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NN_in_Trading/Experts/UncAD/Trajectory.mqh
DNG DNG 0f9b8cf008 VLADriver-RAG
2026-08-13 23:48:47 +03:00
1143 linhas
39 KiB
MQL5
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//+------------------------------------------------------------------+
//| Trajectory.mqh |
//| 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"
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
#include "..\NeuroNet_DNG\NeuroNet.mqh"
#include <Trade\Trade.mqh>
#include <Trade\SymbolInfo.mqh>
#include <Indicators\Oscilators.mqh>
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
input group "---- Indicators ----"
input ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
//---
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
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
int iLatentLayer = -1;
//---
#define HistoryBars 5
#define BarDescr 9 //Elements for 1 bar description
#define AccountDescr 13 //Account description
#define NActions 6 //Number of possible Actions
#define NRewards 1 //Number of rewards
#define NForecast 12 //Number of forecast
#define EtalonBalance 1e4
#define BatchSize 1e+5
#define EmbeddingSize 16
#define DiscFactor 0.5f
#define FileName "UncAD"
#define LatentCount 64
#define LatentLayer iLatentLayer
#define MaxSL 1000
#define MaxTP 1000
#define ActorUpdate 5
#define TargetUpdate 24*5
#define tau 0.9f
#define NHeads 4
#define NExperts 5
#define NScenarios 21
#define TopK 3
#define Quantiles 8
#define StackSize 24*21
#define Blocks 24
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
CSymbolInfo Symb;
CTrade Trade;
MqlRates Rates[];
//---
CiRSI RSI;
CiCCI CCI;
CiATR ATR;
CiMACD MACD;
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
struct SState
{
float state[HistoryBars * BarDescr];
float account[AccountDescr - 4];
float action[NActions];
float rewards[NRewards];
//---
SState(void);
//---
bool Save(int file_handle);
bool Load(int file_handle);
//--- overloading
void operator=(const SState &obj)
{
ArrayCopy(state, obj.state);
ArrayCopy(account, obj.account);
ArrayCopy(action, obj.action);
ArrayCopy(rewards, obj.rewards);
}
};
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
//| | S St at e implementation. |
//+------------------------------------------------------------------+
SState::SState(void)
{
ArrayInitialize(state, 0);
ArrayInitialize(account, 0);
ArrayInitialize(action, 0);
ArrayInitialize(rewards, 0);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
//| | S av e implementation. |
//+------------------------------------------------------------------+
bool SState::Save(int file_handle)
{
if(file_handle == INVALID_HANDLE)
return false;
//---
int total = ArraySize(state);
if(FileWriteInteger(file_handle, total) < sizeof(int))
return false;
for(int i = 0; i < total; i++)
if(FileWriteFloat(file_handle, state[i]) < sizeof(float))
return false;
//---
total = ArraySize(account);
if(FileWriteInteger(file_handle, total) < sizeof(int))
return false;
for(int i = 0; i < total; i++)
if(FileWriteFloat(file_handle, account[i]) < sizeof(float))
return false;
//---
total = ArraySize(action);
if(FileWriteInteger(file_handle, total) < sizeof(int))
return false;
for(int i = 0; i < total; i++)
if(FileWriteFloat(file_handle, action[i]) < sizeof(float))
return false;
total = ArraySize(rewards);
if(FileWriteInteger(file_handle, total) < sizeof(int))
return false;
for(int i = 0; i < total; i++)
if(FileWriteFloat(file_handle, rewards[i]) < sizeof(float))
return false;
//---
return true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
//| | L oa d implementation. |
