forked from mnbvc188199/Warrior_EA
415 lines
29 KiB
MQL5
415 lines
29 KiB
MQL5
//+------------------------------------------------------------------+
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//| Research.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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#include "Trajectory.mqh"
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#include <Trade\Trade.mqh>
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#include <Trade\SymbolInfo.mqh>
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#include <Indicators\Oscilators.mqh>
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//+------------------------------------------------------------------+
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//| Input parameters |
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//+------------------------------------------------------------------+
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input double ProfitToSave = 10;
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input double MoneyTP = 10;
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input double MoneySL = 5;
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input int LatentLayer = 9;
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input string ActorFile = "Act";
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//---
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input ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
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//---
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input group "---- RSI ----"
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input int RSIPeriod = 14; //Period
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input ENUM_APPLIED_PRICE RSIPrice = PRICE_CLOSE; //Applied price
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//---
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input group "---- CCI ----"
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input int CCIPeriod = 14; //Period
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input ENUM_APPLIED_PRICE CCIPrice = PRICE_TYPICAL; //Applied price
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//---
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input group "---- ATR ----"
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input int ATRPeriod = 14; //Period
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//---
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input group "---- MACD ----"
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input int FastPeriod = 12; //Fast
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input int SlowPeriod = 26; //Slow
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input int SignalPeriod = 9; //Signal
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input ENUM_APPLIED_PRICE MACDPrice = PRICE_CLOSE; //Applied price
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input int Agent = 1;
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bool TrainMode = true;
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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SState sState;
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STrajectory Base;
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STrajectory Buffer[];
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STrajectory Frame[1];
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CFQF Actor;
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CNet Scheduler;
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int Models = 1;
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//---
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float dError;
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datetime dtStudied;
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bool bEventStudy;
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//---
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CBufferFloat State1;
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CBufferFloat *Result;
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//---
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CSymbolInfo Symb;
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CTrade Trade;
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//---
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MqlRates Rates[];
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CiRSI RSI;
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CiCCI CCI;
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CiATR ATR;
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CiMACD MACD;
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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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if(!Symb.Name(_Symbol))
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return INIT_FAILED;
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Symb.Refresh();
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//---
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if(!RSI.Create(Symb.Name(), TimeFrame, RSIPeriod, RSIPrice))
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return INIT_FAILED;
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//---
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if(!CCI.Create(Symb.Name(), TimeFrame, CCIPeriod, CCIPrice))
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return INIT_FAILED;
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//---
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if(!ATR.Create(Symb.Name(), TimeFrame, ATRPeriod))
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return INIT_FAILED;
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//---
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if(!MACD.Create(Symb.Name(), TimeFrame, FastPeriod, SlowPeriod, SignalPeriod, MACDPrice))
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return INIT_FAILED;
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if(!RSI.BufferResize(HistoryBars) || !CCI.BufferResize(HistoryBars) ||
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!ATR.BufferResize(HistoryBars) || !MACD.BufferResize(HistoryBars))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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return INIT_FAILED;
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}
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//---
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if(!Trade.SetTypeFillingBySymbol(Symb.Name()))
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return INIT_FAILED;
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//--- load models
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float temp;
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if(!Actor.Load(FileName + ActorFile+".nnw", dtStudied, true) ||
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!Scheduler.Load(FileName + "Sch.nnw", temp,temp, temp, dtStudied, true))
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{
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CArrayObj *actor = new CArrayObj();
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CArrayObj *scheduler = new CArrayObj();
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if(!CreateDescriptions(actor, scheduler))
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{
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delete actor;
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delete scheduler;
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return INIT_FAILED;
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}
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if(!Actor.Create(actor) || !Scheduler.Create(scheduler))
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{
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delete actor;
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delete scheduler;
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return INIT_FAILED;
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}
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delete actor;
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delete scheduler;
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}
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//---
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Actor.getResults(Result);
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if(Result.Total() != NActions)
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{
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PrintFormat("The scope of the actor does not match the actions count (%d <> %d)", NActions, Result.Total());
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return INIT_FAILED;
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}
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Actor.SetOpenCL(Scheduler.GetOpenCL());
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//---
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Scheduler.getResults(Result);
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if(Result.Total() != AccountDescr)
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{
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PrintFormat("The scope of the scheduler does not match the account description (%d <> %d)", AccountDescr, Result.Total());
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return INIT_FAILED;
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}
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//---
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Actor.GetLayerOutput(0, Result);
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int inputs = Result.Total();
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if(!Scheduler.GetLayerOutput(LatentLayer, Result))
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{
