| //+------------------------------------------------------------------+
|
| //| 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"
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| #define FileName Symb.Name()+"_"+EnumToString(TimeFrame)+"_"+StringSubstr(__FILE__,0,StringFind(__FILE__,".",0))
|
| //+------------------------------------------------------------------+
|
| //| Includes |
|
| //+------------------------------------------------------------------+
|
| #include "QRDQN.mqh"
|
| #include <Trade\SymbolInfo.mqh>
|
| #include <Indicators\Oscilators.mqh>
|
| //+------------------------------------------------------------------+
|
| //| Input parameters |
|
| //+------------------------------------------------------------------+
|
| input int StudyPeriod = 2; //Study period, years
|
| uint HistoryBars = 20; //Depth of history
|
| input ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
|
| input int Batch = 100;
|
| input int UpdateTarget = 1000;
|
| input int Iterations = 1000;
|
| input float DiscountFactor = 0.3f;
|
| 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
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| 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
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| input ENUM_APPLIED_PRICE MACDPrice = PRICE_CLOSE; //Applied price
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| CSymbolInfo Symb;
|
| MqlRates Rates[];
|
| CQRDQN StudyNet;
|
| CBufferFloat *TempData;
|
| 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;
|
| CBufferFloat State2;
|
| CBufferFloat Rewards;
|
| float min_loss = FLT_MAX;
|
| //+------------------------------------------------------------------+
|
| //| Expert initialization function |
|
| //+------------------------------------------------------------------+
|
| int OnInit()
|
| {
|
| //---
|
| if(!Symb.Name(_Symbol))
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| 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 + ".nnw", dtStudied, false))
|
| return INIT_FAILED;
|
| if(!StudyNet.TrainMode(true))
|
| return INIT_FAILED;
|
| //---
|
| if(!StudyNet.GetLayerOutput(0, TempData))
|
| return INIT_FAILED;
|
| HistoryBars = TempData.Total() / 12;
|
| if(!StudyNet.SetActions(Actions))
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| return INIT_PARAMETERS_INCORRECT;
|
| StudyNet.SetUpdateTarget(1000000);
|
| //---
|
| bEventStudy = EventChartCustom(ChartID(), 1, 0, 0, "Init");
|
| //---
|
| return(INIT_SUCCEEDED);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Expert deinitialization function |
|
| //+------------------------------------------------------------------+
|
| void OnDeinit(const int reason)
|
| {
|
| if(!!TempData)
|
| delete TempData;
|
| //---
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Expert tick function |
|
| //+------------------------------------------------------------------+
|
| void OnTick()
|
| {
|
| //---
|
| }
|
| //+------------------------------------------------------------------+
|
| //| ChartEvent function |
|
| //+------------------------------------------------------------------+
|
| void OnChartEvent(const int id,
|
| const long &lparam,
|
| const double &dparam,
|
| const string &sparam)
|
| {
|
| //---
|
| if(id == 1001)
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| Train();
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| void Train(void)
|
| {
|
| //---
|
| MqlDateTime start_time;
|
| TimeCurrent(start_time);
|
| start_time.year -= StudyPeriod;
|
| if(start_time.year <= 0)
|
| start_time.year = 1900;
|
| datetime st_time = StructToTime(start_time);
|
| //---
|
