| //+------------------------------------------------------------------+
|
| //| pca_net.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())+"_"+IntegerToString(HistoryBars,3)+StringSubstr(__FILE__,0,StringFind(__FILE__,".",0))
|
| #define FileName_AE Symb.Name()+"_"+EnumToString((ENUM_TIMEFRAMES)Period())+"_ae"
|
| #define CSV __FILE__+".csv"
|
| //---
|
| enum ENUM_SIGNAL
|
| {
|
| Sell = -1,
|
| Undefine = 0,
|
| Buy = 1
|
| };
|
| //+------------------------------------------------------------------+
|
| //| input parameters |
|
| //+------------------------------------------------------------------+
|
| input int StudyPeriod = 2; //Study period, years
|
| /*input*/ uint HistoryBars = 40; //Depth of history
|
| ENUM_TIMEFRAMES TimeFrame = PERIOD_CURRENT;
|
| //---
|
| 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 *Net;
|
| CBufferFloat *TempData;
|
| CiRSI *RSI;
|
| CiCCI *CCI;
|
| CiATR *ATR;
|
| CiMACD *MACD;
|
| CNet *AE;
|
| CBufferFloat Fractals;
|
|
|
| //---
|
| float dError;
|
| float dUndefine;
|
| float dForecast;
|
| double dPrevSignal;
|
| datetime dtStudied;
|
| bool bEventStudy;
|
| //+------------------------------------------------------------------+
|
| //| Expert initialization function |
|
| //+------------------------------------------------------------------+
|
| int OnInit()
|
| {
|
| //---
|
| Symb = new CSymbolInfo();
|
| if(CheckPointer(Symb) == POINTER_INVALID || !Symb.Name(_Symbol))
|
| return INIT_FAILED;
|
| Symb.Refresh();
|
| //---
|
| RSI = new CiRSI();
|
| if(CheckPointer(RSI) == POINTER_INVALID || !RSI.Create(Symb.Name(), TimeFrame, RSIPeriod, RSIPrice))
|
| return INIT_FAILED;
|
| //---
|
| CCI = new CiCCI();
|
| if(CheckPointer(CCI) == POINTER_INVALID || !CCI.Create(Symb.Name(), TimeFrame, CCIPeriod, CCIPrice))
|
| return INIT_FAILED;
|
| //---
|
| ATR = new CiATR();
|
| if(CheckPointer(ATR) == POINTER_INVALID || !ATR.Create(Symb.Name(), TimeFrame, ATRPeriod))
|
| return INIT_FAILED;
|
| //---
|
| MACD = new CiMACD();
|
| if(CheckPointer(MACD) == POINTER_INVALID || !MACD.Create(Symb.Name(), TimeFrame, FastPeriod, SlowPeriod, SignalPeriod, MACDPrice))
|
| return INIT_FAILED;
|
| //---
|
| AE = new CNet(NULL);
|
| if(CheckPointer(AE) == POINTER_INVALID)
|
| return INIT_FAILED;
|
| if(!AE.Load(FileName_AE + ".nnw", dError, dUndefine, dForecast, dtStudied, false))
|
| return INVALID_HANDLE;
|
| //---
|
| if(!AE.GetLayerOutput(0, TempData))
|
| return INIT_FAILED;
|
| HistoryBars = TempData.Total() / 12;
|
| //---
|
| Net = new CNet(NULL);
|
| ResetLastError();
|
| if(CheckPointer(Net) == POINTER_INVALID || !Net.Load(FileName + ".nnw", dError, dUndefine, dForecast, dtStudied, false))
|
| {
|
| printf("%s - %d -> Error of read %s prev Net %d", __FUNCTION__, __LINE__, FileName + ".nnw", GetLastError());
|
| CArrayObj *Topology = new CArrayObj();
|
| if(CheckPointer(Topology) == POINTER_INVALID)
|
| return INIT_FAILED;
|
| if(!AE.GetLayerOutput(5, TempData))
|
| return INIT_FAILED;
|
| //--- 0
|
| CLayerDescription *desc = new CLayerDescription();
|
| if(CheckPointer(desc) == POINTER_INVALID)
|
| return INIT_FAILED;
|
| desc.count = TempData.Total();
|
| desc.type = defNeuronBaseOCL;
|
| desc.optimization = ADAM;
|
| desc.activation = None;
|
| if(!Topology.Add(desc))
|
