| //+------------------------------------------------------------------+
|
| //| SparseRL-Learning.mq5 |
|
| //| Copyright 2023, DNG |
|
| //| https://www.mql5.com/ru/users/dng |
|
| //+------------------------------------------------------------------+
|
| #property copyright "Copyright 2023, 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 |
|
| //+------------------------------------------------------------------+
|
| 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 ----"
|
| 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;
|
| CiRSI RSI;
|
| CiCCI CCI;
|
| CiATR ATR;
|
| 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", 6, true))
|
| {
|
| CArrayObj *model = new CArrayObj();
|
| CArrayObj *forward = new CArrayObj();
|
| CArrayObj *inverse = new CArrayObj();
|
| if(!CreateDescriptions(model, forward, inverse))
|
| {
|
| delete model;
|
| delete forward;
|
| delete inverse;
|
| return INIT_FAILED;
|
| }
|
| if(!StudyNet.Create(model, forward, inverse))
|
| {
|
| delete model;
|
| delete forward;
|
| delete inverse;
|
| return INIT_FAILED;
|
| }
|
| StudyNet.SetStateEmbedingLayer(5);
|
| delete model;
|
| delete forward;
|
| delete inverse;
|
| }
|
| 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;
|
| }
|
| MqlDateTime time;
|
| TimeCurrent(time);
|
| if(time.hour==0)
|
| 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;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | Creates or initializes Descriptions. |
|
| //+------------------------------------------------------------------+
|
| bool CreateDescriptions(CArrayObj *Description, CArrayObj *Forward, CArrayObj *Inverse)
|
| {
|
| //---
|
| if(!Description)
|
| {
|
| Description = new CArrayObj();
|
| if(!Description)
|
| return false;
|
| }
|
| //---
|
| if(!Forward)
|
| {
|
| Forward = new CArrayObj();
|
| if(!Forward)
|
| return false;
|
| }
|
| //---
|
| if(!Inverse)
|
| {
|
| Inverse = new CArrayObj();
|
| if(!Inverse)
|
| return false;
|
| }
|
| //--- Model
|
| Description.Clear();
|
| CLayerDescription *descr;
|
| //--- Input layer
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| int prev_count = descr.count = (int)(HistoryBars * 12 + 9);
|
| descr.window = 0;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!Description.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 1
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBatchNormOCL;
|
| descr.count = prev_count;
|
| descr.batch = 1000;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!Description.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 2
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronConvOCL;
|
| descr.count = prev_count - 2;
|
| descr.window = 3;
|
| descr.step = 1;
|
| descr.window_out = 6;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!Description.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 3
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 100;
|
| descr.optimization = ADAM;
|
| if(!Description.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 4
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronConvOCL;
|
| descr.count = 50;
|
| descr.window = 2;
|
| descr.step = 2;
|
| descr.window_out = 4;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!Description.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 5
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 100;
|
| descr.optimization = ADAM;
|
| if(!Description.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 6
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronMLMHSparseAttentionOCL;
|
| descr.count = 20;
|
| descr.window = 5;
|
| descr.step = 4;
|
| descr.window_out = 8;
|
| descr.layers = 2;
|
| descr.probability = 0.3f;
|
| descr.optimization = ADAM;
|
| if(!Description.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 7
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronFQF;
|
| descr.count = 4;
|
| descr.window_out = 32;
|
| descr.optimization = ADAM;
|
| if(!Description.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- Forward
|
| Forward.Clear();
|
| //--- Input layer
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 104;
|
| descr.window = 0;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!Forward.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 1
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 500;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!Forward.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 2
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 100;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!Forward.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- Inverse
|
| Inverse.Clear();
|
| //--- Input layer
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 200;
|
| descr.window = 0;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!Inverse.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 1
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 500;
|
| descr.activation = LReLU;
|
| descr.optimization = ADAM;
|
| if(!Inverse.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 2
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronBaseOCL;
|
| descr.count = 4;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!Inverse.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //--- layer 3
|
| if(!(descr = new CLayerDescription()))
|
| return false;
|
| descr.type = defNeuronSoftMaxOCL;
|
| descr.count = 4;
|
| descr.step = 1;
|
| descr.activation = None;
|
| descr.optimization = ADAM;
|
| if(!Inverse.Add(descr))
|
| {
|
| delete descr;
|
| return false;
|
| }
|
| //---
|
| return true;
|
| }
|
| //+------------------------------------------------------------------+
|
|
|