//+------------------------------------------------------------------+
bool SState::Load(int file_handle)
{
if(file_handle == INVALID_HANDLE)
return false;
if(FileIsEnding(file_handle))
return false;
//---
int total = FileReadInteger(file_handle);
if(total != ArraySize(state))
return false;
//---
for(int i = 0; i < total; i++)
{
if(FileIsEnding(file_handle))
return false;
state[i] = FileReadFloat(file_handle);
}
//---
total = FileReadInteger(file_handle);
if(total != ArraySize(account))
return false;
//---
for(int i = 0; i < total; i++)
{
if(FileIsEnding(file_handle))
return false;
account[i] = FileReadFloat(file_handle);
}
//---
total = FileReadInteger(file_handle);
if(total != ArraySize(action))
return false;
//---
for(int i = 0; i < total; i++)
{
if(FileIsEnding(file_handle))
return false;
action[i] = MathMin(MathMax(FileReadFloat(file_handle), 0), 1);
}
//---
total = FileReadInteger(file_handle);
if(total != ArraySize(rewards))
return false;
//---
for(int i = 0; i < total; i++)
{
if(FileIsEnding(file_handle))
return false;
rewards[i] = FileReadFloat(file_handle);
}
//---
return true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool CreateDescriptions(CArrayObj *&actor,
CArrayObj *&critic
)
{
//---
CLayerDescription *descr;
//---
if(!actor)
{
actor = new CArrayObj();
if(!actor)
return false;
}
if(!critic)
{
critic = new CArrayObj();
if(!critic)
return false;
}
//--- Actor
actor.Clear();
//--- Input layer
if(!(descr = new CLayerDescription()))
DeleteObjAndFalse(descr);
descr.type = defNeuronBaseOCL;
uint prev_count = descr.count = (HistoryBars * BarDescr) + AccountDescr;
descr.activation = None;
descr.optimization = ADAM;
if(!actor.Add(descr))
DeleteObjAndFalse(descr);
iLatentLayer = 0;
//--- layer 1
if(!(descr = new CLayerDescription()))
DeleteObjAndFalse(descr);
descr.type = defNeuronUncAD;
descr.count = LatentCount;
{
if(ArrayResize(descr.windows, 4) < 4)
ReturnFalse;
descr.windows[0] = HistoryBars; // Sequence dimension
descr.windows[1] = 4; // Account
descr.windows[2] = 5; // Position
descr.windows[3] = 4; // Time
}
{
uint temp[] = {BarDescr, StackSize, Quantiles};
if(ArrayCopy(descr.units, temp, 0, 0, temp.Size()) < int(temp.Size()))
ReturnFalse;
}
descr.step = NHeads;
descr.window_out = EmbeddingSize;
descr.variables = NExperts; // Candidates
descr.probability = TopK;
descr.batch = BatchSize;
descr.activation = None;
descr.optimization = ADAM;
if(!actor.Add(descr))
DeleteObjAndFalse(descr);
iLatentLayer++;
uint count = prev_count = LatentCount / EmbeddingSize;
uint prev_out = descr.window_out;
uint window = prev_out;
//--- layer 2
if(!(descr = new CLayerDescription()))
DeleteObjAndFalse(descr);
descr.type = defNeuronSpikeConvBlock;
descr.count = prev_count;
descr.window = prev_out;
descr.step = prev_out;
descr.window_out = EmbeddingSize;
descr.variables = 1;
descr.batch = BatchSize;
descr.optimization = ADAM;
if(!actor.Add(descr))
DeleteObjAndFalse(descr);
//--- layer 3
if(!(descr = new CLayerDescription()))
DeleteObjAndFalse(descr);
descr.type = defNeuronBaseOCL;
descr.count = LatentCount;
descr.activation = SIGMOID;
descr.optimization = ADAM;
if(!actor.Add(descr))
DeleteObjAndFalse(descr);
//--- layer 4
if(!(descr = new CLayerDescription()))
DeleteObjAndFalse(descr);
descr.type = defNeuronBaseOCL;
descr.count = 2 * NActions;
descr.activation = SIGMOID;
descr.optimization = ADAM;
if(!actor.Add(descr))
DeleteObjAndFalse(descr);
//--- layer 5
if(!(descr = new CLayerDescription()))
DeleteObjAndFalse(descr);
descr.type = defNeuronVAEOCL;
descr.count = NActions;
descr.optimization = ADAM;
if(!actor.Add(descr))
