forked from mnbvc188199/Warrior_EA
241 lines
18 KiB
MQL5
241 lines
18 KiB
MQL5
//+------------------------------------------------------------------+
| |
//| Q-Learning.mq5 |
| |
//| Copyright 2022, DNG |
| |
//| https://www.mql5.com/en/users/dng |
| |
//+------------------------------------------------------------------+
| |
#property copyright "Copyright 2022, DNG"
| |
#property link "https://www.mql5.com/en/users/dng"
| |
#property version "1.00"
| |
//+------------------------------------------------------------------+
| |
//| Includes |
| |
//+------------------------------------------------------------------+
| |
#include "..\NeuroNet_DNG\NeuroNet.mqh"
| |
#include <Trade\SymbolInfo.mqh>
| |
#include <Indicators\Oscilators.mqh>
| |
#include <Trade\Trade.mqh>
| |
//+------------------------------------------------------------------+
| |
//| |
| |
//+------------------------------------------------------------------+
| |
#define FileName Symb.Name()+"_"+EnumToString((ENUM_TIMEFRAMES)Period())+"_Evolution"
| |
#define NeuronsToBar 12
| |
//+------------------------------------------------------------------+
| |
//| Input parameters |
| |
//+------------------------------------------------------------------+
| |
uint HistoryBars = 20; //Depth of history
| |
ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
| |
int Actions = 3;
| |
//---
| |
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 StudyNet;
| |
CBufferFloat *TempData;
| |
CiRSI RSI;
| |
CiCCI CCI;
| |
CiATR ATR;
| |
CiMACD MACD;
| |
CTrade Trade;
| |
//---
| |
float dError;
| |
datetime dtStudied;
| |
bool bEventStudy;
| |
MqlDateTime sTime;
| |
//---
| |
CBufferFloat State;
| |
datetime lastBar;
| |
//+------------------------------------------------------------------+
| |
//| Expert initialization function |
| |
//+------------------------------------------------------------------+
| |
int OnInit()
| |
{
| |
//---
| |
if(!Symb.Name(_Symbol))
| |
return INIT_FAILED;
| |
Symb.Refresh();
| |
//---
| |
if(!RSI.Create(Symb.Name(), TimeFrame, RSIPeriod, RSIPrice))
| |
return INIT_FAILED;
| |
//---
| |
if(!CCI.Create(Symb.Name(), TimeFrame, CCIPeriod, CCIPrice))
| |
return INIT_FAILED;
| |
//---
| |
if(!ATR.Create(Symb.Name(), TimeFrame, ATRPeriod))
| |
return INIT_FAILED;
| |
//---
| |
if(!MACD.Create(Symb.Name(), TimeFrame, FastPeriod, SlowPeriod, SignalPeriod, MACDPrice))
| |
return INIT_FAILED;
| |
//---
| |
float temp1, temp2;
| |
if(!StudyNet.Load(FileName + ".nnw", dError, temp1, temp2, dtStudied, true))
| |
return INIT_FAILED;
| |
//---
| |
if(!StudyNet.GetLayerOutput(0, TempData))
| |
return INIT_FAILED;
| |
HistoryBars = TempData.Total() / NeuronsToBar;
| |
StudyNet.getResults(TempData);
| |
if(TempData.Total() != Actions)
| |
return INIT_PARAMETERS_INCORRECT;
| |
//---
| |
if(!RSI.BufferResize(HistoryBars + 2) || !CCI.BufferResize(HistoryBars + 2) ||
| |
!ATR.BufferResize(HistoryBars + 2) || !MACD.BufferResize(HistoryBars + 2))
| |
return INIT_FAILED;
| |
//---
| |
lastBar = 0;
| |
//---
| |
if(!Trade.SetTypeFillingBySymbol(Symb.Name()))
| |
return INIT_FAILED;
| |
//---
| |
return(INIT_SUCCEEDED);
| |
}
| |
//+------------------------------------------------------------------+
| |
//| Expert deinitialization function |
| |
//+------------------------------------------------------------------+
| |
void OnDeinit(const int reason)
| |
{
| |
if(!!TempData)
| |
delete TempData;
| |
//---
| |
}
| |
//+------------------------------------------------------------------+
