| //+------------------------------------------------------------------+
|
| //| Study.mq5 |
|
| //| Copyright DNG® |
|
| //| https://www.mql5.com/ru/users/dng |
|
| //+------------------------------------------------------------------+
|
| #property copyright "Copyright DNG®"
|
| #property link "https://www.mql5.com/ru/users/dng"
|
| #property version "1.00"
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| #define Study
|
| #include "Trajectory.mqh"
|
| //+------------------------------------------------------------------+
|
| //| Input parameters |
|
| //+------------------------------------------------------------------+
|
| input int Iterations = 5e5;
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| STrajectory Buffer[];
|
| CNet Encoder;
|
| CNet Decoder;
|
| //---
|
| float dError;
|
| datetime dtStudied;
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| //---
|
| CBufferFloat State;
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| CBufferFloat Actions;
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| CBufferFloat *Result;
|
| //---
|
| COpenCLMy *OpenCL;
|
| //+------------------------------------------------------------------+
|
| //| Expert initialization function |
|
| //+------------------------------------------------------------------+
|
| int OnInit()
|
| {
|
| //---
|
| ResetLastError();
|
| if(!LoadTotalBase())
|
| {
|
| PrintFormat("Error of load study data: %d", GetLastError());
|
| return INIT_FAILED;
|
| }
|
| //--- load models
|
| float temp;
|
| if(!Encoder.Load(FileName + "Enc.nnw", temp, temp, temp, dtStudied, true) ||
|
| !Decoder.Load(FileName + "Dec.nnw", temp, temp, temp, dtStudied, true))
|
| {
|
| Print("Init new CVAE");
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| CArrayObj *encoder = new CArrayObj();
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| CArrayObj *decoder = new CArrayObj();
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| if(!CreateCVAEDescriptions(encoder,decoder))
|
| {
|
| delete encoder;
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| delete decoder;
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| return INIT_FAILED;
|
| }
|
| if(!Encoder.Create(encoder) || !Decoder.Create(decoder))
|
| {
|
| delete encoder;
|
| delete decoder;
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| return INIT_FAILED;
|
| }
|
| delete encoder;
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| delete decoder;
|
| }
|
| //---
|
| OpenCL = Encoder.GetOpenCL();
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| Decoder.SetOpenCL(OpenCL);
|
| //---
|
| Decoder.getResults(Result);
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| if(Result.Total() != NActions)
|
| {
|
| PrintFormat("The scope of the Decoder does not match the actions count (%d <> %d)", NActions, Result.Total());
|
| return INIT_FAILED;
|
| }
|
| //---
|
| Encoder.GetLayerOutput(0, Result);
|
| if(Result.Total() != (HistoryBars * BarDescr))
|
| {
|
| PrintFormat("Input size of Encoder doesn't match state description (%d <> %d)", Result.Total(), (HistoryBars * BarDescr));
|
| return INIT_FAILED;
|
| }
|
| //---
|
| Encoder.getResults(Result);
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| int latent_state = Result.Total();
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| Decoder.GetLayerOutput(0, Result);
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| if(Result.Total() != latent_state)
|
| {
|
| PrintFormat("Input size of Decoder doesn't match result of Encoder (%d <> %d)", Result.Total(), latent_state);
|
| return INIT_FAILED;
|
| }
|
| //---
|
| if(!EventChartCustom(ChartID(), 1, 0, 0, "Init"))
|
| {
|
| PrintFormat("Error of create study event: %d", GetLastError());
|
| return INIT_FAILED;
|
| }
|
| //---
|
| return(INIT_SUCCEEDED);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Expert deinitialization function |
|
| //+------------------------------------------------------------------+
|
| void OnDeinit(const int reason)
|
| {
|
| //---
|
| Encoder.Save(FileName + "Enc.nnw", 0, 0, 0, TimeCurrent(), true);
|
| Decoder.Save(FileName + "Dec.nnw", Decoder.getRecentAverageError(), 0, 0, TimeCurrent(), true);
|
| delete Result;
|
| delete OpenCL;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| ChartEvent function |
|
| //+------------------------------------------------------------------+
|
| void OnChartEvent(const int id,
|
| const long &lparam,
|
| const double &dparam,
|
| const string &sparam)
|
| {
|
| //---
|
| if(id == 1001)
|
| Train();
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Train function |
|
| //+------------------------------------------------------------------+
|
| void Train(void)
|
| {
|
| int total_tr = ArraySize(Buffer);
|
| uint ticks = GetTickCount();
|
| int bar = (HistoryBars - 1) * BarDescr;
|
| //---
|
| for(int iter = 0; (iter < Iterations && !IsStopped()); iter ++)
|
| {
|
| int tr = int((MathRand() * MathRand() / MathPow(32767, 2)) * (total_tr));
|
| int i = int((MathRand() * MathRand() / MathPow(32767, 2)) * (Buffer[tr].Total - 2));
|
| if(i < 0)
|
| continue;
|
| State.AssignArray(Buffer[tr].States[i].state);
|
| Actions.AssignArray(Buffer[tr].States[i].action);
|
| if(Actions.GetIndex() >= 0)
|
| Actions.BufferWrite();
|
| //---
|
| if(!Encoder.feedForward(GetPointer(State), 1,false, GetPointer(Actions)) ||
|
| !Decoder.feedForward(GetPointer(Encoder), -1, GetPointer(Encoder),1))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| break;
|
| }
|
| //---
|
| if(!Decoder.backProp(GetPointer(Actions), GetPointer(Encoder), 1) ||
|
| !Encoder.backPropGradient(GetPointer(Actions), GetPointer(Actions)))
|
| {
|
| PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
| break;
|
| }
|
| //---
|
| if(GetTickCount() - ticks > 500)
|
| {
|
| string str = StringFormat("%-15s %5.2f%% -> Error %15.8f\n", "Decoder", iter * 100.0 / (double)(Iterations), Decoder.getRecentAverageError());
|
| Comment(str);
|
| ticks = GetTickCount();
|
| }
|
| }
|
| Comment("");
|
| //---
|
| PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Decoder", Decoder.getRecentAverageError());
|
| ExpertRemove();
|
| //---
|
| }
|
| //+------------------------------------------------------------------+
|
|
|
