| //+------------------------------------------------------------------+
|
| //| REINFORCE.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 "..\NeuroNet_DNG\NeuroNet.mqh"
|
| #include <Trade\SymbolInfo.mqh>
|
| #include <Indicators\Oscilators.mqh>
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| #define FileName Symb.Name()+"_"+EnumToString((ENUM_TIMEFRAMES)Period())+"_"+StringSubstr(__FILE__,0,StringFind(__FILE__,".",0))
|
| //+------------------------------------------------------------------+
|
| //| Input parameters |
|
| //+------------------------------------------------------------------+
|
| input int StudyPeriod = 2; //Study period, years
|
| uint HistoryBars = 20; //Depth of history
|
| ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
|
| input int SessionSize = 24 * 22;
|
| input int Iterations = 1000;
|
| input double DiscountFactor = 0.999;
|
| 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[];
|
| CNet StudyNet;
|
| CArrayObj States;
|
| vectorf vActions;
|
| vectorf vRewards;
|
| vectorf vProbs;
|
| CBufferFloat *TempData;
|
| CiRSI RSI;
|
| CiCCI CCI;
|
| CiATR ATR;
|
| CiMACD MACD;
|
| //---
|
| float dError;
|
| datetime dtStudied;
|
| bool bEventStudy;
|
| MqlDateTime sTime;
|
| //+------------------------------------------------------------------+
|
| //| 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;
|
| //---
|
| float temp1, temp2;
|
| if(!StudyNet.Load(FileName + ".nnw", dError, temp1, temp2, dtStudied, false))
|
| return INIT_FAILED;
|
| //---
|
| if(!StudyNet.GetLayerOutput(0, TempData))
|
| return INIT_FAILED;
|
| HistoryBars = TempData.Total() / 12;
|
| StudyNet.getResults(TempData);
|
| if(TempData.Total() != Actions)
|
| return INIT_PARAMETERS_INCORRECT;
|
| if(!vActions.Resize(SessionSize) ||
|
| !vRewards.Resize(SessionSize) ||
|
| !vProbs.Resize(SessionSize))
|
| return INIT_FAILED;
|
| StudyNet.TrainMode(true);
|
| //MaxProfit = -1e-37f;
|
| //---
|
| 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)
|
| 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))
|
| {
|
| ExpertRemove();
|
| return;
|
| }
|
| if(!ArraySetAsSeries(Rates, true))
|
| {
|
| ExpertRemove();
|
| return;
|
| }
|
| //---
|
| RSI.Refresh();
|
| CCI.Refresh();
|
| ATR.Refresh();
|
| MACD.Refresh();
|
| //---
|
| int total = bars - (int)(HistoryBars + 2 * SessionSize);
|
| //---
|
| CBufferFloat* State;
|
| for(int iter = 0; (iter < Iterations && !IsStopped()); iter ++)
|
| {
|
| int error_code;
|
| int shift = (int)(fmin(fabs(Math::MathRandomNormal(0, 1, error_code)), 1) * (total) + SessionSize);
|
| States.Clear();
|
| for(int batch = 0; batch < SessionSize; batch++)
|
| {
|
| int i = shift - batch;
|
| State = new CBufferFloat();
|
| if(!State)
|
| {
|
| ExpertRemove();
|
| return;
|
| }
|
| 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(!State.Add((float)Rates[bar_t].close - open) || !State.Add((float)Rates[bar_t].high - open) || !State.Add((float)Rates[bar_t].low - open) || !State.Add((float)Rates[bar_t].tick_volume / 1000.0f) ||
|
| !State.Add(sTime.hour) || !State.Add(sTime.day_of_week) || !State.Add(sTime.mon) ||
|
| !State.Add(rsi) || !State.Add(cci) || !State.Add(atr) || !State.Add(macd) || !State.Add(sign))
|
| break;
|
| }
|
| if(IsStopped())
|
| {
|
| ExpertRemove();
|
| return;
|
| }
|
| if(State.Total() < (int)HistoryBars * 12)
|
| continue;
|
| if(!StudyNet.feedForward(GetPointer(State), 12, true))
|
| {
|
| ExpertRemove();
|
| return;
|
| }
|
| StudyNet.getResults(TempData);
|
| int action = GetAction(TempData);
|
| if(action < 0)
|
| {
|
| ExpertRemove();
|
| return;
|
| }
|
| double reward = Rates[i - 1].close - Rates[i - 1].open;
|
| switch(action)
|
| {
|
| case 0:
|
| if(reward < 0)
|
| reward *= 20;
|
| else
|
| reward *= 1;
|
| break;
|
| case 1:
|
| if(reward > 0)
|
| reward *= -20;
|
| else
|
| reward *= -1;
|
| break;
|
| default:
|
| reward = -fabs(reward);
|
| break;
|
| }
|
| if(!States.Add(State))
|
| {
|
| ExpertRemove();
|
| return;
|
| }
|
| vActions[batch] = (float)action;
|
| vRewards[SessionSize - batch - 1] = (float)(reward * pow(DiscountFactor, (double)batch));
|
| vProbs[SessionSize - batch - 1] = TempData.At(action);
|
| //---
|
| }
|
| float cum_reward = vRewards.Sum();
|
| vRewards = vRewards.CumSum();
|
| vRewards = vRewards / fmax(vRewards.Max(), fabs(vRewards.Min()));
|
| float loss = (vRewards * MathLog(vProbs) * (-1)).Sum();
|
| //if(MaxProfit < cum_reward)
|
| {
|
| if(!StudyNet.Save(FileName + ".nnw", loss, 0, 0, Rates[shift - SessionSize].time, false))
|
| return;
|
| //MaxProfit = cum_reward;
|
| }
|
| //---
|
| for(int batch = 0; batch < SessionSize; batch++)
|
| {
|
| State = States.At(batch);
|
| if(!StudyNet.feedForward(State))
|
| {
|
| ExpertRemove();
|
| return;
|
| }
|
| if(!TempData.BufferInit(Actions, 0) || !TempData.Update((int)vActions[batch], vRewards[SessionSize - batch - 1]))
|
| {
|
| ExpertRemove();
|
| return;
|
| }
|
| if(!StudyNet.backProp(TempData))
|
| {
|
| ExpertRemove();
|
| return;
|
| }
|
| }
|
| PrintFormat("Iteration %d, Cummulative reward %.5f, loss %.5f", iter, cum_reward, loss);
|
| }
|
| Comment("");
|
| //---
|
| ExpertRemove();
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Gets Action. |
|
| //+------------------------------------------------------------------+
|
| int GetAction(CBufferFloat* probability)
|
| {
|
| vectorf prob;
|
| if(!probability.GetData(prob))
|
| return -1;
|
| prob = prob.CumSum();
|
| prob = prob / prob.Max();
|
| int err_code;
|
| float random = (float)Math::MathRandomNormal(0.5, 0.5, err_code);
|
| if(random >= 1)
|
| return (int)prob.Size() - 1;
|
| for(int i = 0; i < (int)prob.Size(); i++)
|
| if(random <= prob[i])
|
| return i;
|
| //---
|
| return -1;
|
| }
|
| //+------------------------------------------------------------------+
|
|
|
