| //+------------------------------------------------------------------+
|
| //| Trajectory.mqh |
|
| //| 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"
|
| //+------------------------------------------------------------------+
|
| //| Rewards structure |
|
| //| 0 - Delta Balance |
|
| //| 1 - Delta Equity ( "-" Drawdown / "+" Profit) |
|
| //| 2 - Penalty for no opened positions |
|
| //+------------------------------------------------------------------+
|
| #include "..\RL\FQF.mqh"
|
| //---
|
| #define HistoryBars 48 //Depth of history
|
| #define BarDescr 9 //Elements for 1 bar description
|
| #define NBarInPattern 1 //Bars for 1 pattern description
|
| #define AccountDescr 8 //Account description
|
| #define NActions 6 //Number of possible Actions
|
| #define TimeDescription 4
|
| #define LatentCount 1024
|
| #define LatentLayer 2
|
| #define EmbeddingSize 32
|
| #define Buffer_Size 6500
|
| #define DiscFactor 0.99f
|
| #define FileName "OPPO"
|
| #define MaxReplayBuffer 500
|
| #define MaxSL 1000
|
| #define MaxTP 1000
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| struct STrajectory;
|
| extern STrajectory Buffer[];
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| struct SState
|
| {
|
| float state[BarDescr * NBarInPattern];
|
| float account[AccountDescr];
|
| float action[NActions];
|
| float scheduler[EmbeddingSize];
|
| //---
|
| SState(void);
|
| //---
|
| bool Save(int file_handle);
|
| bool Load(int file_handle);
|
| //---
|
| void Clear(void)
|
| {
|
| ArrayInitialize(state, 0);
|
| ArrayInitialize(account, 0);
|
| ArrayInitialize(action, 0);
|
| ArrayInitialize(scheduler, 0);
|
| }
|
| //--- overloading
|
| void operator=(const SState &obj)
|
| {
|
| ArrayCopy(state, obj.state);
|
| ArrayCopy(account, obj.account);
|
| ArrayCopy(action, obj.action);
|
| ArrayCopy(scheduler, obj.scheduler);
|
| }
|
| };
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| SState::SState(void)
|
| {
|
| ArrayInitialize(state, 0);
|
| ArrayInitialize(account, 0);
|
| ArrayInitialize(action, 0);
|
| ArrayInitialize(scheduler, 0);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| 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(scheduler);
|
| if(FileWriteInteger(file_handle, total) < sizeof(int))
|
| return false;
|
| for(int i = 0; i < total; i++)
|
| if(FileWriteFloat(file_handle, scheduler[i]) < sizeof(float))
|
| return false;
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| 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] = FileReadFloat(file_handle);
|
| }
|
| //---
|
| total = FileReadInteger(file_handle);
|
| if(total != ArraySize(scheduler))
|
| return false;
|
| //---
|
| for(int i = 0; i < total; i++)
|
| {
|
| if(FileIsEnding(file_handle))
|
| return false;
|
| scheduler[i] = FileReadFloat(file_handle);
|
| }
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| struct STrajectory
|
| {
|
| SState States[Buffer_Size];
|
| int Total;
|
| double Profit;
|
| //---
|
| STrajectory(void);
|
| //---
|
| bool Add(SState &state);
|
| void ClearFirstN(const int n);
|
| //---
|
| bool Save(int file_handle);
|
| bool Load(int file_handle);
|
| //--- overloading
|
| void operator=(const STrajectory &obj)
|
| {
|
| Total = obj.Total;
|
| Profit = obj.Profit;
|
| for(int i = 0; i < Buffer_Size; i++)
|
| States[i] = obj.States[i];
|
| }
|
| };
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| STrajectory::STrajectory(void) : Total(0),
|
| Profit(0)
|
| {
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| bool STrajectory::Save(int file_handle)
|
| {
|
| if(file_handle == INVALID_HANDLE)
|
| return false;
|
| //---
|
| if(FileWriteInteger(file_handle, Total) < sizeof(int))
|
| return false;
|
| if(FileWriteDouble(file_handle, Profit) < sizeof(float))
|
| return false;
|
| for(int i = 0; i < Total; i++)
|
| if(!States[i].Save(file_handle))
|
| return false;
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| 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;
|
| Profit = FileReadDouble(file_handle);
|
| //---
|
| for(int i = 0; i < Total; i++)
|
| if(!States[i].Load(file_handle))
|
| return false;
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| bool STrajectory::Add(SState &state)
|
| {
|
| if(Total + 1 >= ArraySize(States))
|
| return false;
|
| States[Total] = state;
|
| Total++;
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| void STrajectory::ClearFirstN(const int n)
|
| {
|
| for(int i = 0; i < Buffer_Size - n; i++)
|
| States[i] = States[i + n];
|
| Total = MathMax(0, Buffer_Size - n);
|
| for(int i = Total; i < Buffer_Size; i++)
|
| States[i].Clear();
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| int SaveTotalBase(int min_bars)
|
| {
|
| int total = ArraySize(Buffer);
|
| if(total < 0)
|
| return 0;
|
| int handle = FileOpen(FileName + ".bd", FILE_WRITE | FILE_BIN | FILE_COMMON);
|
| if(handle < 0)
|
| return 0;
|
| int indexes[MaxReplayBuffer];
|
| int count = 0;
|
