forked from mnbvc188199/Warrior_EA
409 lines
29 KiB
MQL5
409 lines
29 KiB
MQL5
//+------------------------------------------------------------------+
| |
//| Faza1.mq5 |
| |
//| Copyright DNG® |
| |
//| https://www.mql5.com/en/users/dng |
| |
//+------------------------------------------------------------------+
| |
#property copyright "Copyright DNG®"
| |
#property link "https://www.mql5.com/en/users/dng"
| |
#property version "1.00"
| |
//+------------------------------------------------------------------+
| |
//| |
| |
//+------------------------------------------------------------------+
| |
#include "Cell.mqh"
| |
#include <Math\Stat\Normal.mqh>
| |
#include <Trade\Trade.mqh>
| |
#include <Trade\SymbolInfo.mqh>
| |
#include <Indicators\Oscilators.mqh>
| |
//+------------------------------------------------------------------+
| |
//| Input parameters |
| |
//+------------------------------------------------------------------+
| |
input ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
| |
input int Start = 100;
| |
input int MinStartSteps = 96;
| |
input int MaxSteps = 120;
| |
input double MinProfit = 10;
| |
input double MaxPosition = 0.1;
| |
input int MaxLifeTime = 48;
| |
//---
| |
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
| |
bool TrainMode = true;
| |
//+------------------------------------------------------------------+
| |
//| |
| |
//+------------------------------------------------------------------+
| |
Cell Base[Buffer_Size];
| |
Cell Total[];
| |
CSymbolInfo Symb;
| |
CTrade Trade;
| |
//---
| |
MqlRates Rates[];
| |
CiRSI RSI;
| |
CiCCI CCI;
| |
CiATR ATR;
| |
CiMACD MACD;
| |
//---
| |
int action_count = 0;
| |
int actions[Buffer_Size];
| |
Cell StartCell;
| |
int bar = -1;
| |
//+------------------------------------------------------------------+
| |
//| 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;
| |
if(!RSI.BufferResize(HistoryBars) || !CCI.BufferResize(HistoryBars) ||
| |
!ATR.BufferResize(HistoryBars) || !MACD.BufferResize(HistoryBars))
| |
{
| |
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
| |
return INIT_FAILED;
| |
}
| |
//---
| |
if(!Trade.SetTypeFillingBySymbol(Symb.Name()))
| |
return INIT_FAILED;
| |
//---
| |
if(LoadTotalBase())
| |
{
| |
int total = ArraySize(Total);
| |
Cell temp[];
| |
ArrayResize(temp, total);
| |
int count = 0;
| |
for(int i = 0; i < total; i++)
| |
if(Total[i].total_actions >= MinStartSteps)
| |
{
| |
temp[count] = Total[i];
| |
count++;
| |
}
| |
if(count > 0)
| |
{
| |
count = (int)(((double)(MathRand() * MathRand()) / MathPow(32768.0, 2.0)) * (count - 1));
| |
StartCell = temp[count];
| |
}
| |
else
| |
{
| |
count = (int)(((double)(MathRand() * MathRand()) / MathPow(32768.0, 2.0)) * (total - 1));
| |
StartCell = Total[count];
| |
}
| |
PrintFormat("Start step %d, balance %10.2f, equity %10.2f", StartCell.total_actions, StartCell.state[240], StartCell.state[241]);
| |
}
| |
//---
| |
return(INIT_SUCCEEDED);
| |
}
| |
//+------------------------------------------------------------------+
| |
//| Expert deinitialization function |
| |
//+------------------------------------------------------------------+
| |
void OnDeinit(const int reason)
| |
{
| |
//---
| |
}
| |
//+------------------------------------------------------------------+
| |
//| Expert tick function |
| |
//+------------------------------------------------------------------+
| |
void OnTick()
| |
{
| |
//---
| |
if(!IsNewBar())
| |
return;
| |
bar++;
| |
if(bar < StartCell.total_actions)
| |
{
| |
switch(StartCell.actions[bar])
| |
{
| |
case 0:
| |
Trade.Buy(Symb.LotsMin(), Symb.Name());
| |
break;
| |
case 1:
| |
Trade.Sell(Symb.LotsMin(), Symb.Name());
| |
break;
| |
case 2:
| |
for(int i = PositionsTotal() - 1; i >= 0; i--)
| |
if(PositionGetSymbol(i) == Symb.Name())
