| //+------------------------------------------------------------------+
|
| //| 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 "Trajectory.mqh"
|
| #include <Trade\SymbolInfo.mqh>
|
| #include <Indicators\Oscilators.mqh>
|
| //+------------------------------------------------------------------+
|
| //| Input parameters |
|
| //+------------------------------------------------------------------+
|
| input datetime Start = D'2020.01.01';
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| input datetime End = D'2025.01.01';
|
| input int Iterations = 100000;
|
| input int Batch = 50;
|
| input group "---- Indicators ----"
|
| input ENUM_TIMEFRAMES TimeFrame = PERIOD_M1;
|
| //---
|
| 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
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| input ENUM_APPLIED_PRICE MACDPrice = PRICE_CLOSE; //Applied price
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| CNet cEncoder;
|
| //---
|
| CSymbolInfo Symb;
|
| MqlRates Rates[];
|
| CiRSI RSI;
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| CiCCI CCI;
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| CiATR ATR;
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| CiMACD MACD;
|
| //---
|
| float dError;
|
| datetime dtStudied;
|
| //---
|
| CBufferFloat bState;
|
| CBufferFloat bTime;
|
| CBufferFloat bGradient;
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| CBufferFloat *Result;
|
| vector<float> check;
|
| //+------------------------------------------------------------------+
|
| //| Expert initialization function |
|
| //+------------------------------------------------------------------+
|
| int OnInit()
|
| {
|
| //---
|
| ResetLastError();
|
| //--- load models
|
| float temp;
|
| CArrayObj *encoder = new CArrayObj();
|
| CArrayObj *actor = new CArrayObj();
|
| CArrayObj *director = new CArrayObj();
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| CArrayObj *critic = new CArrayObj();
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| if(!CreateDescriptions(encoder, actor, director, critic))
|
| {
|
| delete encoder;
|
| delete actor;
|
| delete director;
|
| delete critic;
|
| return INIT_FAILED;
|
| }
|
| if(!cEncoder.Load(FileName + "Enc.nnw", temp, temp, temp, dtStudied, true))
|
| {
|
| Print("Create new State Encoder");
|
| if(!cEncoder.Create(encoder))
|
| {
|
| delete encoder;
|
| delete actor;
|
| delete director;
|
| delete critic;
|
| return INIT_FAILED;
|
| }
|
| }
|
| delete encoder;
|
| delete actor;
|
| delete director;
|
| delete critic;
|
| //---
|
| 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))
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| return INIT_FAILED;
|
| //---
|
| if(!MACD.Create(Symb.Name(), TimeFrame, FastPeriod, SlowPeriod, SignalPeriod, MACDPrice))
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| return INIT_FAILED;
|
| //---
|
| cEncoder.TrainMode(true);
|
| //---
|
| cEncoder.GetLayerOutput(0, Result);
|
| if(Result.Total() != (HistoryBars * BarDescr))
|
| {
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| 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());
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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(!cEncoder.Save(FileName + "Enc.nnw", 0, 0, 0, TimeCurrent(), true))
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| PrintFormat("Error of save model: %s", "Encoder");
|
| }
|
| delete Result;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| ChartEvent function |
|
| //+------------------------------------------------------------------+
|
| void OnChartEvent(const int id,
|
| const long &lparam,
|
| const double &dparam,
|
| const string &sparam)
|
| {
|
| //---
|
| switch(id)
|
| {
|
| case 1001:
|
| Train();
|
| break;
|
| case 1007:
|
| PrintFormat("Wrong event: %d", id);
|
| ExpertRemove();
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| 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 load = false;
|
| do
|
| {
|
| RSI.Refresh();
|
| CCI.Refresh();
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| ATR.Refresh();
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| MACD.Refresh();
|
| count++;
|
| load = (RSI.BarsCalculated() >= bars &&
|
| CCI.BarsCalculated() >= bars &&
|
| ATR.BarsCalculated() >= bars &&
|
| MACD.BarsCalculated() >= bars