DeleteObjAndFalse(descr);
//--- layer 6
if(!(descr = new CLayerDescription()))
DeleteObjAndFalse(descr);
descr.type = defNeuronConvOCL;
descr.count = NActions / 3;
descr.window = 3;
descr.step = 3;
descr.window_out = 3;
descr.activation = SIGMOID;
descr.optimization = ADAM;
if(!actor.Add(descr))
DeleteObjAndFalse(descr);
//--- Critic
critic.Clear();
//--- Input layer
if(!(descr = new CLayerDescription()))
DeleteObjAndFalse(descr);
descr.type = defNeuronBaseOCL;
descr.count = NActions;
descr.activation = None;
descr.optimization = ADAM;
if(!critic.Add(descr))
DeleteObjAndFalse(descr);
//--- layer 1
if(!(descr = new CLayerDescription()))
DeleteObjAndFalse(descr);
descr.type = defNeuronMHCrossFAT;
{
uint temp[] = {3, // Inputs window
EmbeddingSize, // Key Dimension
window, // Cross window
EmbeddingSize // Embedding size
};
if(ArrayCopy(descr.windows, temp) < (int)temp.Size())
return false;
}
{
uint temp[] = {NActions / 3, // Query units
count // Cross units
};
if(ArrayCopy(descr.units, temp) < (int)temp.Size())
return false;
}
descr.step = NHeads; // Heads
descr.batch = 1e4;
descr.layers = NExperts; // Candidates
descr.variables = TopK; // Top-K
descr.activation = None;
descr.optimization = ADAM;
if(!critic.Add(descr))
DeleteObjAndFalse(descr);
//--- layer 2
if(!(descr = new CLayerDescription()))
DeleteObjAndFalse(descr);
descr.type = defNeuronSpikeConvBlock;
descr.count = NActions / 3;
descr.window = 3;
descr.step = 3;
descr.window_out = EmbeddingSize;
descr.variables = 1;
descr.batch = BatchSize;
descr.optimization = ADAM;
if(!critic.Add(descr))
DeleteObjAndFalse(descr);
//--- layer 4
if(!(descr = new CLayerDescription()))
DeleteObjAndFalse(descr);
descr.type = defNeuronSpikeConvBlock;
descr.count = NActions / 3;
descr.window = EmbeddingSize;
descr.step = EmbeddingSize;
descr.window_out = EmbeddingSize;
descr.variables = 1;
descr.batch = BatchSize;
descr.optimization = ADAM;
if(!critic.Add(descr))
DeleteObjAndFalse(descr);
//--- layer 5
if(!(descr = new CLayerDescription()))
DeleteObjAndFalse(descr);
descr.type = defNeuronBaseOCL;
prev_count = descr.count = LatentCount;
descr.activation = SIGMOID;
descr.batch = BatchSize;
descr.optimization = ADAM;
if(!critic.Add(descr))
DeleteObjAndFalse(descr);
//--- layer 6
if(!(descr = new CLayerDescription()))
DeleteObjAndFalse(descr);
descr.type = defNeuronBaseOCL;
prev_count = descr.count = NRewards;
descr.activation = None;
descr.batch = BatchSize;
descr.optimization = ADAM;
if(!critic.Add(descr))
DeleteObjAndFalse(descr);
//---
return true;
}
#ifndef Study
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
//| | I sN ew Ba r implementation. |
//+------------------------------------------------------------------+
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;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
//| | C lo se By Di re ct io n implementation. |
//+------------------------------------------------------------------+
bool CloseByDirection(ENUM_POSITION_TYPE type)
{
int total = PositionsTotal();
bool result = true;
for(int i = total - 1; i >= 0; i--)
{
if(PositionGetSymbol(i) != Symb.Name())
continue;
if(PositionGetInteger(POSITION_TYPE) != type)
continue;
result = (Trade.PositionClose(PositionGetInteger(POSITION_TICKET)) && result);
}
//---
return result;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
//| | T ra il Po si ti on implementation. |
//+------------------------------------------------------------------+
bool TrailPosition(ENUM_POSITION_TYPE type, double sl, double tp)
{
int total = PositionsTotal();
bool result = true;