| for(int i = total - 1; i >= 0; i--)
|
| {
|
| if(Buffer[i].Total < min_bars)
|
| continue;
|
| indexes[count] = i;
|
| count++;
|
| }
|
| if(FileWriteInteger(handle, count) < INT_VALUE)
|
| {
|
| FileClose(handle);
|
| return 0;
|
| }
|
| for(int i = count - 1; i >= 0; i--)
|
| if(!Buffer[indexes[i]].Save(handle))
|
| {
|
| FileClose(handle);
|
| return (count - (i + 1));
|
| }
|
| FileFlush(handle);
|
| FileClose(handle);
|
| //---
|
| return count;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| bool LoadTotalBase(void)
|
| {
|
| int handle = FileOpen(FileName + ".bd", FILE_READ | FILE_BIN | FILE_COMMON | FILE_SHARE_READ);
|
| if(handle < 0)
|
| return false;
|
| int total = FileReadInteger(handle);
|
| if(total <= 0)
|
| {
|
| FileClose(handle);
|
| return false;
|
| }
|
| if(ArrayResize(Buffer, total) < total)
|
| {
|
| FileClose(handle);
|
| return false;
|
| }
|
| for(int i = 0; i < total; i++)
|
| if(!Buffer[i].Load(handle))
|
| {
|
| FileClose(handle);
|
| return false;
|
| }
|
| FileClose(handle);
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| bool CreateAgentDescriptions(CArrayObj *agent)
|
| {
|
| //---
|
| CLayerDescription *descr;
|
| //---
|
| if(!agent)
|
| {
|
| agent = new CArrayObj();
|
| if(!agent)
|
| return false;
|
| }
|
| //--- Agent
|
| agent.Clear();
|
| //--- Input layer
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| uint prev_count = descr.count = (BarDescr * NBarInPattern + AccountDescr + TimeDescription + NActions + EmbeddingSize);
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!agent.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 1
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBatchNormOCL;
|
| descr.count = prev_count;
|
| descr.batch = 1000;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!agent.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 2
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronEmbeddingOCL;
|
| prev_count = descr.count = HistoryBars;
|
| {
|
| int temp[] = {BarDescr * NBarInPattern, AccountDescr, TimeDescription, NActions, EmbeddingSize};
|
| ArrayCopy(descr.windows, temp);
|
| }
|
| uint prev_wout = descr.window_out = EmbeddingSize;
|
| if(!agent.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 3
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronSoftMaxOCL;
|
| descr.count = EmbeddingSize;
|
| descr.step = prev_count * 5;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!agent.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 4
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronMLMHAttentionOCL;
|
| prev_count = descr.count = prev_count * 5;
|
| descr.window = EmbeddingSize;
|
| descr.step = 8;
|
| descr.window_out = 32;
|
| descr.layers = 4;
|
| descr.optimization = ADAM;
|
| if(!agent.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 5
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronSoftMaxOCL;
|
| descr.count = EmbeddingSize;
|
| descr.step = prev_count;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!agent.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 6
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronConvOCL;
|
| prev_count = descr.count = prev_count;
|
| descr.window = EmbeddingSize;
|
| descr.step = EmbeddingSize;
|
| prev_wout = descr.window_out = EmbeddingSize;
|
| descr.optimization = ADAM;
|
| descr.activation = LReLU;
|
| if(!agent.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 7
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronSoftMaxOCL;
|
| descr.count = prev_count;
|
| descr.step = prev_wout;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!agent.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 8
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronConvOCL;
|
| prev_count = descr.count = prev_count;
|
| descr.window = prev_wout;
|
| descr.step = prev_wout;
|
| prev_wout = descr.window_out = prev_wout / 2;
|
| descr.optimization = ADAM;
|
| descr.activation = LReLU;
|
| if(!agent.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 9
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronSoftMaxOCL;
|
| descr.count = prev_count;
|
| descr.step = prev_wout;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!agent.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 10
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = LatentCount;
|
| descr.optimization = ADAM;
|
| descr.activation = LReLU;
|
| if(!agent.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 11
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| prev_count = descr.count = LatentCount;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!agent.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 12
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = LatentCount;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!agent.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 13
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = NActions;
|
| descr.activation = SIGMOID;
|
| descr.optimization = ADAM;
