forked from mnbvc188199/Warrior_EA
228 lines
16 KiB
MQL5
228 lines
16 KiB
MQL5
//+------------------------------------------------------------------+
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//| Study.mq5 |
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//| Copyright DNG® |
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//| https://www.mql5.com/en/users/dng |
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//+------------------------------------------------------------------+
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#property copyright "Copyright DNG®"
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#property link "https://www.mql5.com/en/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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#include "Trajectory.mqh"
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//+------------------------------------------------------------------+
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//| Input parameters |
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//+------------------------------------------------------------------+
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input int Iterations = 1e7;
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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STrajectory Buffer[];
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CNet RTG;
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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 State;
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CBufferFloat *Result;
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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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if(!LoadTotalBase())
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{
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PrintFormat("Error of load study data: %d", GetLastError());
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return INIT_FAILED;
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}
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//--- load models
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float temp;
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if(!RTG.Load(FileName + "RTG.nnw", temp, temp, temp, dtStudied, true))
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{
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CArrayObj *rtg = new CArrayObj();
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if(!CreateRTGDescriptions(rtg))
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{
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delete rtg;
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return INIT_FAILED;
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}
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if(!RTG.Create(rtg))
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{
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delete rtg;
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return INIT_FAILED;
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}
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delete rtg;
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//---
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}
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//---
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RTG.getResults(Result);
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if(Result.Total() != NRewards)
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{
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PrintFormat("The scope of the RTG-model does not match the rewards count (%d <> %d)", NRewards, Result.Total());
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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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RTG.Save(FileName + "RTG.nnw", 0, 0, 0, TimeCurrent(), true);
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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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if(id == 1001)
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Train();
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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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float max_reward = 0, quanitle = 0;
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vector<float> std;
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vector<float> probability = GetProbTrajectories(Buffer, max_reward, quanitle, std, 0.95, 0.1f);
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uint ticks = GetTickCount();
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//---
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bool StopFlag = false;
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for(int iter = 0; (iter < Iterations && !IsStopped() && !StopFlag); iter ++)
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{
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int tr = SampleTrajectory(probability);
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int i = (int)((MathRand() * MathRand() / MathPow(32767, 2)) * (Buffer[tr].Total - 2 * ValueBars));
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if(i < 0)
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{
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iter--;
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continue;
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}
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//--- History data
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State.AssignArray(Buffer[tr].States[i].state);
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for(int state = 1; state < ValueBars; state++)
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State.AddArray(Buffer[tr].States[i + state].state);
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//--- Study
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if(!RTG.feedForward(GetPointer(State)))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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StopFlag = true;
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break;
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}
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vector<float> target, result;
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target.Assign(Buffer[tr].States[i + ValueBars].rewards);
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result.Assign(Buffer[tr].States[i + 2 * ValueBars - 1].rewards);
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target = target - result*MathPow(DiscFactor,ValueBars);
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Result.AssignArray(target);
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if(!RTG.backProp(Result, (CBufferFloat *)NULL, (CBufferFloat *)NULL))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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StopFlag = 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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string str = StringFormat("%-15s %5.2f%% -> Error %15.8f\n", "RTG-model", iter * 100.0 / (double)(Iterations), RTG.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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Comment("");
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//---
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PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Value", RTG.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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vector<float> GetProbTrajectories(STrajectory &buffer[], float &max_reward, float &quanitle, vector<float> &std, double quant, float lanbda)
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{
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ulong total = buffer.Size();
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matrix<float> rewards = matrix<float>::Zeros(total, NRewards);
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vector<float> result;
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for(ulong i = 0; i < total; i++)
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{
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result.Assign(buffer[i].States[0].rewards);
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rewards.Row(result, i);
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}
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std = rewards.Std(0);
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result = rewards.Sum(1);
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max_reward = result.Max();
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//---
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vector<float> sorted = result;
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bool sort = true;
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int iter = 0;
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while(sort)
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{
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sort = false;
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for(ulong i = 0; i < sorted.Size() - 1; i++)
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if(sorted[i] > sorted[i + 1])
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{
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float temp = sorted[i];
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sorted[i] = sorted[i + 1];
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sorted[i + 1] = temp;
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sort = true;
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}
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iter++;
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}
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quanitle = sorted.Quantile(quant);
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//---
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float min = result.Min() - 0.1f * std.Sum();
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if(max_reward > min)
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{
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vector<float> multipl=exp(MathAbs(result - max_reward) / (result.Percentile(90)-max_reward));
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result = (result - min) / (max_reward - min);
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result = result / (result + lanbda) * multipl;
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result.ReplaceNan(0);
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}
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else
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result.Fill(1);
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result = result / result.Sum();
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result = result.CumSum();
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//---
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return result;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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int SampleTrajectory(vector<float> &probability)
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{
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//--- check
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ulong total = probability.Size();
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if(total <= 0)
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return -1;
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//--- randomize
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float rnd = float(MathRand() / 32767.0);
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//--- search
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if(rnd <= probability[0] || total == 1)
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return 0;
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if(rnd > probability[total - 2])
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return int(total - 1);
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int result = int(rnd * total);
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if(probability[result] < rnd)
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while(probability[result] < rnd)
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result++;
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else
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while(probability[result - 1] >= rnd)
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result--;
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//--- return result
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return result;
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}
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//+------------------------------------------------------------------+
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