| return INIT_FAILED;
|
| //--- 1
|
| desc = new CLayerDescription();
|
| if(CheckPointer(desc) == POINTER_INVALID)
|
| return INIT_FAILED;
|
| desc.count = 300;
|
| desc.type = defNeuron;
|
| desc.activation = LReLU;
|
| desc.optimization = ADAM;
|
| if(!Topology.Add(desc))
|
| return INIT_FAILED;
|
| //--- 2
|
| desc = new CLayerDescription();
|
| if(CheckPointer(desc) == POINTER_INVALID)
|
| return INIT_FAILED;
|
| desc.count = 300;
|
| desc.type = defNeuron;
|
| desc.activation = TANH;
|
| desc.optimization = ADAM;
|
| if(!Topology.Add(desc))
|
| return INIT_FAILED;
|
| //--- 3
|
| desc = new CLayerDescription();
|
| if(CheckPointer(desc) == POINTER_INVALID)
|
| return INIT_FAILED;
|
| desc.count = 300;
|
| desc.type = defNeuron;
|
| desc.activation = TANH;
|
| desc.optimization = ADAM;
|
| if(!Topology.Add(desc))
|
| return INIT_FAILED;
|
| //--- 4
|
| desc = new CLayerDescription();
|
| if(CheckPointer(desc) == POINTER_INVALID)
|
| return INIT_FAILED;
|
| desc.count = 3;
|
| desc.type = defNeuron;
|
| desc.activation = SIGMOID;
|
| desc.optimization = ADAM;
|
| if(!Topology.Add(desc))
|
| return INIT_FAILED;
|
| delete Net;
|
| Net = new CNet(Topology);
|
| delete Topology;
|
| if(CheckPointer(Net) == POINTER_INVALID)
|
| return INIT_FAILED;
|
| dError = -1;
|
| dUndefine = 0;
|
| dForecast = 0;
|
| dtStudied = 0;
|
| }
|
| //---
|
| bEventStudy = EventChartCustom(ChartID(), 1, (long)MathMax(0, MathMin(iTime(Symb.Name(), PERIOD_CURRENT, (int)(100 * Net.recentAverageSmoothingFactor * (dForecast >= 70 ? 1 : 10))), dtStudied)), 0, "Init");
|
| //---
|
| return(INIT_SUCCEEDED);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Expert deinitialization function |
|
| //+------------------------------------------------------------------+
|
| void OnDeinit(const int reason)
|
| {
|
| //---
|
| if(CheckPointer(Symb) != POINTER_INVALID)
|
| delete Symb;
|
| //---
|
| if(CheckPointer(AE) != POINTER_INVALID)
|
| delete AE;
|
| //---
|
| if(CheckPointer(RSI) != POINTER_INVALID)
|
| delete RSI;
|
| //---
|
| if(CheckPointer(CCI) != POINTER_INVALID)
|
| delete CCI;
|
| //---
|
| if(CheckPointer(ATR) != POINTER_INVALID)
|
| delete ATR;
|
| //---
|
| if(CheckPointer(MACD) != POINTER_INVALID)
|
| delete MACD;
|
| //---
|
| if(CheckPointer(Net) != POINTER_INVALID)
|
| delete Net;
|
| if(CheckPointer(TempData) != POINTER_INVALID)
|
| delete TempData;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Expert tick function |
|
| //+------------------------------------------------------------------+
|
| void OnTick()
|
| {
|
| //---
|
| if(!bEventStudy && (dPrevSignal == -2 || dtStudied < SeriesInfoInteger(Symb.Name(), TimeFrame, SERIES_LASTBAR_DATE)))
|
| bEventStudy = EventChartCustom(ChartID(), 1, (long)MathMax(0, MathMin(iTime(Symb.Name(), PERIOD_CURRENT, (int)(100 * Net.recentAverageSmoothingFactor * (dForecast >= 70 ? 1 : 10))), dtStudied)), 0, "New Bar");
|
| //---
|
| Comment(StringFormat("Вызов события %s; PrevSignal %.5f; Модель обучена %s -> %s", (string)bEventStudy, dPrevSignal, TimeToString(dtStudied), TimeToString(SeriesInfoInteger(Symb.Name(), TimeFrame, SERIES_LASTBAR_DATE))));
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Trade function |
|
| //+------------------------------------------------------------------+
