferFloat*)GetPointer(bTime)))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| #ifdef _DEBUG
|
| vector<float> res;
|
| cEncoder.getResults(res);
|
| #endif
|
| if(!cSTFS.feedForward(GetPointer(cEncoder), LatentLayer, (CBufferFloat*)NULL))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| #ifdef _DEBUG
|
| cSTFS.getResults(res);
|
| #endif
|
| if(!cActor.feedForward(GetPointer(bAccount), 1, false, GetPointer(cEncoder), LatentLayer))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| #ifdef _DEBUG
|
| cActor.getResults(res);
|
| #endif
|
| if(!cCritic.feedForward(GetPointer(cActor), -1, GetPointer(cEncoder), LatentLayer))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| #ifdef _DEBUG
|
| cCritic.getResults(res);
|
| #endif
|
| //--- Study
|
| if(!cSTFS.backProp(Result, (CBufferFloat*)NULL, (CBufferFloat*)NULL) ||
|
| !cEncoder.backPropGradient((CBufferFloat*)GetPointer(bTime), (CBufferFloat*)NULL))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| cActor.getResults(Action);
|
| double equity = bAccount[2] * bAccount[0] * EtalonBalance / (1 + bAccount[1]);
|
| double reward = CheckAction(Action, equity, posit - NForecast + 1) / EtalonBalance;
|
| //---
|
| Result.Clear();
|
| if(!Result.Add(float(reward)))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| if(!cCritic.backProp(Result, GetPointer(cEncoder), LatentLayer)
|
| || !cEncoder.backPropGradient((CBufferFloat*)GetPointer(bTime), (CBufferFloat*)NULL))
|
| {
|
| 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, equity, posit - NForecast + 1) / EtalonBalance;
|
| if(reward > 0)
|
| if(!cActor.backProp(Action, GetPointer(cEncoder), LatentLayer) ||
|
| !cEncoder.backPropGradient((CBufferFloat*)GetPointer(bTime), (CBufferFloat*)NULL))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| if(!cCritic.feedForward(Action, 1, false, GetPointer(cEncoder), 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(cEncoder), LatentLayer) ||
|
| !cEncoder.backPropGradient((CBufferFloat*)GetPointer(bTime), (CBufferFloat*)NULL))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| //---
|
| 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", "STFS", percent, cSTFS.getRecentAverageError());
|
| 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__, "STFS", cSTFS.getRecentAverageError());
|
| PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Actor", cActor.getRecentAverageError());
|
| PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Critic", cCritic.getRecentAverageError());
|
| ExpertRemove();
|
| //---
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| bool CreateBuffers(const int start_bar, CBufferFloat* state, CBufferFloat *time, CBufferFloat* forecast)
|
| {
|
| if(!state || !time || start_bar < 0 ||
|
| (start_bar + HistoryBars + NForecast) >= int(Rates.Size()))
|
| return false;
|
| //---
|
| vector<float> vState = vector<float>::Zeros(HistoryBars * BarDescr);
|
| vector<float> vForecast = vector<float>::Zeros(NForecast * BarDescr);
|
| time.Clear();
|
| time.Reserve(HistoryBars);
|
| int bar = start_bar + NForecast;
|
| 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;
|
| //---
|
| int shift = b * BarDescr;
|
| vState[shift] = (float)(Rates[b + bar].close - open);
|
| vState[shift + 1] = (float)(Rates[b + bar].high - open);
|
| vState[shift + 2] = (float)(Rates[b + bar].low - open);
|
| vState[shift + 3] = (float)(Rates[b + bar].tick_volume / 1000.0f);
|
| vState[shift + 4] = rsi;
|
| vState[shift + 5] = cci;
|
| vState[shift + 6] = atr;
|
| vState[shift + 7] = macd;
|
| vState[shift + 8] = sign;
|
| if(!time.Add(float(Rates[b + bar].time)))
|
| return false;
|
| }
|
| //---
|
| bar--;
|
| 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(!state.AssignArray(vState))
|
| return false;
|
| if(!forecast.AssignArray(vForecast))
|
| return false;
|
| if(time.GetIndex() >= 0)
|
| if(!time.BufferWrite())
|
| return false;
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Function implementation for SampleAccount. |
|
| //+------------------------------------------------------------------+
|
| const vector<float> SampleAccount(CBufferFloat *state, datetime time)
|
| {
|
| 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 = (MaxBalance - MinBalance) * MathRand() / 32767.0 + MinBalance;
|
| 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))
|
| // Function implementation for 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;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| 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;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Function implementation for 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;
|
| }
|
| //+------------------------------------------------------------------+
|
|
|
