derivado de 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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#include "Trajectory.mqh"
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//+------------------------------------------------------------------+
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//| Input parameters |
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//+------------------------------------------------------------------+
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input int Iterations = 100000;
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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STrajectory Buffer[];
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CNet Encoder;
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CNet Actor;
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CNet Critic;
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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 bAccount;
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CBufferFloat bGradient;
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CBufferFloat bActions;
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CBufferFloat *Result;
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vector<float> check;
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vector<float> STD_Actor;
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vector<float> STD_Goal;
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//---
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COpenCLMy *OpenCL;
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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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if(!LoadTotalBase())
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{
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PrintFormat("Error of load study data: %d", GetLastError());
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return INIT_FAILED;
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}
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//--- load models
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float temp;
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if(!Encoder.Load(FileName + "Enc.nnw", temp, temp, temp, dtStudied, true))
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{
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Print("Create new Encoder");
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CArrayObj *encoder = new CArrayObj();
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if(!CreateEncoderDescriptions(encoder))
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{
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delete encoder;
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return INIT_FAILED;
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}
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if(!Encoder.Create(encoder))
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{
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delete encoder;
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return INIT_FAILED;
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}
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delete encoder;
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}
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if(!Actor.Load(FileName + "Act.nnw", temp, temp, temp, dtStudied, true) ||
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!Critic.Load(FileName + "Crt.nnw", temp, temp, temp, dtStudied, true)
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)
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{
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Print("Create new models");
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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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delete actor;
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delete critic;
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return INIT_FAILED;
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}
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if(!Actor.Create(actor) ||
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!Critic.Create(critic))
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{
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delete actor;
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delete critic;
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return INIT_FAILED;
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}
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delete actor;
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delete critic;
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}
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//---
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Encoder.TrainMode(true);
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Actor.TrainMode(true);
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Critic.TrainMode(true);
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OpenCL = Actor.GetOpenCL();
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Encoder.SetOpenCL(OpenCL);
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Critic.SetOpenCL(OpenCL);
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//---
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Actor.getResults(Result);
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if(Result.Total() != NActions)
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{
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PrintFormat("The scope of the actor does not match the actions count (%d <> %d)", NActions, Result.Total());
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return INIT_FAILED;
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}
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//---
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Encoder.GetLayerOutput(0, Result);
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if(Result.Total() != (HistoryBars * BarDescr))
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{
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PrintFormat("Input size of Encoder doesn't match state description (%d <> %d)", Result.Total(), (HistoryBars * BarDescr));
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return INIT_FAILED;
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}
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//---
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if(!bGradient.BufferInit(MathMax(AccountDescr, NActions), 0) ||
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!bGradient.BufferCreate(OpenCL))
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{
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PrintFormat("Error of create buffers: %d", GetLastError());
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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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Encoder.Save(FileName + "Enc.nnw", 0, 0, 0, TimeCurrent(), true);
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Actor.Save(FileName + "Act.nnw", 0, 0, 0, TimeCurrent(), true);
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Critic.Save(FileName + "Crt.nnw", 0, 0, 0, TimeCurrent(), true);
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}
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delete Result;
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delete OpenCL;
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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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if(id == 1001)
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Train();
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}
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//+------------------------------------------------------------------+
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//| Train function |
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//+------------------------------------------------------------------+
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//| | T ra in implementation. |
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//+------------------------------------------------------------------+
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void Train(void)
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{
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//---
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vector<float> probability = GetProbTrajectories(Buffer, 0.9);
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//---
