| //+------------------------------------------------------------------+
|
| //| ICML-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"
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| #define FileName Symb.Name()+"_"+EnumToString(TimeFrame)+"_"+StringSubstr(__FILE__,0,StringFind(__FILE__,".",0))
|
| //+------------------------------------------------------------------+
|
| //| Includes |
|
| //+------------------------------------------------------------------+
|
| #include "ICM.mqh"
|
| #include <Trade\Trade.mqh>
|
| #include <Trade\SymbolInfo.mqh>
|
| #include <Indicators\Oscilators.mqh>
|
| //+------------------------------------------------------------------+
|
| //| Input parameters |
|
| //+------------------------------------------------------------------+
|
| input int StudyEpochs = 2;
|
| uint HistoryBars = 20; //Depth of history
|
| input ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
|
| input int Batch = 100;
|
| input float DiscountFactor = 0.3f;
|
| //---
|
| 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 ----"
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| 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[];
|
| CICM StudyNet;
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| CiRSI RSI;
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| CiCCI CCI;
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| CiATR ATR;
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| CiMACD MACD;
|
| //---
|
| float dError;
|
| datetime dtStudied;
|
| bool bEventStudy;
|
| MqlDateTime sTime;
|
| //---
|
| CBufferFloat State1;
|
| float min_loss = FLT_MAX;
|
| CTrade Trade;
|
| //+------------------------------------------------------------------+
|
| //| 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(!StudyNet.Load(FileName + ".icm", true))
|
| if(!StudyNet.Load(FileName + ".nnw", FileName + ".fwd", FileName + ".inv", 3, true))
|
| return INIT_FAILED;
|
| if(!StudyNet.TrainMode(true))
|
| return INIT_FAILED;
|
| StudyNet.SetBufferSize(Batch, 10 * Batch);
|
| //---
|
| CBufferFloat* temp;
|
| if(!StudyNet.GetLayerOutput(0, temp))
|
| return INIT_FAILED;
|
| HistoryBars = (temp.Total() - 9) / 12;
|
| delete temp;
|
| if(!RSI.BufferResize(HistoryBars) || !CCI.BufferResize(HistoryBars) ||
|
| !ATR.BufferResize(HistoryBars) || !MACD.BufferResize(HistoryBars))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| return INIT_FAILED;
|
| }
|
| //---
|
| if(!Trade.SetTypeFillingBySymbol(Symb.Name()))
|
| return INIT_FAILED;
|
| //---
|
| return(INIT_SUCCEEDED);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Expert deinitialization function |
|
| //+------------------------------------------------------------------+
|
| void OnDeinit(const int reason)
|
| {
|
| //---
|
| StudyNet.Save(FileName + ".icm", true);
|
| StudyNet.Save(FileName + ".nnw", FileName + ".fwd", FileName + ".inv", true);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Tester pass callback. |
|
| //+------------------------------------------------------------------+
|
| void OnTesterPass()
|
| {
|
| StudyNet.Save(FileName + ".icm", true);
|
| StudyNet.Save(FileName + ".nnw", FileName + ".fwd", FileName + ".inv", true);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Expert tick function |
|
| //+------------------------------------------------------------------+
|
| void OnTick()
|
| {
|
| if(!IsNewBar())
|
| return;
|
| //---
|
| int bars = CopyRates(Symb.Name(), TimeFrame, iTime(Symb.Name(), TimeFrame, 1), HistoryBars, Rates);
|
| if(!ArraySetAsSeries(Rates, true))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| return;
|
| }
|
| //---
|
| RSI.Refresh();
|
| CCI.Refresh();
|
| ATR.Refresh();
|
| MACD.Refresh();
|
| //---
|
| State1.Clear();
|
| for(int b = 0; b < (int)HistoryBars; b++)
|
| {
|
| float open = (float)Rates[b].open;
|
| TimeToStruct(Rates[b].time, sTime);
|
| float rsi = (float)RSI.Main(b);
|
| float cci = (float)CCI.Main(b);
|
| float atr = (float)ATR.Main(b);
|
| float macd = (float)MACD.Main(b);
|
| float sign = (float)MACD.Signal(b);
|
| if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
|
| continue;
|
| //---
|
| if(!State1.Add((float)Rates[b].close - open) || !State1.Add((float)Rates[b].high - open) || !State1.Add((float)Rates[b].low - open) || !State1.Add((float)Rates[b].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))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| break;
|
| }
|
| }
|
| switch(StudyNet.feedForward(GetPointer(State1), 12, true, true))
|
| {
|
| case 0:
|
| Trade.Buy(Symb.LotsMin(), Symb.Name());
|
| break;
|
| case 1:
|
| Trade.Sell(Symb.LotsMin(), Symb.Name());
|
| break;
|
| case 2:
|
| for(int i=PositionsTotal()-1;i>=0;i--)
|
| if(PositionGetSymbol(i)==Symb.Name())
|
| Trade.PositionClose(PositionGetInteger(POSITION_IDENTIFIER));
|
| break;
|
| }
|
| StudyNet.backProp(Batch, DiscountFactor);
|
| //---
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Checks NewBar. |
|
| //+------------------------------------------------------------------+
|
| 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;
|
| }
|
| //+------------------------------------------------------------------+
|
|
|