| |
//| Expert tick function |
| |
//+------------------------------------------------------------------+
| |
void OnTick()
| |
{
| |
if(lastBar >= iTime(Symb.Name(), TimeFrame, 0))
| |
return;
| |
//---
| |
int bars = CopyRates(Symb.Name(), TimeFrame, 0, HistoryBars + 2, Rates);
| |
if(!ArraySetAsSeries(Rates, true))
| |
return;
| |
RSI.Refresh();
| |
CCI.Refresh();
| |
ATR.Refresh();
| |
MACD.Refresh();
| |
//---
| |
State.Clear();
| |
for(int b = 0; b < (int)HistoryBars; b++)
| |
{
| |
uint bar_t = (int)HistoryBars - b;
| |
float open = (float)Rates[bar_t].open;
| |
TimeToStruct(Rates[bar_t].time, sTime);
| |
float rsi = (float)RSI.Main(bar_t);
| |
float rsi_p = (float)RSI.Main(bar_t + 1);
| |
float cci = (float)CCI.Main(bar_t);
| |
float cci_p = (float)CCI.Main(bar_t + 1);
| |
float atr = (float)ATR.Main(bar_t);
| |
float atr_p = (float)ATR.Main(bar_t + 1);
| |
float macd = (float)MACD.Main(bar_t);
| |
float macd_p = (float)MACD.Main(bar_t + 1);
| |
float sign = (float)MACD.Signal(bar_t);
| |
float sign_p = (float)MACD.Signal(bar_t + 1);
| |
if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
| |
continue;
| |
//---
| |
if(!State.Add((float)Rates[bar_t].close - open) || !State.Add((float)Rates[bar_t].high - open) ||
| |
!State.Add((float)Rates[bar_t].low - open) || !State.Add((float)Rates[bar_t].tick_volume / 1000.0f) ||
| |
!State.Add(sTime.hour) || !State.Add(sTime.day_of_week) || !State.Add(sTime.mon) ||
| |
!State.Add(rsi) || !State.Add(cci) || !State.Add(atr) || !State.Add(macd) || !State.Add(sign))
| |
break;
| |
}
| |
//---
| |
if(State.Total() < (int)(HistoryBars * NeuronsToBar))
| |
return;
| |
if(!StudyNet.feedForward(GetPointer(State), NeuronsToBar, true))
| |
return;
| |
StudyNet.getResults(TempData);
| |
if(!TempData)
| |
return;
| |
lastBar = Rates[0].time;
| |
int action = GetAction(TempData);
| |
delete TempData;
| |
//---
| |
bool Buy = false;
| |
bool Sell = false;
| |
for(int i = 0; i < PositionsTotal(); i++)
| |
{
| |
if(PositionGetSymbol(i) != Symb.Name())
| |
continue;
| |
switch((ENUM_POSITION_TYPE)PositionGetInteger(POSITION_TYPE))
| |
{
| |
case POSITION_TYPE_BUY:
| |
Buy = true;
| |
break;
| |
case POSITION_TYPE_SELL:
| |
Sell = true;
| |
break;
| |
}
| |
}
| |
switch(action)
| |
{
| |
case 0:
| |
if(!Buy)
| |
{
| |
if((Sell && !Trade.PositionClose(Symb.Name())) ||
| |
!Trade.Buy(Symb.LotsMin(), Symb.Name()))
| |
{
| |
lastBar = 0;
| |
return;
| |
}
| |
}
| |
break;
| |
case 1:
| |
if(!Sell)
| |
{
| |
if((Buy && !Trade.PositionClose(Symb.Name())) ||
| |
!Trade.Sell(Symb.LotsMin(), Symb.Name()))
| |
{
| |
lastBar = 0;
| |
return;
| |
}
| |
}
| |
break;
| |
case 2:
| |
if(Buy || Sell)
| |
if(!Trade.PositionClose(Symb.Name()))
| |
{
| |
lastBar = 0;
| |
return;
| |
}
| |
break;
| |
}
| |
//---
| |
}
| |
//+------------------------------------------------------------------+
| |
//| |
| |
//+------------------------------------------------------------------+
| |
int GetAction(CBufferFloat* probability)
| |
{
| |
vectorf prob;
| |
if(!probability.GetData(prob))
| |
return -1;
| |
prob = prob.CumSum();
| |
prob = prob / prob.Max();
| |
int err_code;
| |
float random = (float)Math::MathRandomNormal(0.5, 0.5, err_code);
| |
if(random >= 1)
| |
return (int)prob.Size() - 1;
| |
for(int i = 0; i < (int)prob.Size(); i++)
| |
if(random <= prob[i] && prob[i] > 0)
| |
return i;
| |
//---
| |
return -1;
| |
}
| |
//+------------------------------------------------------------------+
|