| |
Trade.PositionClose(PositionGetInteger(POSITION_IDENTIFIER));
| |
break;
| |
}
| |
return;
| |
}
| |
//---
| |
if(bar == StartCell.total_actions)
| |
{
| |
ArrayCopy(actions, StartCell.actions, 0, 0, StartCell.total_actions);
| |
PrintFormat("Go-go balance %10.2f, equity %10.2f", AccountInfoDouble(ACCOUNT_BALANCE), AccountInfoDouble(ACCOUNT_EQUITY));
| |
}
| |
//---
| |
int bars = CopyRates(Symb.Name(), TimeFrame, iTime(Symb.Name(), TimeFrame, 1), HistoryBars, Rates);
| |
if(!ArraySetAsSeries(Rates, true))
| |
return;
| |
//---
| |
RSI.Refresh();
| |
CCI.Refresh();
| |
ATR.Refresh();
| |
MACD.Refresh();
| |
//---
| |
float state[249];
| |
MqlDateTime sTime;
| |
for(int b = 0; b < (int)HistoryBars; b++)
| |
{
| |
float open = (float)Rates[b].open;
| |
TimeToStruct(Rates[b].time, sTime);
| |
float rsi = (float)RSI.Main(b);
| |
float cci = (float)CCI.Main(b);
| |
float atr = (float)ATR.Main(b);
| |
float macd = (float)MACD.Main(b);
| |
float sign = (float)MACD.Signal(b);
| |
if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
| |
continue;
| |
//---
| |
state[b * 12] = (float)Rates[b].close - open;
| |
state[b * 12 + 1] = (float)Rates[b].high - open;
| |
state[b * 12 + 2] = (float)Rates[b].low - open;
| |
state[b * 12 + 3] = (float)Rates[b].tick_volume / 1000.0f;
| |
state[b * 12 + 4] = (float)sTime.hour;
| |
state[b * 12 + 5] = (float)sTime.day_of_week;
| |
state[b * 12 + 6] = (float)sTime.mon;
| |
state[b * 12 + 7] = rsi;
| |
state[b * 12 + 8] = cci;
| |
state[b * 12 + 9] = atr;
| |
state[b * 12 + 10] = macd;
| |
state[b * 12 + 11] = sign;
| |
}
| |
//---
| |
state[240] = (float)AccountInfoDouble(ACCOUNT_BALANCE);
| |
state[240 + 1] = (float)AccountInfoDouble(ACCOUNT_EQUITY);
| |
state[240 + 2] = (float)AccountInfoDouble(ACCOUNT_MARGIN_FREE);
| |
state[240 + 3] = (float)AccountInfoDouble(ACCOUNT_MARGIN_LEVEL);
| |
state[240 + 4] = (float)AccountInfoDouble(ACCOUNT_PROFIT);
| |
//---
| |
double buy_value = 0, sell_value = 0, buy_profit = 0, sell_profit = 0;
| |
int total = PositionsTotal();
| |
datetime time_current = TimeCurrent();
| |
int first_order = 0;
| |
for(int i = 0; i < total; i++)
| |
{
| |
if(PositionGetSymbol(i) != Symb.Name())
| |
continue;
| |
switch((int)PositionGetInteger(POSITION_TYPE))
| |
{
| |
case POSITION_TYPE_BUY:
| |
buy_value += PositionGetDouble(POSITION_VOLUME);
| |
buy_profit += PositionGetDouble(POSITION_PROFIT);
| |
break;
| |
case POSITION_TYPE_SELL:
| |
sell_value += PositionGetDouble(POSITION_VOLUME);
| |
sell_profit += PositionGetDouble(POSITION_PROFIT);
| |
break;
| |
}
| |
first_order = MathMax((int)(PositionGetInteger(POSITION_TIME) - time_current) / PeriodSeconds(TimeFrame), first_order);
| |
}
| |
state[240 + 5] = (float)buy_value;
| |
state[240 + 6] = (float)sell_value;
| |
state[240 + 7] = (float)buy_profit;
| |
state[240 + 8] = (float)sell_profit;
| |
//---
| |
int act = (action_count < MaxSteps || first_order >= MaxLifeTime ? SampleAction(4) : 2);
| |
switch(act)
| |
{
| |
case 0:
| |
if(buy_value >= MaxPosition || !Trade.Buy(Symb.LotsMin(), Symb.Name()))
| |
act = 3;
| |
break;
| |
case 1:
| |
if(sell_value >= MaxPosition || !Trade.Sell(Symb.LotsMin(), Symb.Name()))
| |
act = 3;
| |
break;
| |
case 2:
| |
for(int i = PositionsTotal() - 1; i >= 0; i--)
| |
if(PositionGetSymbol(i) == Symb.Name())
| |
if(!Trade.PositionClose(PositionGetInteger(POSITION_IDENTIFIER)))
| |
{
| |
act = 3;
| |
break;
| |
}
| |
break;
| |
}
| |
//--- copy cell
| |
Base[action_count].total_actions = action_count + StartCell.total_actions;
| |
actions[Base[action_count].total_actions] = act;
| |
if(action_count > 0)
| |
{
| |
ArrayCopy(Base[action_count].actions, actions, 0, 0, Base[action_count].total_actions + 1);
| |
