geforkt von dng/NN_in_Trading
//+------------------------------------------------------------------+
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//| Study.mq5 |
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//| Copyright DNG® |
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//| https://www.mql5.com/ru/users/dng |
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//+------------------------------------------------------------------+
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#property copyright "Copyright DNG®"
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#property link "https://www.mql5.com/ru/users/dng"
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#property version "1.00"
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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#define Study
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#define StudyOnline
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//+------------------------------------------------------------------+
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//| Input parameters |
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//+------------------------------------------------------------------+
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input datetime Start = D'2024.01.01';
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input datetime End = D'2025.07.01';
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input int Epochs = 100;
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input double MinBalance = 50;
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input double MaxBalance = 150;
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#include "Trajectory.mqh"
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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CNet cActor;
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CNet cCritic;
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//---
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float dError;
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datetime dtStudied;
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//---
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CBufferFloat bState;
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CBufferFloat bTime;
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CBufferFloat bGradient;
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CBufferFloat *Result;
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CBufferFloat *Action;
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vector<float> check;
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//+------------------------------------------------------------------+
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//| Expert initialization function |
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//+------------------------------------------------------------------+
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int OnInit()
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{
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//---
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ResetLastError();
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//--- load models
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float temp;
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CArrayObj *actor = new CArrayObj();
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CArrayObj *critic = new CArrayObj();
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if(!CreateDescriptions(actor, critic))
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{
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DeleteObj(actor)
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DeleteObj(critic)
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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return INIT_FAILED;
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}
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if(!cActor.Load(FileName + "Act.nnw", temp, temp, temp, dtStudied, true))
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{
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Print("Create new Actor");
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if(!cActor.Create(actor))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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DeleteObj(actor)
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DeleteObj(critic)
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return INIT_FAILED;
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}
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}
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if(!cCritic.Load(FileName + "Crt.nnw", temp, temp, temp, dtStudied, true))
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{
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Print("Create new Critic");
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if(!cCritic.Create(critic))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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DeleteObj(actor)
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DeleteObj(critic)
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return INIT_FAILED;
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}
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}
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DeleteObj(actor)
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DeleteObj(critic)
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//---
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cActor.TrainMode(true);
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cCritic.TrainMode(true);
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COpenCL *opencl = cActor.GetOpenCL();
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cCritic.SetOpenCL(opencl);
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//---
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if(!Symb.Name(_Symbol) || !Symb.Refresh())
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return INIT_FAILED;
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//---
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if(!RSI.Create(Symb.Name(), TimeFrame, RSIPeriod, RSIPrice))
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return INIT_FAILED;
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//---
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if(!CCI.Create(Symb.Name(), TimeFrame, CCIPeriod, CCIPrice))
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return INIT_FAILED;
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//---
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if(!ATR.Create(Symb.Name(), TimeFrame, ATRPeriod))
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return INIT_FAILED;
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//---
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if(!MACD.Create(Symb.Name(), TimeFrame, FastPeriod, SlowPeriod, SignalPeriod, MACDPrice))
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return INIT_FAILED;
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//---
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cActor.GetLayerOutput(0, Result);
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if(Result.Total() != (HistoryBars * BarDescr+AccountDescr))
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{
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PrintFormat("Input size of Actor doesn't match state description (%d <> %d)", Result.Total(), (HistoryBars * BarDescr+AccountDescr));
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return INIT_FAILED;
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}
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//---
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if(!EventChartCustom(ChartID(), 1, 0, 0, "Init"))
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{
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PrintFormat("Error of create study event: %d", GetLastError());
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return INIT_FAILED;
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}
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//---
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return(INIT_SUCCEEDED);
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}
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//+------------------------------------------------------------------+
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//| Expert deinitialization function |
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//+------------------------------------------------------------------+
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void OnDeinit(const int reason)
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{
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//---
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if(!(reason == REASON_INITFAILED || reason == REASON_RECOMPILE))
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{
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if(!cActor.Save(FileName + "Act.nnw", 0, 0, 0, TimeCurrent(), true))
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PrintFormat("Error of save model: %s", "Actor");
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if(!cCritic.Save(FileName + "Crt.nnw", 0, 0, 0, TimeCurrent(), true))
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PrintFormat("Error of save model: %s", "Critic");
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}
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delete Result;
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delete Action;
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}
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//+------------------------------------------------------------------+
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//| ChartEvent function |
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//+------------------------------------------------------------------+
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void OnChartEvent(const int id,
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const long &lparam,
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const double &dparam,
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const string &sparam)
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{
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//---
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switch(id)
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{
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case 1001:
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Train();
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break;
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case 1007:
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Print("Event 1007");
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if(!EventChartCustom(ChartID(), 1, 0, 0, "ChartEvent"))
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{
