| //+------------------------------------------------------------------+
|
| //| QR-DQN-Learning.mq5 |
|
| //| Copyright 2022, DNG |
|
| //| https://www.mql5.com/ru/users/dng |
|
| //+------------------------------------------------------------------+
|
| #property copyright "Copyright 2022, DNG"
|
| #property link "https://www.mql5.com/ru/users/dng"
|
| #property version "1.00"
|
| //+------------------------------------------------------------------+
|
| //| Includes |
|
| //+------------------------------------------------------------------+
|
| #include "FQF.mqh"
|
| #include <Trade\SymbolInfo.mqh>
|
| #include <Indicators\Oscilators.mqh>
|
| #include <Trade\Trade.mqh>
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| #define FileName Symb.Name()+"_"+EnumToString((ENUM_TIMEFRAMES)Period())+"_"+StringSubstr(__FILE__,0,StringFind(__FILE__,".",0))
|
| //+------------------------------------------------------------------+
|
| //| Input parameters |
|
| //+------------------------------------------------------------------+
|
| uint HistoryBars = 20; //Depth of history
|
| input ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
|
| int Actions = 3;
|
| //---
|
| 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
|
| input ENUM_APPLIED_PRICE MACDPrice = PRICE_CLOSE; //Applied price
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| CSymbolInfo Symb;
|
| MqlRates Rates[];
|
| CFQF StudyNet;
|
| CiRSI RSI;
|
| CiCCI CCI;
|
| CiATR ATR;
|
| CiMACD MACD;
|
| CTrade Trade;
|
| //---
|
| float dError;
|
| datetime dtStudied;
|
| bool bEventStudy;
|
| MqlDateTime sTime;
|
| //---
|
| CBufferFloat State1;
|
| datetime lastBar;
|
| //+------------------------------------------------------------------+
|
| //| Expert initialization function |
|
| //+------------------------------------------------------------------+
|
| int OnInit()
|
| {
|
| //---
|
| if(!Symb.Name(_Symbol))
|
| return INIT_FAILED;
|
| Symb.Refresh();
|
| //---
|
| 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;
|
| //---
|
| if(!RSI.BufferResize(HistoryBars + 1) || !CCI.BufferResize(HistoryBars + 1) ||
|
| !ATR.BufferResize(HistoryBars + 1) || !MACD.BufferResize(HistoryBars + 1))
|
| return INIT_FAILED;
|
| //---
|
| if(!StudyNet.Load(FileName + ".nnw", dtStudied, true))
|
| return INIT_FAILED;
|
| //---
|
| CBufferFloat *TempData;
|
| if(!StudyNet.GetLayerOutput(0, TempData))
|
| return INIT_FAILED;
|
| HistoryBars = TempData.Total() / 12;
|
| StudyNet.getResults(TempData);
|
| if(!TempData)
|
| return INIT_FAILED;
|
| Actions = TempData.Total();
|
| //---
|
| lastBar = 0;
|
| //---
|
| if(!Trade.SetTypeFillingBySymbol(Symb.Name()))
|
| return INIT_FAILED;
|
| //---
|
| return(INIT_SUCCEEDED);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Expert deinitialization function |
|
| //+------------------------------------------------------------------+
|
| void OnDeinit(const int reason)
|
| {
|
| //---
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Expert tick function |
|
| //+------------------------------------------------------------------+
|
| void OnTick()
|
| {
|
| if(lastBar >= iTime(Symb.Name(), TimeFrame, 0))
|
| return;
|
| //---
|
| int bars = CopyRates(Symb.Name(), TimeFrame, 0, HistoryBars + 1, Rates);
|
| if(!ArraySetAsSeries(Rates, true))
|
| return;
|
| RSI.Refresh();
|
| CCI.Refresh();
|
| ATR.Refresh();
|
| MACD.Refresh();
|
| //---
|
| State1.Clear();
|
| for(int b = 0; b < (int)HistoryBars; b++)
|
| {
|
| int bar_t = (int)HistoryBars - b;
|
| float open = (float)Rates[bar_t].open;
|
| TimeToStruct(Rates[bar_t].time, sTime);
|
| float rsi = (float)RSI.Main(bar_t);
|
| float cci = (float)CCI.Main(bar_t);
|
| float atr = (float)ATR.Main(bar_t);
|
| float macd = (float)MACD.Main(bar_t);
|
| float sign = (float)MACD.Signal(bar_t);
|
| if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
|
| continue;
|
| //---
|
| if(!State1.Add((float)Rates[bar_t].close - open) || !State1.Add((float)Rates[bar_t].high - open) || !State1.Add((float)Rates[bar_t].low - open) || !State1.Add((float)Rates[bar_t].tick_volume / 1000.0f) ||
|
| !State1.Add(sTime.hour) || !State1.Add(sTime.day_of_week) || !State1.Add(sTime.mon) ||
|
| !State1.Add(rsi) || !State1.Add(cci) || !State1.Add(atr) || !State1.Add(macd) || !State1.Add(sign))
|
| break;
|
| }
|
| //---
|
| if(State1.Total() < (int)(HistoryBars * 12))
|
| return;
|
| if(!StudyNet.feedForward(GetPointer(State1), 12, true))
|
| return;
|
| int action = StudyNet.getSample();
|
| //---
|
| bool Buy = false;
|
| bool Sell = false;
|
| for(int i = 0; i < PositionsTotal(); i++)
|
| {
|
| if(PositionGetSymbol(i) != Symb.Name())
|
| continue;
|
| switch((ENUM_POSITION_TYPE)PositionGetInteger(POSITION_TYPE))
|
| {
|
| case POSITION_TYPE_BUY:
|
| Buy = true;
|
| break;
|
| case POSITION_TYPE_SELL:
|
| Sell = true;
|
| break;
|
| }
|
| }
|
| switch(action)
|
| {
|
| case 0:
|
| if(!Buy)
|
| {
|
| if((Sell && !Trade.PositionClose(Symb.Name())) ||
|
| !Trade.Buy(Symb.LotsMin(), Symb.Name()))
|
| {
|
| lastBar = 0;
|
| return;
|
| }
|
| }
|
| break;
|
| case 1:
|
| if(!Sell)
|
| {
|
| if((Buy && !Trade.PositionClose(Symb.Name())) ||
|
| !Trade.Sell(Symb.LotsMin(), Symb.Name()))
|
| {
|
| lastBar = 0;
|
| return;
|
| }
|
| }
|
| break;
|
| case 2:
|
| if(Buy || Sell)
|
| if(!Trade.PositionClose(Symb.Name()))
|
| {
|
| lastBar = 0;
|
| return;
|
| }
|
| break;
|
| }
|
| //---
|
| lastBar = iTime(Symb.Name(), TimeFrame, 0);
|
| }
|
| //+------------------------------------------------------------------+
|
|
|
