| //+------------------------------------------------------------------+
|
| //| 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 "AssocRules.mqh"
|
| #include "..\\PCA\\pca.mqh"
|
| #include <Trade\SymbolInfo.mqh>
|
| #include <Indicators\Oscilators.mqh>
|
| //---
|
| #define FileName Symb.Name()+"_"+EnumToString((ENUM_TIMEFRAMES)Period())+"_"+StringSubstr(__FILE__,0,StringFind(__FILE__,".",0))
|
| #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 = 20; //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[];
|
| CArrayDouble *TempData;
|
| CiRSI *RSI;
|
| CiCCI *CCI;
|
| CiATR *ATR;
|
| CiMACD *MACD;
|
| CAssocRules *Rules;
|
| CPCA *PCA;
|
| //---
|
| double dError;
|
| double dUndefine;
|
| double 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;
|
| //---
|
| Rules = new CAssocRules();
|
| if(!Rules)
|
| return INIT_FAILED;
|
| //---
|
| PCA = new CPCA();
|
| if(CheckPointer(PCA) == POINTER_INVALID)
|
| return INIT_FAILED;
|
| int handl = FileOpen("pca.net", FILE_READ | FILE_BIN);
|
| if(handl == INVALID_HANDLE)
|
| return INIT_FAILED;
|
| if(!PCA.Load(handl))
|
| {
|
| FileClose(handl);
|
| return INVALID_HANDLE;
|
| }
|
| FileClose(handl);
|
| //---
|
| bEventStudy = EventChartCustom(ChartID(), 1, 0, 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(Rules) != POINTER_INVALID)
|
| delete Rules;
|
| //---
|
| if(CheckPointer(PCA) != POINTER_INVALID)
|
| delete PCA;
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Expert tick function |
|
| //+------------------------------------------------------------------+
|
| void OnTick()
|
| {
|
| //---
|
| if(!bEventStudy && (dPrevSignal == -2 || 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)
|
| {
|
| //---
|
| 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);
|
| //---
|
| 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();
|
| CCI.Refresh();
|
| ATR.Refresh();
|
| MACD.Refresh();
|
| //---
|
| int total = bars - (int)HistoryBars - 1;
|
| matrixf fractals;
|
| matrixf data;
|
| if(!data.Init(total, 8 * HistoryBars) ||
|
| !fractals.Init(total, 3))
|
| {
|
| ExpertRemove();
|
| return;
|
| }
|
| //---
|
| for(int i = 0; (i < total && !IsStopped()); 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 * 8;
|
| double open = Rates[bar].open;
|
| data[i, shift] = (float)(open - Rates[bar].low);
|
| data[i, shift + 1] = (float)(Rates[bar].high - open);
|
| data[i, shift + 2] = (float)(Rates[bar].close - open);
|
| data[i, shift + 3] = (float)RSI.GetData(MAIN_LINE, bar);
|
| data[i, shift + 4] = (float)CCI.GetData(MAIN_LINE, bar);
|
| data[i, shift + 5] = (float)ATR.GetData(MAIN_LINE, bar);
|
| data[i, shift + 6] = (float)MACD.GetData(MAIN_LINE, bar);
|
| data[i, shift + 7] = (float)MACD.GetData(SIGNAL_LINE, bar);
|
| }
|
| int bar = i + 1;
|
| fractals[i, 0] = (float)(Rates[bar - 1].high <= Rates[bar].high && Rates[bar + 1].high < Rates[bar].high);
|
| fractals[i, 1] = (float)(Rates[bar - 1].low >= Rates[bar].low && Rates[bar + 1].low > Rates[bar].low);
|
| fractals[i, 2] = (float)((fractals[i, 0] + fractals[i, 1]) == 0);
|
| }
|
| if(IsStopped())
|
| {
|
| ExpertRemove();
|
| return;
|
| }
|
| //---
|
| data=PCA.ReduceM(data);
|
| //---
|
| ulong array[] = {300};
|
| matrixf ar_data[], ar_fractals[];
|
| data.Hsplit(array, ar_data);
|
| fractals.Hsplit(array, ar_fractals);
|
| //---
|
| Rules.CreateRules(ar_data[1], ar_fractals[1].Col(0), ar_fractals[1].Col(1), 5, 0.05f, 0.50f);
|
| float buy_prob, sell_prob;
|
| for(ulong i = 0; i < ar_data[0].Rows(); i++)
|
| {
|
| if(!Rules.Probability(ar_data[0].Row(i), buy_prob, sell_prob))
|
| return;
|
| if(DoubleToSignal(buy_prob - sell_prob) == Undefine)
|
| DeleteObject(Rates[i].time);
|
| else
|
| DrawObject(Rates[i].time, (buy_prob - sell_prob), Rates[i].high, Rates[i].low);
|
| }
|
| 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;
|
| }
|
| }
|
| //---
|
| 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);
|
| }
|
| //+------------------------------------------------------------------+
|