|
| void OnTrade()
|
| {
|
| //---
|
| }
|
| //+------------------------------------------------------------------+
|
| //| TradeTransaction function |
|
| //+------------------------------------------------------------------+
|
| void OnTradeTransaction(const MqlTradeTransaction& trans,
|
| const MqlTradeRequest& request,
|
| const MqlTradeResult& result)
|
| {
|
| //---
|
| }
|
| //+------------------------------------------------------------------+
|
| //| ChartEvent function |
|
| //+------------------------------------------------------------------+
|
| void OnChartEvent(const int id,
|
| const long &lparam,
|
| const double &dparam,
|
| const string &sparam)
|
| {
|
| //---
|
| if(id == 1001)
|
| {
|
| Net.TrainMode(true);
|
| Train(lparam);
|
| bEventStudy = false;
|
| OnTick();
|
| }
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| void Train(datetime StartTrainBar = 0)
|
| {
|
| int count = 0;
|
| //---
|
| 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);
|
| dtStudied = MathMax(StartTrainBar, st_time);
|
| ulong last_tick = 0;
|
| //---
|
| double prev_er = DBL_MAX;
|
| datetime bar_time = 0;
|
| bool stop = IsStopped();
|
| CArrayDouble *loss = new CArrayDouble();
|
| //---
|
| 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(OBJ_ALL_PERIODS);
|
| CCI.Refresh(OBJ_ALL_PERIODS);
|
| ATR.Refresh(OBJ_ALL_PERIODS);
|
| MACD.Refresh(OBJ_ALL_PERIODS);
|
| //---
|
| MqlDateTime sTime;
|
| int total = (int)(bars - MathMax(HistoryBars, 0) - 300);
|
| do
|
| {
|
| prev_er = dError;
|
| stop = IsStopped();
|
| bool add_loop = false;
|
| //---
|
| for(int it = total; it >= 0 && !stop; it--)
|
| {
|
| int i = (int)((MathRand() * MathRand() / MathPow(32767, 2)) * (total)) + 300;
|
| TempData.Clear();
|
| int r = i + (int)HistoryBars;
|
| if(r > bars)
|
| continue;
|
| //---
|
| for(int b = 0; b < (int)HistoryBars; b++)
|
| {
|
| int bar_t = r - b;
|
| double open = Rates[bar_t].open;
|
| TimeToStruct(Rates[bar_t].time, sTime);
|
| double rsi = RSI.Main(bar_t);
|
| double cci = CCI.Main(bar_t);
|
| double atr = ATR.Main(bar_t);
|
| double macd = MACD.Main(bar_t);
|
| double sign = MACD.Signal(bar_t);
|
| if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
|
| continue;
|
| //---
|
| if(!TempData.Add((float)(Rates[bar_t].close - open)) || !TempData.Add((float)(Rates[bar_t].high - open)) || !TempData.Add((float)(Rates[bar_t].low - open)) || !TempData.Add((float)Rates[bar_t].tick_volume / 1000.0f) ||
|
| !TempData.Add(sTime.hour) || !TempData.Add(sTime.day_of_week) || !TempData.Add(sTime.mon) ||
|
| !TempData.Add((float)rsi) || !TempData.Add((float)cci) || !TempData.Add((float)atr) || !TempData.Add((float)macd) || !TempData.Add((float)sign))
|
| break;
|
| }
|
| if(TempData.Total() < (int)HistoryBars * 12)
|
| continue;
|
| AE.feedForward(TempData, 12, true, (CBufferFloat*)NULL);
|
| if(!AE.GetLayerOutput(5, TempData))
|
| break;
|
| Net.feedForward(TempData, 2, true, (CBufferFloat*)NULL);
|
| Net.getResults(TempData);
|
| //---
|
| float sum = 0;
|
| for(int res = 0; res < 3; res++)
|
| {
|
| float temp = exp(TempData.At(res));
|
| sum += temp;
|
| TempData.Update(res, temp);
|
| }
|
| for(int res = 0; (res < 3 && sum > 0); res++)
|
| TempData.Update(res, TempData.At(res) / sum);
|
| //---
|