| int bars = CopyRates(Symb.Name(), TimeFrame, st_time, TimeCurrent(), Rates);
|
| if(!RSI.BufferResize(bars) || !CCI.BufferResize(bars) || !ATR.BufferResize(bars) || !MACD.BufferResize(bars))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| ExpertRemove();
|
| return;
|
| }
|
| if(!ArraySetAsSeries(Rates, true))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| ExpertRemove();
|
| return;
|
| }
|
| //---
|
| RSI.Refresh();
|
| CCI.Refresh();
|
| ATR.Refresh();
|
| MACD.Refresh();
|
| //---
|
| int total = bars - (int)HistoryBars - 240;
|
| bool use_target = false;
|
| //---
|
| for(int iter = 0; (iter < Iterations && !IsStopped()); iter ++)
|
| {
|
| int i = 0;
|
| uint ticks = GetTickCount();
|
| int count = 0;
|
| int total_max = 0;
|
| for(int batch = 0; batch < (Batch * UpdateTarget); batch++)
|
| {
|
| i = (int)((MathRand() * MathRand() / MathPow(32767, 2)) * total + 240);
|
| State1.Clear();
|
| State2.Clear();
|
| int r = i + (int)HistoryBars;
|
| if(r > bars)
|
| continue;
|
| for(int b = 0; b < (int)HistoryBars; b++)
|
| {
|
| int bar_t = r - 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))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| break;
|
| }
|
| if(!use_target)
|
| continue;
|
| //---
|
| bar_t--;
|
| open = (float)Rates[bar_t].open;
|
| TimeToStruct(Rates[bar_t].time, sTime);
|
| rsi = (float)RSI.Main(bar_t);
|
| cci = (float)CCI.Main(bar_t);
|
| atr = (float)ATR.Main(bar_t);
|
| macd = (float)MACD.Main(bar_t);
|
| sign = (float)MACD.Signal(bar_t);
|
| if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
|
| continue;
|
| //---
|
| if(!State2.Add((float)Rates[bar_t].close - open) || !State2.Add((float)Rates[bar_t].high - open) || !State2.Add((float)Rates[bar_t].low - open) || !State2.Add((float)Rates[bar_t].tick_volume / 1000.0f) ||
|
| !State2.Add(sTime.hour) || !State2.Add(sTime.day_of_week) || !State2.Add(sTime.mon) ||
|
| !State2.Add(rsi) || !State2.Add(cci) || !State2.Add(atr) || !State2.Add(macd) || !State2.Add(sign))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| break;
|
| }
|
| }
|
| if(IsStopped())
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| ExpertRemove();
|
| return;
|
| }
|
| if(State1.Total() < (int)HistoryBars * 12 ||
|
| (use_target && State2.Total() < (int)HistoryBars * 12))
|
| continue;
|
| if(!StudyNet.feedForward(GetPointer(State1), 12, true))
|
| return;
|
| Rewards.BufferInit(Actions, 0);
|
| double reward = Rates[i].close - Rates[i].open;
|
| if(reward >= 0)
|
| {
|
| if(!Rewards.Update(0, (float)(2 * reward)))
|
| return;
|
| if(!Rewards.Update(1, (float)(-5 * reward)))
|
| return;
|
| if(!Rewards.Update(2, (float) - reward))
|
| return;
|
| }
|
| else
|
| {
|
| if(!Rewards.Update(0, (float)(5 * reward)))
|
| return;
|
| if(!Rewards.Update(1, (float)(-2 * reward)))
|
| return;
|
| if(!Rewards.Update(2, (float)reward))
|
| return;
|
| }
|
| //---
|
| if(!StudyNet.backProp(GetPointer(Rewards), DiscountFactor, (use_target ? GetPointer(State2) : NULL), 12, true))
|
| return;
|
| if(GetTickCount() - ticks > 500)
|
| {
|
| Comment(StringFormat("%.2f%%", batch * 100.0 / (double)(Batch * UpdateTarget)));
|
| ticks = GetTickCount();
|
| }
|
| }
|
| if(StudyNet.getRecentAverageError() <= min_loss)
|
| {
|
| if(!StudyNet.UpdateTarget(FileName + ".nnw"))
|
| continue;
|
| use_target = true;
|
| min_loss = StudyNet.getRecentAverageError();
|
| }
|
| PrintFormat("Iteration %d, loss %.8f", iter, StudyNet.getRecentAverageError());
|
| }
|
| Comment("");
|
| //---
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| ExpertRemove();
|
| }
|
| //+------------------------------------------------------------------+
|
|
|