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PrintFormat("Error of load latent layer %d", LatentLayer);
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return INIT_FAILED;
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}
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if(inputs != Result.Total())
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{
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PrintFormat("Size of latent layer does not match input size of Actor (%d <> %d)", Result.Total(), inputs);
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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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delete Result;
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}
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//+------------------------------------------------------------------+
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//| Expert tick function |
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//+------------------------------------------------------------------+
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void OnTick()
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{
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//---
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if(!IsNewBar())
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return;
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//---
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int bars = CopyRates(Symb.Name(), TimeFrame, iTime(Symb.Name(), TimeFrame, 1), HistoryBars, Rates);
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if(!ArraySetAsSeries(Rates, true))
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return;
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//---
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RSI.Refresh();
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CCI.Refresh();
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ATR.Refresh();
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MACD.Refresh();
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//---
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MqlDateTime sTime;
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for(int b = 0; b < (int)HistoryBars; b++)
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{
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float open = (float)Rates[b].open;
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TimeToStruct(Rates[b].time, sTime);
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float rsi = (float)RSI.Main(b);
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float cci = (float)CCI.Main(b);
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float atr = (float)ATR.Main(b);
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float macd = (float)MACD.Main(b);
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float sign = (float)MACD.Signal(b);
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if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
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continue;
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//---
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sState.state[b * 12] = (float)Rates[b].close - open;
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sState.state[b * 12 + 1] = (float)Rates[b].high - open;
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sState.state[b * 12 + 2] = (float)Rates[b].low - open;
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sState.state[b * 12 + 3] = (float)Rates[b].tick_volume / 1000.0f;
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sState.state[b * 12 + 4] = (float)sTime.hour;
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sState.state[b * 12 + 5] = (float)sTime.day_of_week;
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sState.state[b * 12 + 6] = (float)sTime.mon;
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sState.state[b * 12 + 7] = rsi;
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sState.state[b * 12 + 8] = cci;
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sState.state[b * 12 + 9] = atr;
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sState.state[b * 12 + 10] = macd;
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sState.state[b * 12 + 11] = sign;
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}
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//---
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sState.account[0] = (float)AccountInfoDouble(ACCOUNT_BALANCE);
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sState.account[1] = (float)AccountInfoDouble(ACCOUNT_EQUITY);
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sState.account[2] = (float)AccountInfoDouble(ACCOUNT_MARGIN_FREE);
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sState.account[3] = (float)AccountInfoDouble(ACCOUNT_MARGIN_LEVEL);
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sState.account[4] = (float)AccountInfoDouble(ACCOUNT_PROFIT);
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//---
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double buy_value = 0, sell_value = 0, buy_profit = 0, sell_profit = 0;
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int total = PositionsTotal();
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for(int i = 0; i < total; i++)
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{
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if(PositionGetSymbol(i) != Symb.Name())
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continue;
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switch((int)PositionGetInteger(POSITION_TYPE))
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{
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case POSITION_TYPE_BUY:
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buy_value += PositionGetDouble(POSITION_VOLUME);
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buy_profit += PositionGetDouble(POSITION_PROFIT);
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break;
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case POSITION_TYPE_SELL:
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sell_value += PositionGetDouble(POSITION_VOLUME);
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sell_profit += PositionGetDouble(POSITION_PROFIT);
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break;
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}
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}
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sState.account[5] = (float)buy_value;
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sState.account[6] = (float)sell_value;
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sState.account[7] = (float)buy_profit;
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sState.account[8] = (float)sell_profit;
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//---
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State1.AssignArray(sState.state);
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float PrevBalance = (Base.Total <= 0 ? sState.account[0] : Base.States[Base.Total - 1].account[0]);
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float PrevEquity = (Base.Total <= 0 ? sState.account[1] : Base.States[Base.Total - 1].account[1]);
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State1.Add((sState.account[0] - PrevBalance) / PrevBalance);
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State1.Add(sState.account[1] / PrevBalance);
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State1.Add((sState.account[1] - PrevEquity) / PrevEquity);
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State1.Add(sState.account[2] / PrevBalance);
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State1.Add(sState.account[4] / PrevBalance);
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State1.Add(sState.account[5]);
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State1.Add(sState.account[6]);
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State1.Add(sState.account[7] / PrevBalance);
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State1.Add(sState.account[8] / PrevBalance);
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//---
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if(!Scheduler.feedForward(GetPointer(State1), 1, false))
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return;
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if(!Scheduler.GetLayerOutput(LatentLayer, Result))
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return;
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//---
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if(!Actor.feedForward(Result, 1, false))
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return;
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int act = Actor.getSample();
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double profit = buy_profit + sell_profit;
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if(profit >= MoneyTP || profit <= -MathAbs(MoneySL))
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act = 2;
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if((buy_value > 0 && act == 1) || (sell_value > 0 && act == 0))
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act = 2;
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//---
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switch(act)
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{
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case 0:
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if(!Trade.Buy(Symb.LotsMin(), Symb.Name()))
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act = 3;
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break;
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case 1:
