forked from dng/NN_in_Trading
//+------------------------------------------------------------------+
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//| Study.mq5 |
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//| Copyright DNG® |
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//| https://www.mql5.com/ru/users/dng |
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//+------------------------------------------------------------------+
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#property copyright "Copyright DNG®"
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#property link "https://www.mql5.com/ru/users/dng"
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#property version "1.00"
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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#define Study
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#define StudyOnline
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#include "Trajectory.mqh"
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#include <Trade\SymbolInfo.mqh>
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#include <Indicators\Oscilators.mqh>
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//+------------------------------------------------------------------+
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//| Input parameters |
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//+------------------------------------------------------------------+
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input datetime Start = D'2020.01.01';
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input datetime End = D'2025.01.01';
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input int Iterations = 100000;
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input int Repeats = 5;
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input group "---- Indicators ----"
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input ENUM_TIMEFRAMES TimeFrame = PERIOD_M1;
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//---
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input group "---- RSI ----"
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input int RSIPeriod = 14; //Period
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input ENUM_APPLIED_PRICE RSIPrice = PRICE_CLOSE; //Applied price
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//---
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input group "---- CCI ----"
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input int CCIPeriod = 14; //Period
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input ENUM_APPLIED_PRICE CCIPrice = PRICE_TYPICAL; //Applied price
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//---
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input group "---- ATR ----"
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input int ATRPeriod = 14; //Period
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//---
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input group "---- MACD ----"
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input int FastPeriod = 12; //Fast
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input int SlowPeriod = 26; //Slow
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input int SignalPeriod = 9; //Signal
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input ENUM_APPLIED_PRICE MACDPrice = PRICE_CLOSE; //Applied price
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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CNet cEncoder;
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//---
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CSymbolInfo Symb;
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MqlRates Rates[];
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CiRSI RSI;
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CiCCI CCI;
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CiATR ATR;
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CiMACD MACD;
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//---
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float dError;
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datetime dtStudied;
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//---
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CBufferFloat bState;
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CBufferFloat bTime;
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CBufferFloat bGradient;
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CBufferFloat *Result;
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vector<float> check;
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//+------------------------------------------------------------------+
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//| Expert initialization function |
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//+------------------------------------------------------------------+
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int OnInit()
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{
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//---
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ResetLastError();
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//--- load models
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float temp;
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CArrayObj *encoder = new CArrayObj();
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CArrayObj *actor = new CArrayObj();
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CArrayObj *director = new CArrayObj();
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CArrayObj *critic = new CArrayObj();
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if(!CreateDescriptions(encoder, actor, director, critic))
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{
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delete encoder;
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delete actor;
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delete director;
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delete critic;
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return INIT_FAILED;
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}
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if(!cEncoder.Load(FileName + "Enc.nnw", temp, temp, temp, dtStudied, true))
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{
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Print("Create new State Encoder");
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if(!cEncoder.Create(encoder))
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{
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delete encoder;
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delete actor;
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delete director;
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delete critic;
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return INIT_FAILED;
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}
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}
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delete encoder;
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delete actor;
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delete director;
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delete critic;
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//---
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if(!Symb.Name(_Symbol) || !Symb.Refresh())
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return INIT_FAILED;
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//---
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if(!RSI.Create(Symb.Name(), TimeFrame, RSIPeriod, RSIPrice))
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return INIT_FAILED;
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//---
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if(!CCI.Create(Symb.Name(), TimeFrame, CCIPeriod, CCIPrice))
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return INIT_FAILED;
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//---
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if(!ATR.Create(Symb.Name(), TimeFrame, ATRPeriod))
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return INIT_FAILED;
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//---
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if(!MACD.Create(Symb.Name(), TimeFrame, FastPeriod, SlowPeriod, SignalPeriod, MACDPrice))
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return INIT_FAILED;
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//---
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cEncoder.TrainMode(true);
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//---
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cEncoder.GetLayerOutput(0, Result);
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if(Result.Total() != (HistoryBars * BarDescr))
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{
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PrintFormat("Input size of Encoder doesn't match state description (%d <> %d)", Result.Total(), (HistoryBars * BarDescr));
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return INIT_FAILED;
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}
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//---
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if(!EventChartCustom(ChartID(), 1, 0, 0, "Init"))
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{
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PrintFormat("Error of create study event: %d", GetLastError());
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return INIT_FAILED;
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}
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//---
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return(INIT_SUCCEEDED);
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}
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//+------------------------------------------------------------------+
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//| Expert deinitialization function |
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//+------------------------------------------------------------------+
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void OnDeinit(const int reason)
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{
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//---
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if(!(reason == REASON_INITFAILED || reason == REASON_RECOMPILE))
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{
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if(!cEncoder.Save(FileName + "Enc.nnw", 0, 0, 0, TimeCurrent(), true))
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PrintFormat("Error of save model: %s", "Encoder");
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}
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delete Result;
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}
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//+------------------------------------------------------------------+
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//| ChartEvent function |
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//+------------------------------------------------------------------+
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void OnChartEvent(const int id,
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const long &lparam,
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const double &dparam,
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const string &sparam)
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{
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//---
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switch(id)
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{
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case 1001:
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Train();
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break;
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case 1007:
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PrintFormat("Wrong event: %d", id);
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ExpertRemove();
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break;
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}
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}
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//+------------------------------------------------------------------+
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//| Train function |