datetime time = TimeCurrent() - 5 * PeriodSeconds(TimeFrame);
//---
for(int i = 0; i < total; i++)
{
if(PositionGetSymbol(i) != Symb.Name())
continue;
if(PositionGetInteger(POSITION_TYPE) != type)
continue;
if(PositionGetInteger(POSITION_TIME_UPDATE) > time)
continue;
bool modify = false;
double psl = PositionGetDouble(POSITION_SL);
double ptp = PositionGetDouble(POSITION_TP);
switch(type)
{
case POSITION_TYPE_BUY:
if((sl - psl) >= Symb.Point())
{
psl = sl;
modify = true;
}
if(MathAbs(tp - ptp) >= Symb.Point())
{
ptp = tp;
modify = true;
}
break;
case POSITION_TYPE_SELL:
if((psl - sl) >= Symb.Point())
{
psl = sl;
modify = true;
}
if(MathAbs(tp - ptp) >= Symb.Point())
{
ptp = tp;
modify = true;
}
break;
}
if(modify)
result = (Trade.PositionModify(PositionGetInteger(POSITION_TICKET), psl, ptp) && result);
}
//---
return result;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
//| | C lo se Pa rt ia l implementation. |
//+------------------------------------------------------------------+
bool ClosePartial(ENUM_POSITION_TYPE type, double value)
{
if(value <= 0)
return true;
//---
for(int i = 0; (i < PositionsTotal() && value > 0); i++)
{
if(PositionGetSymbol(i) != Symb.Name())
continue;
if(PositionGetInteger(POSITION_TYPE) != type)
continue;
double pvalue = PositionGetDouble(POSITION_VOLUME);
if(pvalue <= value)
{
if(Trade.PositionClose(PositionGetInteger(POSITION_TICKET)))
{
value -= pvalue;
i--;
}
}
else
{
if(Trade.PositionClosePartial(PositionGetInteger(POSITION_TICKET), value))
value = 0;
}
}
//---
return (value <= 0);
}
#endif
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
class CDeal : public CObject
{
public:
datetime OpenTime;
datetime CloseTime;
ENUM_POSITION_TYPE Type;
double Volume;
double OpenPrice;
double StopLos;
double TakeProfit;
double point;
//---
CDeal(void);
~CDeal(void) {};
//---
vector<float> Action(datetime current, double ask, double bid, int period_seconds);
};
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void CDeal::CDeal(void) : OpenTime(0),
CloseTime(0),
Type(POSITION_TYPE_BUY),
Volume(0),
OpenPrice(0),
StopLos(0),
TakeProfit(0),
//| Implements point |
point(1e-5)
{
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
vector<float> CDeal::Action(datetime current, double ask, double bid, int period_seconds)
{
vector<float> result = vector<float>::Zeros(NActions);
if((OpenTime - period_seconds) > current || CloseTime <= current)
return result;
//---
switch(Type)
{
case POSITION_TYPE_BUY:
result[0] = float(Volume);
if(TakeProfit > 0)
result[1] = float((TakeProfit - ask) / (MaxTP * point));
if(StopLos > 0)
result[2] = float((ask - StopLos) / (MaxSL * point));
break;
case POSITION_TYPE_SELL:
result[3] = float(Volume);
if(TakeProfit > 0)
result[4] = float((bid - TakeProfit) / (MaxTP * point));
if(StopLos > 0)
result[5] = float((StopLos - bid) / (MaxSL * point));
break;
}
//---
return result;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
class CDeals
{
protected:
CArrayObj Deals;
public:
CDeals(void) { Deals.Clear(); }
~CDeals(void) { Deals.Clear(); }
//---
bool LoadDeals(string file_name, string symbol, double point);
vector<float> Action(datetime current, double ask, double bid, int period_seconds);
};
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
//| | L oa dD ea ls implementation. |
//+------------------------------------------------------------------+
bool CDeals::LoadDeals(string file_name, string symbol, double point)
{
if(file_name == NULL || !FileIsExist(file_name, FILE_COMMON))
{
PrintFormat("File %s not exist", file_name);
return false;
}
if(symbol == NULL)
{
symbol = _Symbol;