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if(!Trade.Sell(Symb.LotsMin(), Symb.Name()))
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act = 3;
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break;
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case 2:
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for(int i = PositionsTotal() - 1; i >= 0; i--)
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if(PositionGetSymbol(i) == Symb.Name())
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if(!Trade.PositionClose(PositionGetInteger(POSITION_IDENTIFIER)))
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{
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act = 3;
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break;
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}
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break;
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}
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//---
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float reward = (sState.account[0] - PrevBalance) / PrevBalance;
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if(!Base.Add(sState, act, reward))
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ExpertRemove();
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//---
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}
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//+------------------------------------------------------------------+
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//| Tester function |
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//+------------------------------------------------------------------+
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double OnTester()
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{
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//---
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double ret = 0.0;
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//---
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double profit = TesterStatistics(STAT_PROFIT);
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Frame[0] = Base;
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if(profit >= ProfitToSave)
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FrameAdd(MQLInfoString(MQL_PROGRAM_NAME), 1, profit, Frame);
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//---
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return(ret);
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}
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//+------------------------------------------------------------------+
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//| TesterInit function |
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//+------------------------------------------------------------------+
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void OnTesterInit()
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{
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//---
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LoadTotalBase();
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}
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//+------------------------------------------------------------------+
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//| TesterPass function |
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//+------------------------------------------------------------------+
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void OnTesterPass()
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{
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//---
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ulong pass;
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string name;
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long id;
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double value;
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STrajectory array[];
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while(FrameNext(pass, name, id, value, array))
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{
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int total = ArraySize(Buffer);
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if(name != MQLInfoString(MQL_PROGRAM_NAME))
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continue;
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if(id <= 0)
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continue;
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if(ArrayResize(Buffer, total + (int)id, 10) < 0)
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return;
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ArrayCopy(Buffer, array, total, 0, (int)id);
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}
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}
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//+------------------------------------------------------------------+
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//| TesterDeinit function |
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//+------------------------------------------------------------------+
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void OnTesterDeinit()
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{
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//---
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int total = ArraySize(Buffer);
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printf("total %d", total);
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Print("Saving...");
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SaveTotalBase();
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Print("Saved");
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool IsNewBar(void)
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{
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static datetime last_bar = 0;
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if(last_bar >= iTime(Symb.Name(), TimeFrame, 0))
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return false;
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//---
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last_bar = iTime(Symb.Name(), TimeFrame, 0);
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool SaveTotalBase(void)
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{
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int total = ArraySize(Buffer);
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if(total < 0)
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return true;
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int handle = FileOpen(FileName + ".bd", FILE_WRITE | FILE_BIN | FILE_COMMON);
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if(handle < 0)
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return false;
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if(FileWriteInteger(handle, total) < INT_VALUE)
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{
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FileClose(handle);
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return false;
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}
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for(int i = 0; i < total; i++)
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if(!Buffer[i].Save(handle))
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{
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FileClose(handle);
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return false;
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}
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FileFlush(handle);
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FileClose(handle);
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//---
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool LoadTotalBase(void)
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{
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int handle = FileOpen(FileName + ".bd", FILE_READ | FILE_BIN | FILE_COMMON | FILE_SHARE_READ);
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if(handle < 0)
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return false;
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int total = FileReadInteger(handle);
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if(total <= 0)
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{
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FileClose(handle);
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return false;
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}
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if(ArrayResize(Buffer, total) < total)
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{
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FileClose(handle);
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return false;
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}
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for(int i = 0; i < total; i++)
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if(!Buffer[i].Load(handle))
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{
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FileClose(handle);
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return false;
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}
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FileClose(handle);
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//---
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return true;
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}
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//+------------------------------------------------------------------+
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