| //+------------------------------------------------------------------+
|
| //| 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())+"_"+StringSubstr(__FILE__,0,StringFind(__FILE__,".",0)-1)
|
| #define CSV __FILE__+".csv"
|
| //---
|
| enum ENUM_SIGNAL
|
| {
|
| Sell = -1,
|
| Undefine = 0,
|
| Buy = 1
|
| };
|
| //+------------------------------------------------------------------+
|
| //| input parameters |
|
| //+------------------------------------------------------------------+
|
| input int StudyPeriod = 15; //Study period, years
|
| input uint HistoryBars = 40; //Depth of history
|
| input 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[];
|
| CBufferFloat *TempData;
|
| CiRSI *RSI;
|
| CiCCI *CCI;
|
| CiATR *ATR;
|
| CiMACD *MACD;
|
| CNet *Net;
|
| //---
|
| float dError;
|
| 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;
|
| //---
|
| Net = new CNet(NULL);
|
| ResetLastError();
|
| float temp1, temp2;
|
| if(CheckPointer(Net) == POINTER_INVALID || !Net.Load(FileName + ".nnw", dError, temp1, temp2, dtStudied, false))
|
| {
|
| printf("%s - %d -> Error of read %s prev Net %d", __FUNCTION__, __LINE__, FileName + ".nnw", GetLastError());
|
| return INIT_FAILED;
|
| }
|
| //---
|
| TempData = new CBufferFloat();
|
| if(CheckPointer(TempData) == POINTER_INVALID)
|
| return INIT_FAILED;
|
| //---
|
| bEventStudy = EventChartCustom(ChartID(), 1, (long)MathMax(0, MathMin(iTime(Symb.Name(), PERIOD_CURRENT, (int)(100 * Net.recentAverageSmoothingFactor * 10)), dtStudied)), 0, "Init");
|
| //---
|
| return(INIT_SUCCEEDED);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Expert deinitialization function |
|
| //+------------------------------------------------------------------+
|
| void OnDeinit(const int reason)
|
| {
|
| //---
|
| if(CheckPointer(Symb) != POINTER_INVALID)
|
| delete Symb;
|
| //---
|
| 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 && (dtStudied < SeriesInfoInteger(Symb.Name(), TimeFrame, SERIES_LASTBAR_DATE)))
|
| bEventStudy = EventChartCustom(ChartID(), 1, (long)0, 0, "New Bar");
|
| //---
|
| }
|
| //+------------------------------------------------------------------+
|
| //| 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)
|
| {
|
| 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();
|
| int handle = FileOpen("VAE_latent.csv", FILE_WRITE | FILE_CSV);
|
| //---
|
| int bars = CopyRates(Symb.Name(), TimeFrame, st_time, TimeCurrent(), Rates);
|
| prev_er = dError;
|
| //---
|
| 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);
|
| //---
|
| int total = bars - (int)HistoryBars;
|
| matrix data;
|
| if(!data.Init(total, 12 * HistoryBars))
|
| {
|
| ExpertRemove();
|
| return;
|
| }
|
| //---
|
| MqlDateTime sTime;
|
| for(int i = 0; i < total; i++)
|
| {
|
| Comment(StringFormat("Create data: %d of %d", i, total));
|
| for(int b = 0; b < (int)HistoryBars; b++)
|
| {
|
| int bar = i + b;
|
| int shift = b * 12;
|
| double open = Rates[bar].open;
|
| TimeToStruct(Rates[bar].time, sTime);
|
| data[i, shift + 0] = open - Rates[bar].low;
|
| data[i, shift + 1] = Rates[bar].high - open;
|
| data[i, shift + 2] = Rates[bar].close - open;
|
| data[i, shift + 3] = RSI.GetData(MAIN_LINE, bar);
|
| data[i, shift + 4] = CCI.GetData(MAIN_LINE, bar);
|
| data[i, shift + 5] = ATR.GetData(MAIN_LINE, bar);
|
| data[i, shift + 6] = MACD.GetData(MAIN_LINE, bar);
|
| data[i, shift + 7] = MACD.GetData(SIGNAL_LINE, bar);
|
| data[i, shift + 8] = (double)Rates[bar].tick_volume / 1000.0;
|
| data[i, shift + 9] = sTime.hour;
|
| data[i, shift + 10] = sTime.day_of_week;
|
| data[i, shift + 11] = sTime.mon;
|
| }
|
| }
|
| //---
|
| {
|
| //---
|
| stop = IsStopped();
|
| bool add_loop = false;
|
| for(int it = 0; it < 1000 && !stop; it++)
|
| {
|
| if((GetTickCount64() - last_tick) >= 250)
|
| {
|
| string com = StringFormat("Calculation -> %d of %d -> %.2f%%", it + 1, 1000, (double)(it + 1.0) / 1000 * 100);
|
| Comment(com);
|
| last_tick = GetTickCount64();
|
| }
|
| int i = (int)((MathRand() * MathRand() / MathPow(32767, 2)) * (total) + HistoryBars / 2);
|
| 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);
|
| float rsi = (float)RSI.Main(bar_t);
|
| float cci = (float)CCI.Main(bar_t);
|
| float atr = (float)ATR.Main(bar_t);
|
| float macd = (float)MACD.Main(bar_t);
|
| float sign = (float)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 / 1000.0)) ||
|
| !TempData.Add(sTime.hour) || !TempData.Add(sTime.day_of_week) || !TempData.Add(sTime.mon) ||
|
| !TempData.Add(rsi) || !TempData.Add(cci) || !TempData.Add(atr) || !TempData.Add(macd) || !TempData.Add(sign))
|
| break;
|
| }
|
| if(TempData.Total() < (int)HistoryBars * 12)
|
| continue;
|
| Net.feedForward(TempData, 12, true, (CBufferFloat*)NULL);
|
| TempData.Clear();
|
| if(!Net.GetLayerOutput(6, TempData))
|
| break;
|
| //---
|
| 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);
|
| if(buy && sell)
|
| buy = sell = false;
|
| //---
|
| FileWrite(handle, (buy ? DoubleToString(TempData.At(0)) : " "), (buy ? DoubleToString(TempData.At(1)) : " "),
|
| (sell ? DoubleToString(TempData.At(0)) : " "), (sell ? DoubleToString(TempData.At(1)) : " "),
|
| (!(buy || sell) ? DoubleToString(TempData.At(0)) : " "),
|
| (!(buy || sell) ? DoubleToString(TempData.At(1)) : " "));
|
| stop = IsStopped();
|
| }
|
| }
|
| //---
|
| FileClose(handle);
|
| Comment("");
|
| ExpertRemove();
|
| }
|
| //+------------------------------------------------------------------+
|