point = _Point;
}
//---
ResetLastError();
int handle = FileOpen(file_name, FILE_READ | FILE_ANSI | FILE_CSV | FILE_COMMON, short(';'), CP_ACP);
if(handle == INVALID_HANDLE)
{
PrintFormat("Error of open file %s: %d", file_name, GetLastError());
return false;
}
FileSeek(handle, 0, SEEK_SET);
while(!FileIsEnding(handle))
{
string s = FileReadString(handle);
datetime open_time = StringToTime(s);
string type = FileReadString(handle);
double volume = StringToDouble(FileReadString(handle));
string deal_symbol = FileReadString(handle);
double open_price = StringToDouble(FileReadString(handle));
volume = MathMin(volume, StringToDouble(FileReadString(handle)));
datetime close_time = StringToTime(FileReadString(handle));
double close_price = StringToDouble(FileReadString(handle));
s = FileReadString(handle);
s = FileReadString(handle);
s = FileReadString(handle);
if(StringFind(deal_symbol, symbol, 0) < 0)
continue;
//---
ResetLastError();
CDeal *deal = new CDeal();
if(!deal)
{
PrintFormat("Error of create new deal object: %d", GetLastError());
return false;
}
deal.OpenTime = open_time;
deal.CloseTime = close_time;
deal.OpenPrice = open_price;
deal.Volume = volume;
deal.point = point;
if(type == "Sell")
{
deal.Type = POSITION_TYPE_SELL;
if(close_price < open_price)
{
deal.TakeProfit = close_price;
deal.StopLos = 0;
}
else
{
deal.TakeProfit = 0;
deal.StopLos = close_price;
}
}
else
{
deal.Type = POSITION_TYPE_BUY;
if(close_price > open_price)
{
deal.TakeProfit = close_price;
deal.StopLos = 0;
}
else
{
deal.TakeProfit = 0;
deal.StopLos = close_price;
}
}
//---
ResetLastError();
if(!Deals.Add(deal))
{
PrintFormat("Error of add new deal: %d", GetLastError());
return false;
}
}
//---
FileClose(handle);
//---
return true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
vector<float> CDeals::Action(datetime current, double ask, double bid, int period_seconds)
{
vector<float> result = vector<float>::Zeros(NActions);
for(int i = 0; i < Deals.Total(); i++)
{
CDeal *deal = Deals.At(i);
if(!deal)
continue;
vector<float> action = deal.Action(current, ask, bid, period_seconds);
result[0] += action[0];
result[3] += action[3];
result[1] = MathMax(result[1], action[1]);
result[2] = MathMax(result[2], action[2]);
result[4] = MathMax(result[4], action[4]);
result[5] = MathMax(result[5], action[5]);
}
//---
return result;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
//| | C re at eB uf fe rs implementation. |
//+------------------------------------------------------------------+
bool CreateBuffers(const int start_bar, CBufferFloat* state, CBufferFloat *time, CBufferFloat* forecast)
{
int total_bars = (start_bar + HistoryBars + (!!forecast ? NForecast : 0));
if(!state || !time || start_bar < 0 ||
total_bars > int(Rates.Size()))
ReturnFalse;
//---
matrix<float> mState = matrix<float>::Zeros(BarDescr, HistoryBars);
vector<float> vForecast = vector<float>::Zeros(NForecast * BarDescr);
time.Clear();
time.Reserve(HistoryBars);
int bar = start_bar + (!!forecast ? NForecast : 0);
for(int b = 0; b < (int)HistoryBars; b++)
{
float open = (float)Rates[b + bar].open;
float rsi = (float)RSI.Main(b + bar);
float cci = (float)CCI.Main(b + bar);
float atr = (float)ATR.Main(b + bar);
float macd = (float)MACD.Main(b + bar);
float sign = (float)MACD.Signal(b + bar);
if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
ReturnFalse;
//---
mState[0, b] = (float)(Rates[b + bar].close - open);
mState[1, b] = (float)(Rates[b + bar].high - open);
mState[2, b] = (float)(Rates[b + bar].low - open);
mState[3, b] = (float)(Rates[b + bar].tick_volume / 1000.0f);
mState[4, b] = rsi;