|
| );
|
| Sleep(100);
|
| count++;
|
| }
|
| while(!load && count < 100);
|
| if(!load)
|
| {
|
| PrintFormat("%s -> %d The training data has not been loaded", __FUNCTION__, __LINE__);
|
| ExpertRemove();
|
| return;
|
| }
|
| //---
|
| if(!ArraySetAsSeries(Rates, true))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| ExpertRemove();
|
| return;
|
| }
|
| bars -= end + HistoryBars;
|
| if(bars < 0)
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| ExpertRemove();
|
| return;
|
| }
|
| //---
|
| vector<float> result, target, neg_target;
|
| bool Stop = false;
|
| //---
|
| uint ticks = GetTickCount();
|
| //---
|
| for(int iter = 0; (iter < Iterations && !IsStopped() && !Stop); iter += Batch)
|
| {
|
| int posit = (int)((MathRand() * MathRand() / MathPow(32767, 2)) * bars);
|
| if(!CreateBuffers(posit + end, GetPointer(bState), GetPointer(bTime)))
|
| {
|
| 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;
|
| }
|
| cEncoder.getResults(Result);
|
| //--- Positive
|
| if(!cEncoder.feedForward((CBufferFloat*)GetPointer(bState), 1, false, (CBufferFloat*)GetPointer(bTime)) ||
|
| !cEncoder.backProp(Result, (CBufferFloat*)NULL))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| //--- Negotive
|
| if(!Result.GetData(target))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| for(int b = 0; b < Batch; b++)
|
| {
|
| int negot = (int)((MathRand() * MathRand() / MathPow(32767, 2)) * bars);
|
| int count = 0;
|
| while(negot == posit)
|
| {
|
| negot = (int)((MathRand() * MathRand() / MathPow(32767, 2)) * bars);
|
| count++;
|
| if(count > 100)
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| }
|
| if(Stop)
|
| break;
|
| if(!CreateBuffers(negot + end, GetPointer(bState), GetPointer(bTime)))
|
| {
|
| 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;
|
| }
|
| cEncoder.getResults(result);
|
| neg_target = result * 2 - target;
|
| neg_target = neg_target - neg_target.Max();
|
| if(!neg_target.Activation(neg_target, AF_SOFTMAX) ||
|
| !Result.AssignArray(neg_target))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| if(!cEncoder.backProp(Result, (CBufferFloat*)NULL))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| Stop = true;
|
| break;
|
| }
|
| //---
|
| if(GetTickCount() - ticks > 500)
|
| {
|
| double percent = double(iter + b) * 100.0 / (Iterations);
|
| string str = StringFormat("%-12s %6.2f%% -> Error %15.8f\n", "Encoder", percent, cEncoder.getRecentAverageError());
|
| Comment(str);
|
| ticks = GetTickCount();
|
| }
|
| }
|
| }
|
| Comment("");
|
| //---
|
| PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Encoder", cEncoder.getRecentAverageError());
|
| ExpertRemove();
|
| //---
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Creates or initializes Buffers. |
|
| //+------------------------------------------------------------------+
|
| bool CreateBuffers(const int start_bar, CBufferFloat* state, CBufferFloat *time)
|
| {
|
| if(!state || !time || start_bar < 0 ||
|
| (start_bar + HistoryBars) >= int(Rates.Size()))
|
| return false;
|
| //---
|
| vector<float> temp = vector<float>::Zeros(HistoryBars * BarDescr);
|
| time.Clear();
|
| time.Reserve(HistoryBars);
|
| for(int b = 0; b < (int)HistoryBars; b++)
|
| {
|
| float open = (float)Rates[b + start_bar].open;
|
| float rsi = (float)RSI.Main(b + start_bar);
|
| float cci = (float)CCI.Main(b + start_bar);
|
| float atr = (float)ATR.Main(b + start_bar);
|
| float macd = (float)MACD.Main(b + start_bar);
|
| float sign = (float)MACD.Signal(b + start_bar);
|
| if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
|
| return false;
|
| //---
|
| int shift = b * BarDescr;
|
| temp[shift] = (float)(Rates[b + start_bar].close - open);
|
| temp[shift + 1] = (float)(Rates[b + start_bar].high - open);
|
| temp[shift + 2] = (float)(Rates[b + start_bar].low - open);
|
| temp[shift + 3] = (float)(Rates[b + start_bar].tick_volume / 1000.0f);
|
| temp[shift + 4] = rsi;
|
| temp[shift + 5] = cci;
|
| temp[shift + 6] = atr;
|
| temp[shift + 7] = macd;
|
| temp[shift + 8] = sign;
|
| if(!time.Add(float(Rates[b + start_bar].time)))
|
| return false;
|
| }
|
| //---
|
| if(!state.AssignArray(temp))
|
| return false;
|
| if(time.GetIndex() >= 0)
|
| if(!time.BufferWrite())
|
| return false;
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
|
|