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PrintFormat("Error of create study event: %d", GetLastError());
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ExpertRemove();
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}
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break;
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}
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}
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//+------------------------------------------------------------------+
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//| Train function |
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//+------------------------------------------------------------------+
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void Train(void)
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{
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int start = iBarShift(Symb.Name(), TimeFrame, Start);
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int end = iBarShift(Symb.Name(), TimeFrame, End);
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int bars = CopyRates(Symb.Name(), TimeFrame, 0, start, Rates);
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//---
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if(!RSI.BufferResize(bars) || !CCI.BufferResize(bars) ||
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!ATR.BufferResize(bars) || !MACD.BufferResize(bars))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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ExpertRemove();
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return;
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}
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//---
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int count = -1;
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bool calculated = false;
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do
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{
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calculated = (RSI.BarsCalculated() >= bars &&
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CCI.BarsCalculated() >= bars &&
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ATR.BarsCalculated() >= bars &&
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MACD.BarsCalculated() >= bars
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);
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Sleep(100);
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count++;
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}
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while(!calculated && count < 100);
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if(!calculated)
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{
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PrintFormat("%s -> %d The training data has not been loaded", __FUNCTION__, __LINE__);
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ExpertRemove();
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return;
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}
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RSI.Refresh();
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CCI.Refresh();
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ATR.Refresh();
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MACD.Refresh();
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//---
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if(!ArraySetAsSeries(Rates, true))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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ExpertRemove();
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return;
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}
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bars -= end + HistoryBars + NForecast;
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if(bars < 0)
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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ExpertRemove();
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return;
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}
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//---
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vector<float> result, target, neg_target;
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bool Stop = false;
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//---
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uint ticks = GetTickCount();
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//---
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for(int epoch = 0; (epoch < Epochs && !IsStopped() && !Stop); epoch ++)
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{
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if(!cActor.Clear() ||
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!cCritic.Clear())
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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ExpertRemove();
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return;
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}
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for(int posit = start - HistoryBars - NForecast - 1; posit >= end; posit--)
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{
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if(!CreateBuffers(posit, GetPointer(bState), GetPointer(bTime), Result))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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ExpertRemove();
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return;
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}
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const vector<float> account = SampleAccount(GetPointer(bState), datetime(bTime[0]), MaxBalance, MinBalance);
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const vector<float> target_action = OraculAction(account, Result);
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if(!bState.AddArray(account))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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ExpertRemove();
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return;
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}
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//--- Feed Forward
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if(!cActor.feedForward((CBufferFloat*)GetPointer(bState), 1, false, (CBufferFloat*)GetPointer(bTime)))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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#ifdef _DEBUG
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vector<float> res;
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cActor.getResults(res);
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#endif
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if(!cCritic.feedForward(GetPointer(cActor), -1, GetPointer(cActor), LatentLayer))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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#ifdef _DEBUG
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cCritic.getResults(res);
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#endif
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//--- Study
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cActor.getResults(Action);
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double equity = account[2] * account[0] * EtalonBalance / (1 + account[1]);
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double reward = CheckAction(Action, equity, posit - NForecast + 1) / EtalonBalance;
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//---
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Result.Clear();
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if(!Result.Add(float(reward)))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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if(!cCritic.backProp(Result, GetPointer(cActor), LatentLayer))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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//--- Oracul
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if(!Action.AssignArray(target_action))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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reward = CheckAction(Action, equity, posit - NForecast + 1) / EtalonBalance;
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if(reward > 0)
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if(!cActor.backProp(Action,(CBufferFloat*)NULL))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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if(!cActor.feedForward((CBufferFloat*)GetPointer(bState), 1, false, (CBufferFloat*)GetPointer(bTime)) ||
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!cCritic.feedForward(Action, 1, false, GetPointer(cActor), LatentLayer))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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if(!Result.Update(0, float(reward)))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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if(!cCritic.backProp(Result, GetPointer(cActor), LatentLayer) ||
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!cActor.backPropGradient((CBufferFloat*)GetPointer(bTime), (CBufferFloat*)NULL,LatentLayer,true))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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//---
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if(GetTickCount() - ticks > 500)
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{
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double percent = (epoch + 1.0 - double(posit - end) / (start - end - HistoryBars - NForecast)) / Epochs * 100.0;
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string str = "";
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str += StringFormat("%-12s %6.2f%% -> Error %15.8f\n", "Actor", percent, cActor.getRecentAverageError());
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str += StringFormat("%-12s %6.2f%% -> Error %15.8f\n", "Critic", percent, cCritic.getRecentAverageError());
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Comment(str);
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ticks = GetTickCount();
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}
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}
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}
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Comment("");
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//---
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PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Actor", cActor.getRecentAverageError());
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PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Critic", cCritic.getRecentAverageError());
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ExpertRemove();
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//---
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}
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//+------------------------------------------------------------------+
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