mState[5, b] = cci;
mState[6, b] = atr;
mState[7, b] = macd;
mState[8, b] = sign;
if(!time.Add(float(Rates[b + bar].time)))
ReturnFalse;
}
if(!state.AssignArray(mState))
ReturnFalse;
if(time.GetIndex() >= 0)
if(!time.BufferWrite())
ReturnFalse;
if(!forecast)
return true;
//---
for(int b = 1; b <= (int)NForecast; b++)
{
float open = (float)Rates[bar - b].open;
float rsi = (float)RSI.Main(bar - b);
float cci = (float)CCI.Main(bar - b);
float atr = (float)ATR.Main(bar - b);
float macd = (float)MACD.Main(bar - b);
float sign = (float)MACD.Signal(bar - b);
if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
ReturnFalse;
//---
int shift = (NForecast - b) * BarDescr;
vForecast[shift] = (float)(Rates[bar - b].close - open);
vForecast[shift + 1] = (float)(Rates[bar - b].high - open);
vForecast[shift + 2] = (float)(Rates[bar - b].low - open);
vForecast[shift + 3] = (float)(Rates[bar - b].tick_volume / 1000.0f);
vForecast[shift + 4] = rsi;
vForecast[shift + 5] = cci;
vForecast[shift + 6] = atr;
vForecast[shift + 7] = macd;
vForecast[shift + 8] = sign;
}
//---
if(!forecast.AssignArray(vForecast))
ReturnFalse;
//---
return true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
const vector<float> SampleAccount(CBufferFloat *state, datetime time, double max_balance, double min_balance = 0)
{
vector<float> result = vector<float>::Zeros(AccountDescr);
if(!state)
return result;
//---
double marg = 0;
if(!Symb.RefreshRates() || !OrderCalcMargin(ORDER_TYPE_BUY, Symb.Name(), 1, Symb.Ask(), marg))
return result;
double buy_lot = 0, sell_lot = 0, profit = 0;
double deal = 0;//MathRand() / (32767 * 0.5) - 1;
double multiplyer = 1.0 / (60.0 * 60.0 * 10.0);
//---
double balance = (max_balance - min_balance) * MathRand() / 32767.0 + min_balance;
double prev_balance = balance;
double equity = balance;
double prev_equity = balance;
double position_discount = 0;
//---
if(deal > 0)
{
double lot = balance / (2.0 * marg) * deal;
if(lot >= Symb.LotsMin())
buy_lot = MathMin(int((lot - Symb.LotsMin()) / Symb.LotsStep()) * Symb.LotsStep() + Symb.LotsMin(), 1.0);
}
else
if(deal < 0)
{
double lot = MathAbs(balance / (2.0 * marg) * deal);
if(lot >= Symb.LotsMin())
sell_lot = MathMin(int((lot - Symb.LotsMin()) / Symb.LotsStep()) * Symb.LotsStep() + Symb.LotsMin(), 1.0);
}
else
prev_balance += (MathRand() / (2.0 * 32767.0) - 0.25) * balance;
//---
if(sell_lot > 0 || buy_lot > 0)
{
int pos_open = int(MathRand() / 32767.0 * (state.Total() / BarDescr - 1));
for(int i = 0; i <= pos_open; i++)
{
profit += state.At(i * BarDescr) / Symb.TickSize() * Symb.TickValue();
if(((buy_lot > 0 && profit < 0) ||
(sell_lot > 0 && profit > 0))
// Function implementation for MathAbs.
&& MathAbs(profit * (buy_lot - sell_lot)) > balance / 2)
{
pos_open = i;
break;
}
}
profit *= buy_lot - sell_lot;
equity += profit;
prev_equity = equity - state.At(0) / Symb.TickSize() * Symb.TickValue() * (buy_lot - sell_lot);
position_discount = pos_open * PeriodSeconds(TimeFrame) * multiplyer * MathAbs(profit);
}
//---
result[0] = float(balance / EtalonBalance);
result[1] = float((balance - prev_balance) / prev_balance);
result[2] = float(equity / prev_balance);
result[3] = float((equity - prev_equity) / prev_equity);
result[4] = float(buy_lot);
result[5] = float(sell_lot);
result[6] = float(buy_lot * profit / prev_balance);
result[7] = float(sell_lot * profit / prev_balance);
result[8] = float(position_discount / prev_balance);
double x = time / (double)(D'2024.01.01' - D'2023.01.01');
result[9] = float(MathSin(x != 0 ? 2.0 * M_PI * x : 0));
x = time / (double)PeriodSeconds(PERIOD_MN1);