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//+------------------------------------------------------------------+
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void Train(void)
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{
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int start = iBarShift(Symb.Name(), TimeFrame, Start);
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int end = iBarShift(Symb.Name(), TimeFrame, End);
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int bars = CopyRates(Symb.Name(), TimeFrame, 0, start, Rates);
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//---
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if(!RSI.BufferResize(bars) || !CCI.BufferResize(bars) ||
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!ATR.BufferResize(bars) || !MACD.BufferResize(bars))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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ExpertRemove();
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return;
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}
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//---
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int count = -1;
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bool load = false;
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do
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{
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RSI.Refresh();
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CCI.Refresh();
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ATR.Refresh();
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MACD.Refresh();
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count++;
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load = (RSI.BarsCalculated() >= bars &&
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CCI.BarsCalculated() >= bars &&
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ATR.BarsCalculated() >= bars &&
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MACD.BarsCalculated() >= bars
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);
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Sleep(100);
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count++;
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}
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while(!load && count < 100);
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if(!load)
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{
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PrintFormat("%s -> %d The training data has not been loaded", __FUNCTION__, __LINE__);
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ExpertRemove();
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return;
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}
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//---
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if(!ArraySetAsSeries(Rates, true))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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ExpertRemove();
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return;
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}
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bars -= end + HistoryBars + NForecast;
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if(bars < 0)
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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ExpertRemove();
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return;
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}
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//---
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vector<float> result, target, neg_target;
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bool Stop = false;
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//---
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uint ticks = GetTickCount();
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//---
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for(int iter = 0; (iter < Iterations && !IsStopped() && !Stop); iter ++)
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{
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int posit = (int)((MathRand() * MathRand() / MathPow(32767, 2)) * bars);
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if(!CreateBuffers(posit + end, GetPointer(bState), GetPointer(bTime), Result))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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ExpertRemove();
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return;
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}
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for(int r = 0; r < Repeats; r++)
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{
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//--- Feed Forward
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if(!cEncoder.feedForward((CBufferFloat*)GetPointer(bState), 1, false, (CBufferFloat*)GetPointer(bTime)))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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//--- Study
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if(!cEncoder.backProp(Result, (CBufferFloat*)NULL))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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//---
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if(GetTickCount() - ticks > 500)
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{
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double percent = double(iter) * 100.0 / (Iterations);
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string str = StringFormat("%-12s %6.2f%% -> Error %15.8f\n", "Encoder", percent, cEncoder.getRecentAverageError());
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Comment(str);
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ticks = GetTickCount();
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}
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}
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}
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Comment("");
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//---
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PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Encoder", cEncoder.getRecentAverageError());
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ExpertRemove();
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//---
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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//| | Creates or initializes Buffers. |
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//+------------------------------------------------------------------+
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bool CreateBuffers(const int start_bar, CBufferFloat* state, CBufferFloat *time, CBufferFloat* forecast)
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{
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if(!state || !time || start_bar < 0 ||
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(start_bar + HistoryBars + NForecast) >= int(Rates.Size()))
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return false;
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//---
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vector<float> vState = vector<float>::Zeros(HistoryBars * BarDescr);
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vector<float> vForecast = vector<float>::Zeros(NForecast * BarDescr);
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time.Clear();
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time.Reserve(HistoryBars);
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int bar = start_bar + NForecast;
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for(int b = 0; b < (int)HistoryBars; b++)
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{
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float open = (float)Rates[b + bar].open;
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float rsi = (float)RSI.Main(b + bar);
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float cci = (float)CCI.Main(b + bar);
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float atr = (float)ATR.Main(b + bar);
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float macd = (float)MACD.Main(b + bar);
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float sign = (float)MACD.Signal(b + bar);
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if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
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return false;
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//---
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int shift = b * BarDescr;
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vState[shift] = (float)(Rates[b + bar].close - open);
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vState[shift + 1] = (float)(Rates[b + bar].high - open);
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vState[shift + 2] = (float)(Rates[b + bar].low - open);
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vState[shift + 3] = (float)(Rates[b + bar].tick_volume / 1000.0f);
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vState[shift + 4] = rsi;
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vState[shift + 5] = cci;
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vState[shift + 6] = atr;
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vState[shift + 7] = macd;
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vState[shift + 8] = sign;
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if(!time.Add(float(Rates[b + bar].time)))
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return false;
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}
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//---
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bar--;
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for(int b = 0; b < (int)NForecast; b++)
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{
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float open = (float)Rates[bar - b].open;
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float rsi = (float)RSI.Main(bar - b);
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float cci = (float)CCI.Main(bar - b);
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float atr = (float)ATR.Main(bar - b);
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float macd = (float)MACD.Main(bar - b);
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float sign = (float)MACD.Signal(bar - b);
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if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
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return false;
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//---
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int shift = (NForecast - b - 1) * BarDescr;
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vForecast[shift] = (float)(Rates[bar - b].close - open);
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vForecast[shift + 1] = (float)(Rates[bar - b].high - open);
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vForecast[shift + 2] = (float)(Rates[bar - b].low - open);
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vForecast[shift + 3] = (float)(Rates[bar - b].tick_volume / 1000.0f);
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vForecast[shift + 4] = rsi;
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vForecast[shift + 5] = cci;
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vForecast[shift + 6] = atr;
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vForecast[shift + 7] = macd;
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vForecast[shift + 8] = sign;
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}
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//---
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if(!state.AssignArray(vState))
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return false;
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if(!forecast.AssignArray(vForecast))
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return false;
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if(time.GetIndex() >= 0)
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if(!time.BufferWrite())
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return false;
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//---
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return true;
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}
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//+------------------------------------------------------------------+
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