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vector<float> result, target, state;
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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 iter = 0; (iter < Iterations && !IsStopped() && !Stop); iter ++)
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{
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int tr = SampleTrajectory(probability);
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int i = (int)((MathRand() * MathRand() / MathPow(32767, 2)) * (Buffer[tr].Total - 2 - NForecast));
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if(i <= 0)
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{
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iter --;
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continue;
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}
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state.Assign(Buffer[tr].States[i].state);
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if(MathAbs(state).Sum() == 0)
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{
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iter --;
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continue;
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}
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bState.AssignArray(state);
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//---
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bTime.Clear();
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double time = (double)Buffer[tr].States[i].account[7];
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double x = time / (double)(D'2024.01.01' - D'2023.01.01');
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bTime.Add((float)MathSin(x != 0 ? 2.0 * M_PI * x : 0));
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x = time / (double)PeriodSeconds(PERIOD_MN1);
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bTime.Add((float)MathCos(x != 0 ? 2.0 * M_PI * x : 0));
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x = time / (double)PeriodSeconds(PERIOD_W1);
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bTime.Add((float)MathSin(x != 0 ? 2.0 * M_PI * x : 0));
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x = time / (double)PeriodSeconds(PERIOD_D1);
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bTime.Add((float)MathSin(x != 0 ? 2.0 * M_PI * x : 0));
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if(bTime.GetIndex() >= 0)
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bTime.BufferWrite();
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//--- State Encoder
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if(!Encoder.feedForward((CBufferFloat*)GetPointer(bState), 1, false, (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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//--- Critic
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bActions.AssignArray(Buffer[tr].States[i].action);
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if(bActions.GetIndex() >= 0)
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bActions.BufferWrite();
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if(!Critic.feedForward((CBufferFloat*)GetPointer(bActions), 1, false, GetPointer(Encoder), 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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result.Assign(Buffer[tr].States[i + 1].rewards);
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target.Assign(Buffer[tr].States[i + 2].rewards);
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result = result - target * DiscFactor;
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Result.AssignArray(result);
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Critic.TrainMode(true);
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if(!Critic.backProp(Result, (CNet *)GetPointer(Encoder), 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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//--- Policy
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float PrevBalance = Buffer[tr].States[MathMax(i - 1, 0)].account[0];
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float PrevEquity = Buffer[tr].States[MathMax(i - 1, 0)].account[1];
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bAccount.Clear();
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bAccount.Add((Buffer[tr].States[i].account[0] - PrevBalance) / PrevBalance);
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bAccount.Add(Buffer[tr].States[i].account[1] / PrevBalance);
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bAccount.Add((Buffer[tr].States[i].account[1] - PrevEquity) / PrevEquity);
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bAccount.Add(Buffer[tr].States[i].account[2]);
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bAccount.Add(Buffer[tr].States[i].account[3]);
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bAccount.Add(Buffer[tr].States[i].account[4] / PrevBalance);
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bAccount.Add(Buffer[tr].States[i].account[5] / PrevBalance);
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bAccount.Add(Buffer[tr].States[i].account[6] / PrevBalance);
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bAccount.AddArray(GetPointer(bTime));
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if(bAccount.GetIndex() >= 0)
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bAccount.BufferWrite();
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//--- Actor
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if(!Actor.feedForward((CBufferFloat*)GetPointer(bAccount), 1, false, GetPointer(Encoder), 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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Critic.TrainMode(false);
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if(!Critic.feedForward((CNet *)GetPointer(Actor), -1, (CNet*)GetPointer(Encoder), 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(Buffer[tr].States[0].rewards[0] > 0)
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if(!Actor.backProp(GetPointer(bActions), GetPointer(Encoder), LatentLayer) ||
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!Encoder.backPropGradient((CBufferFloat*)GetPointer(bState)))
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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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Critic.getResults(Result);
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for(int c = 0; c < Result.Total(); c++)
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{
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float value = Result.At(c);
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if(value >= 0)
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Result.Update(c, value * 1.01f);
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else
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Result.Update(c, value * 0.99f);
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}
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if(!Critic.backProp(Result, (CNet *)GetPointer(Encoder), LatentLayer) ||
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!Actor.backPropGradient((CNet *)GetPointer(Encoder), LatentLayer, -1, true) ||
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!Encoder.backPropGradient((CBufferFloat*)GetPointer(bState)))
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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 = double(iter) * 100.0 / (Iterations);
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string str = StringFormat("%-14s %6.2f%% -> Error %15.8f\n", "Actor", percent, Actor.getRecentAverageError());
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str += StringFormat("%-14s %6.2f%% -> Error %15.8f\n", "Critic", percent, Critic.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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Comment("");
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//---
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PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Actor", Actor.getRecentAverageError());
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PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Critic", Critic.getRecentAverageError());
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ExpertRemove();
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//---
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}
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//+------------------------------------------------------------------+
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