result[10] = float(MathCos(x != 0 ? 2.0 * M_PI * x : 0));
x = time / (double)PeriodSeconds(PERIOD_W1);
result[11] = float(MathSin(x != 0 ? 2.0 * M_PI * x : 0));
x = time / (double)PeriodSeconds(PERIOD_D1);
result[12] = float(MathSin(x != 0 ? 2.0 * M_PI * x : 0));
//---
return result;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
//| | C he ck Ac ti on implementation. |
//+------------------------------------------------------------------+
double CheckAction(CBufferFloat *action, double balance, uint start_position)
{
if(!action || start_position >= Rates.Size())
return 0;
//---
double buy_lot = MathMax(double(action[0] - action[3]), 0);
double sell_lot = MathMax(double(action[3] - action[0]), 0);
double marg = 0;
if(!OrderCalcMargin(ORDER_TYPE_BUY, Symb.Name(), 1, Symb.Ask(), marg))
return 0;
double point_cost = Symb.TickValue() / Symb.TickSize();
if(MathMax(buy_lot, sell_lot) < Symb.LotsMin())
{
double loss = -MathMax(Rates[start_position].high - Rates[start_position].open,
Rates[start_position].open - Rates[start_position].low) *
point_cost * balance / (2 * marg);
return loss;
}
if((marg * MathMax(buy_lot, sell_lot)) >= balance)
{
double loss = -MathMax(Rates[start_position].high - Rates[start_position].open,
Rates[start_position].open - Rates[start_position].low) *
point_cost * MathMax(buy_lot, sell_lot);
return loss;
}
point_cost *= MathAbs(buy_lot - sell_lot);
//---
double tp = 0, sl = 0, profit = 0, reward = 0;
int stops = MathMax(Symb.StopsLevel(), 10);
int spread = Symb.Spread();
if(buy_lot > 0)
{
tp = action[1] * MaxTP;
sl = action[2] * MaxSL;
if(int(tp) < stops || int(sl) < (stops + spread))
{
double loss = -MathMax(Rates[start_position].high - Rates[start_position].open,
Rates[start_position].open - Rates[start_position].low) *
point_cost * buy_lot;
return loss;
}
tp = (tp + spread) * Symb.Point() + Rates[start_position].open;
sl = Rates[start_position].open - (sl + spread) * Symb.Point();
reward = profit = -spread * Symb.Point() * point_cost;
for(uint i = start_position; i > 0; i--)
{
if(sl >= Rates[i].low)
{
double p = (Rates[i].open - sl) * point_cost;
profit -= p;
reward -= p * MathPow(DiscFactor, float(i - start_position));
break;
}
if(tp <= Rates[i].high)
{
double p = (tp - Rates[i].open) * point_cost;
profit += p;
reward += p * MathPow(DiscFactor, float(i - start_position));
break;
}
double p = (Rates[i - 1].open - Rates[i].open) * point_cost;
profit += p;
reward += p * MathPow(DiscFactor, float(i - start_position));
if(-profit >= balance)
{
reward -= 1000;
break;
}
}
}
//---
if(sell_lot > 0)
{
tp = action[4] * MaxTP;
sl = action[5] * MaxSL;
if(int(tp) < stops || int(sl) < (stops + spread))
{
double loss = -MathMax(Rates[start_position].high - Rates[start_position].open,
Rates[start_position].open - Rates[start_position].low) *
point_cost * sell_lot;
return loss;
}
tp = Rates[start_position].open - (tp + spread) * Symb.Point();
sl = Rates[start_position].open + (sl - spread) * Symb.Point();
for(uint i = start_position; i > 0; i--)
{
if(sl <= Rates[i].high)
{
double p = (sl - Rates[i].open) * point_cost;
profit -= p;
reward -= p * MathPow(DiscFactor, float(i - start_position));
break;
}
if(tp >= Rates[i].low)
{
double p = (Rates[i].open - tp) * point_cost;
profit += p;
reward += p * MathPow(DiscFactor, float(i - start_position));
break;
}
double p = (Rates[i - 1].open - Rates[i].open) * point_cost;
profit -= p;
reward -= p * MathPow(DiscFactor, float(i - start_position));
if(-profit >= balance)
{
reward -= 1000;
break;
}
}
}
//---
return reward;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