| switch(TempData.Argmax())
|
| {
|
| case 1:
|
| dPrevSignal = (TempData[1] != TempData[2] ? TempData[1] : 0);
|
| break;
|
| case 2:
|
| dPrevSignal = -TempData[2];
|
| break;
|
| default:
|
| dPrevSignal = 0;
|
| break;
|
| }
|
| if((GetTickCount64() - last_tick) >= 250)
|
| {
|
| string s = StringFormat("Study -> Era %d -> %.2f -> Undefine %.2f%% foracast %.2f%%\n %d of %d -> %.2f%% \nError %.2f\n%s -> %.2f ->> Buy %.5f - Sell %.5f - Undef %.5f", count, dError, dUndefine, dForecast, it + 1, total, (double)(it + 1.0) / (total) * 100, Net.getRecentAverageError(), EnumToString(DoubleToSignal(dPrevSignal)), dPrevSignal, TempData[1], TempData[2], TempData[0]);
|
| Comment(s);
|
| last_tick = GetTickCount64();
|
| }
|
| stop = IsStopped();
|
| if(!stop)
|
| {
|
| TempData.Clear();
|
| bool sell = (Rates[i - 1].high <= Rates[i].high && Rates[i + 1].high < Rates[i].high);
|
| bool buy = (Rates[i - 1].low >= Rates[i].low && Rates[i + 1].low > Rates[i].low);
|
| TempData.Add(!(buy || sell));
|
| TempData.Add(buy);
|
| TempData.Add(sell);
|
| Net.backProp(TempData, NULL, NULL);
|
| ENUM_SIGNAL signal = DoubleToSignal(dPrevSignal);
|
| if(signal != Undefine)
|
| {
|
| if((signal == Sell && sell) || (signal == Buy && buy))
|
| dForecast += (100 - dForecast) / Net.recentAverageSmoothingFactor;
|
| else
|
| dForecast -= dForecast / Net.recentAverageSmoothingFactor;
|
| dUndefine -= dUndefine / Net.recentAverageSmoothingFactor;
|
| }
|
| else
|
| {
|
| if(!(buy || sell))
|
| dUndefine += (100 - dUndefine) / Net.recentAverageSmoothingFactor;
|
| }
|
| }
|
| }
|
| count++;
|
| for(int i = 0; i < 300; i++)
|
| {
|
| TempData.Clear();
|
| int r = i + (int)HistoryBars;
|
| if(r > bars)
|
| continue;
|
| //---
|
| for(int b = 0; b < (int)HistoryBars; b++)
|
| {
|
| int bar_t = r - b;
|
| double open = Rates[bar_t].open;
|
| TimeToStruct(Rates[bar_t].time, sTime);
|
| double rsi = RSI.Main(bar_t);
|
| double cci = CCI.Main(bar_t);
|
| double atr = ATR.Main(bar_t);
|
| double macd = MACD.Main(bar_t);
|
| double sign = MACD.Signal(bar_t);
|
| if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
|
| continue;
|
| //---
|
| if(!TempData.Add((float)(Rates[bar_t].close - open)) || !TempData.Add((float)(Rates[bar_t].high - open)) || !TempData.Add((float)(Rates[bar_t].low - open)) || !TempData.Add((float)Rates[bar_t].tick_volume / 1000.0f) ||
|
| !TempData.Add(sTime.hour) || !TempData.Add(sTime.day_of_week) || !TempData.Add(sTime.mon) ||
|
| !TempData.Add((float)rsi) || !TempData.Add((float)cci) || !TempData.Add((float)atr) || !TempData.Add((float)macd) || !TempData.Add((float)sign))
|
| break;
|
| }
|
| if(TempData.Total() < (int)HistoryBars * 12)
|
| continue;
|
| AE.feedForward(TempData, 12, true, (CBufferFloat*)NULL);
|
| if(!AE.GetLayerOutput(5, TempData))
|
| break;
|
| Net.feedForward(TempData, 2, true, (CBufferFloat*)NULL);
|
| Net.getResults(TempData);
|
| //---
|
| float sum = 0;
|
| for(int res = 0; res < 3; res++)
|
| {
|
| float temp = exp(TempData.At(res));
|
| sum += temp;
|
| TempData.Update(res, temp);
|
| }
|
| for(int res = 0; (res < 3 && sum > 0); res++)
|
| TempData.Update(res, TempData.At(res) / sum);
|
| //---
|
| switch(TempData.Argmax())
|
| {
|
| case 1:
|
| dPrevSignal = (TempData[1] != TempData[2] ? TempData[1] : 0);
|
| break;