|
| if(!agent.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| bool CreateSchedulerDescriptions(CArrayObj *scheduler)
|
| {
|
| //---
|
| CLayerDescription *descr;
|
| //---
|
| if(!scheduler)
|
| {
|
| scheduler = new CArrayObj();
|
| if(!scheduler)
|
| return false;
|
| }
|
| //--- Scheduler
|
| scheduler.Clear();
|
| //--- Input layer
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| uint prev_count = descr.count = (BarDescr * NBarInPattern + AccountDescr + TimeDescription + NActions);
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!scheduler.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 1
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBatchNormOCL;
|
| descr.count = prev_count;
|
| descr.batch = 1000;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!scheduler.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 2
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronEmbeddingOCL;
|
| prev_count = descr.count = HistoryBars;
|
| {
|
| uint temp[] = {BarDescr * NBarInPattern, AccountDescr, TimeDescription, NActions};
|
| ArrayCopy(descr.windows, temp);
|
| }
|
| uint prev_wout = descr.window_out = EmbeddingSize;
|
| if(!scheduler.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 3
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronSoftMaxOCL;
|
| descr.count = EmbeddingSize;
|
| descr.step = prev_count * 4;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!scheduler.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 4
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronMLMHAttentionOCL;
|
| prev_count = descr.count = prev_count * 4;
|
| descr.window = EmbeddingSize;
|
| descr.step = 8;
|
| descr.window_out = 32;
|
| descr.layers = 4;
|
| descr.optimization = ADAM;
|
| if(!scheduler.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 5
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronSoftMaxOCL;
|
| descr.count = EmbeddingSize;
|
| descr.step = prev_count;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!scheduler.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 6
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = LatentCount;
|
| descr.optimization = ADAM;
|
| descr.activation = LReLU;
|
| if(!scheduler.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 7
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| prev_count = descr.count = EmbeddingSize;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!scheduler.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //---
|
| return true;
|
| }
|
| #ifndef Study
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| 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;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| 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;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| bool TrailPosition(ENUM_POSITION_TYPE type, double sl, double tp)
|
| {
|
| int total = PositionsTotal();
|
| bool result = true;
|
| //---
|
| for(int i = 0; i < total; i++)
|
| {
|
| if(PositionGetSymbol(i) != Symb.Name())
|
| continue;
|
| if(PositionGetInteger(POSITION_TYPE) != type)
|
| 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;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| 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
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| vector<double> GetProbTrajectories(STrajectory &buffer[], float lanbda)
|
| {
|
| ulong total = buffer.Size();
|
| vector<double> rewards = vector<double>::Zeros(total);
|
| for(ulong i = 0; i < total; i++)
|
| rewards[i]=Buffer[i].Profit;
|
| double std = rewards.Std();
|
| double max_profit = rewards.Max();
|
| //---
|
| vector<double> sorted = rewards;
|
| bool sort = true;
|
| while(sort)
|
| {
|
| sort = false;
|
| for(ulong i = 0; i < sorted.Size() - 1; i++)
|
| if(sorted[i] > sorted[i + 1])
|
| {
|
| double temp = sorted[i];
|
| sorted[i] = sorted[i + 1];
|
| sorted[i + 1] = temp;
|
| sort = true;
|
| }
|
| }
|
| //---
|
| double min = rewards.Min() - 0.1 * std;
|
| if(max_profit > min)
|
| {
|
| double k = sorted.Percentile(90) - max_profit;
|
| vector<double> multipl = MathAbs(rewards - max_profit) / (k == 0 ? -std : k);
|
| multipl = exp(multipl);
|
| rewards = (rewards - min) / (max_profit - min);
|
| rewards = rewards / (rewards + lanbda) * multipl;
|
| rewards.ReplaceNan(0);
|
| }
|
| else
|
| rewards.Fill(1);
|
| rewards = rewards / rewards.Sum();
|
| rewards = rewards.CumSum();
|
| //---
|
| return rewards;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| int SampleTrajectory(vector<double> &probability)
|
| {
|
| //--- check
|
| ulong total = probability.Size();
|
| if(total <= 0)
|
| return -1;
|
| //--- randomize
|
| double rnd = double(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
|
| while(probability[result - 1] >= rnd)
|
| result--;
|
| //--- return result
|
| return result;
|
| }
|
| //+------------------------------------------------------------------+
|
|
|