vector<float> OraculAction(const vector<float> &account, CBufferFloat *forecat)
{
//--- Look for target
vector<float> result = vector<float>::Zeros(NActions);
matrix<float> fstate = matrix<float>::Zeros(NForecast, BarDescr);
if(!forecat.GetData(fstate))
return result;
//---
vector<float> target = fstate.Col(0).CumSum();
if(account[4] > account[5])
{
float tp = 0;
float sl = 0;
float cur_sl = float(MathMax(MathRand() / 32767.0, 0.01) * MaxSL * Point());
int pos = 0;
for(int j = 0; j < NForecast; j++)
{
tp = MathMax(tp, target[j] + fstate[j, 1] - fstate[j, 0]);
pos = j;
if(cur_sl >= -(target[j] + fstate[j, 2] - fstate[j, 0]))
break;
sl = MathMin(sl, target[j] + fstate[j, 2] - fstate[j, 0]);
}
if(pos > 0 && tp > 0)
{
sl = float(MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01));
tp = float(MathMax(MathMin(tp / (MaxTP * Point()), 1), 0.01));
result[0] = MathMax(result[0] - result[3], 0.011f);
result[5] = result[1] = tp;
result[4] = result[2] = sl;
result[3] = 0;
}
}
else
{
if(account[4] < account[5])
{
float tp = 0;
float sl = 0;
float cur_sl = float(MathMax(MathRand() / 32767.0, 0.01) * MaxSL * Point());
int pos = 0;
for(int j = 0; j < NForecast; j++)
{
tp = MathMin(tp, target[j] + fstate[j, 2] - fstate[j, 0]);
pos = j;
if(cur_sl <= target[j] + fstate[j, 1] - fstate[j, 0])
break;
sl = MathMax(sl, target[j] + fstate[j, 1] - fstate[j, 0]);
}
if(pos > 0 && tp < 0)
{
sl = float(MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01));
tp = float(MathMax(MathMin(-tp / (MaxTP * Point()), 1), 0.01));
result[3] = MathMax(result[3] - result[0], 0.011f);
result[2] = result[4] = tp;
result[1] = result[5] = sl;
result[0] = 0;
}
}
else
{
ulong argmin = target.ArgMin();
ulong argmax = target.ArgMax();
float max_sl = float(MaxSL * Point());
double equity = account[2] * account[0] * EtalonBalance / (1 + account[1]);
while(argmax > 0 && argmin > 0)
{
if(argmax < argmin && target[argmax] / 2 > MathAbs(target[argmin]) && MathAbs(target[argmin]) < max_sl)
break;
if(argmax > argmin && target[argmax] < MathAbs(target[argmin] / 2) && target[argmax] < max_sl)
break;
target.Resize(MathMin(argmax, argmin));
argmin = target.ArgMin();
argmax = target.ArgMax();
}
if(argmin == 0 || (argmax < argmin && argmax > 0))
{
float tp = 0;
float sl = 0;
float cur_sl = - float(MaxSL * Point());
ulong pos = 0;
for(ulong j = 0; j < argmax; j++)
{
tp = MathMax(tp, target[j] + fstate[j, 1] - fstate[j, 0]);
pos = j;
if(cur_sl >= -(target[j] + fstate[j, 2] - fstate[j, 0]))
break;
sl = MathMin(sl, target[j] + fstate[j, 2] - fstate[j, 0]);
}
if(pos > 0 && tp > 0)
{
sl = (float)MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01);
tp = (float)MathMin(tp / (MaxTP * Point()), 1);
result[0] = float(MathMax(equity / 100 * 0.01, 0.011));
result[5] = result[1] = tp;
result[4] = result[2] = sl;
result[3] = 0;
}
}
else
{
if(argmax == 0 || argmax > argmin)
{
float tp = 0;
float sl = 0;
float cur_sl = float(MaxSL * Point());
ulong pos = 0;
for(ulong j = 0; j < argmin; j++)
{
tp = MathMin(tp, target[j] + fstate[j, 2] - fstate[j, 0]);
pos = j;
if(cur_sl <= target[j] + fstate[j, 1] - fstate[j, 0])
break;
sl = MathMax(sl, target[j] + fstate[j, 1] - fstate[j, 0]);
}
if(pos > 0 && tp < 0)
{
sl = (float)MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01);
tp = (float)MathMin(-tp / (MaxTP * Point()), 1);
result[3] = float(MathMax(equity / 100 * 0.01, 0.011));
result[2] = result[4] = tp;
result[1] = result[5] = sl;
result[0] = 0;
}
}
}
}
}
//---
return result;
}
//+------------------------------------------------------------------+
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