|
| case 2:
|
| dPrevSignal = (TempData[1] != TempData[2] ? -TempData[2] : 0);
|
| break;
|
| default:
|
| dPrevSignal = 0;
|
| break;
|
| }
|
| if(DoubleToSignal(dPrevSignal) == Undefine)
|
| DeleteObject(Rates[i].time);
|
| else
|
| DrawObject(Rates[i].time, dPrevSignal, Rates[i].high, Rates[i].low);
|
| }
|
| if(!stop)
|
| {
|
| dError = Net.getRecentAverageError();
|
| Net.Save(FileName + ".nnw", dError, dUndefine, dForecast, Rates[0].time, false);
|
| printf("Era %d -> error %.2f %% forecast %.2f", count, dError, dForecast);
|
| ChartScreenShot(0, FileName + IntegerToString(count) + ".png", 750, 400);
|
| int h = FileOpen(FileName + ".csv", FILE_READ | FILE_WRITE | FILE_CSV);
|
| if(h != INVALID_HANDLE)
|
| {
|
| FileSeek(h, 0, SEEK_END);
|
| FileWrite(h, lr, count, dError, dUndefine, dForecast);
|
| FileFlush(h);
|
| FileClose(h);
|
| }
|
| }
|
| }
|
| while(!(dError < 0.01 && (prev_er - dError) < 0.01) && !stop);
|
| //---
|
| Comment("Write dinamic of error");
|
| int handle = FileOpen("ae_loss.csv", FILE_WRITE | FILE_CSV | FILE_ANSI, ",", CP_UTF8);
|
| if(handle == INVALID_HANDLE)
|
| {
|
| PrintFormat("Error of open loss file: %d", GetLastError());
|
| delete loss;
|
| return;
|
| }
|
| for(int i = 0; i < loss.Total(); i++)
|
| if(FileWrite(handle, loss.At(i)) <= 0)
|
| break;
|
| FileClose(handle);
|
| PrintFormat("The dynamics of the error change is saved to a file %s\\%s",
|
| TerminalInfoString(TERMINAL_DATA_PATH), "ae_loss.csv");
|
| delete loss;
|
| Comment("");
|
| ExpertRemove();
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| ENUM_SIGNAL DoubleToSignal(double value)
|
| {
|
| value = NormalizeDouble(value, 1);
|
| if(MathAbs(value) > 1 || MathAbs(value) <= 0)
|
| return Undefine;
|
| if(value > 0)
|
| return Buy;
|
| else
|
| return Sell;
|
| //---
|
| return Undefine;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| void DrawObject(datetime time, double signal, double high, double low)
|
| {
|
| double price = 0;
|
| int arrow = 0;
|
| color clr = 0;
|
| ENUM_ARROW_ANCHOR anch = ANCHOR_BOTTOM;
|
| switch(DoubleToSignal(signal))
|
| {
|
| case Buy:
|
| price = low;
|
| arrow = 217;
|
| clr = clrBlue;
|
| anch = ANCHOR_TOP;
|
| break;
|
| case Sell:
|
| price = high;
|
| arrow = 218;
|
| clr = clrRed;
|
| anch = ANCHOR_BOTTOM;
|
| break;
|
| }
|
| if(price == 0 || arrow == 0)
|
| return;
|
| //---
|
| string name = TimeToString(time);
|
| if(ObjectFind(0, name) < 0)
|
| {
|
| ResetLastError();
|
| if(!ObjectCreate(0, name, OBJ_ARROW, 0, time, 0))
|
| {
|
| printf("Error of creating object %d", GetLastError());
|
| return;
|
| }
|
| }
|
| //printf("%s - %d -> %s",__FUNCTION__,__LINE__,name);
|
| ObjectSetDouble(0, name, OBJPROP_PRICE, price);
|
| ObjectSetInteger(0, name, OBJPROP_ARROWCODE, arrow);
|
| ObjectSetInteger(0, name, OBJPROP_COLOR, clr);
|
| ObjectSetInteger(0, name, OBJPROP_ANCHOR, anch);
|
| ObjectSetString(0, name, OBJPROP_TOOLTIP, EnumToString(DoubleToSignal(signal)) + " " + DoubleToString(signal, 5));
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| void DeleteObject(datetime time)
|
| {
|
| string name = TimeToString(time);
|
| if(ObjectFind(0, name) >= 0)
|
| ObjectDelete(0, name);
|
| }
|
| //+------------------------------------------------------------------+
|