Base[action_count - 1].value = (Base[action_count - 1].state[241] - state[241] + Base[action_count - 1].state[240] - state[240]) / 2.0f;
| |
}
| |
ArrayCopy(Base[action_count].state, state, 0, 0);
| |
//---
| |
if(action_count > MaxSteps)
| |
ExpertRemove();
| |
action_count++;
| |
//---
| |
}
| |
//+------------------------------------------------------------------+
| |
//| Tester function |
| |
//+------------------------------------------------------------------+
| |
double OnTester()
| |
{
| |
//---
| |
double ret = 0.0;
| |
//---
| |
double profit = TesterStatistics(STAT_PROFIT);
| |
action_count--;
| |
if(profit >= MinProfit)
| |
FrameAdd(MQLInfoString(MQL_PROGRAM_NAME), action_count, profit, Base);
| |
//---
| |
return(ret);
| |
}
| |
//+------------------------------------------------------------------+
| |
//| TesterInit function |
| |
//+------------------------------------------------------------------+
| |
void OnTesterInit()
| |
{
| |
//---
| |
LoadTotalBase();
| |
}
| |
//+------------------------------------------------------------------+
| |
//| TesterPass function |
| |
//+------------------------------------------------------------------+
| |
void OnTesterPass()
| |
{
| |
//---
| |
ulong pass;
| |
string name;
| |
long id;
| |
double value;
| |
Cell array[];
| |
while(FrameNext(pass, name, id, value, array))
| |
{
| |
int total = ArraySize(Total);
| |
if(name != MQLInfoString(MQL_PROGRAM_NAME))
| |
continue;
| |
if(id <= 0)
| |
continue;
| |
if(ArrayResize(Total, total + (int)id, 10000) < 0)
| |
return;
| |
ArrayCopy(Total, array, total, 0, (int)id);
| |
}
| |
}
| |
//+------------------------------------------------------------------+
| |
//| TesterDeinit function |
| |
//+------------------------------------------------------------------+
| |
void OnTesterDeinit()
| |
{
| |
//---
| |
int total = ArraySize(Total);
| |
printf("total %d", total);
| |
Print("Saving...");
| |
SaveTotalBase();
| |
Print("Saved");
| |
}
| |
//+------------------------------------------------------------------+
| |
//| |
| |
//+------------------------------------------------------------------+
| |
int SampleAction(int actions_space)
| |
{
| |
vectorf temp = vector<float>::Ones(actions_space);
| |
temp = (temp.CumSum()) / (float)actions_space;
| |
int err_code;
| |
float random = (float)MathRandomNormal(0.5, 0.4, err_code);
| |
if(random >= 0 && random <= 1)
| |
for(int i = 0; i < actions_space; i++)
| |
if(random <= temp[i])
| |
return i;
| |
//---
| |
return (actions_space - 1);
| |
}
| |
//+------------------------------------------------------------------+
| |
//| |
| |
//+------------------------------------------------------------------+
| |
bool IsNewBar(void)
| |
{
| |
static datetime last_bar = 0;
| |
if(last_bar >= iTime(Symb.Name(), TimeFrame, 0))
| |
return false;
| |
//---
| |
last_bar = iTime(Symb.Name(), TimeFrame, 0);
| |
return true;
| |
}
| |
//+------------------------------------------------------------------+
| |
//| |
| |
//+------------------------------------------------------------------+
| |
bool SaveTotalBase(void)
| |
{
| |
int total = ArraySize(Total);
| |
if(total < 0)
| |
return true;
| |
int handle = FileOpen(FileName + ".bd", FILE_WRITE | FILE_BIN | FILE_COMMON);
| |
if(handle < 0)
| |
return false;
| |
if(FileWriteInteger(handle, total) < INT_VALUE)
| |
{
| |
FileClose(handle);
| |
return false;
| |
}
| |
for(int i = 0; i < total; i++)
| |
if(!Total[i].Save(handle))
| |
{
| |
FileClose(handle);
| |
return false;
| |
}
| |
FileFlush(handle);
| |
FileClose(handle);
| |
//---
| |
return true;
| |
}
| |
//+------------------------------------------------------------------+
| |
//| |
| |
//+------------------------------------------------------------------+
| |
bool LoadTotalBase(void)
| |
{
| |
int handle = FileOpen(FileName + ".bd", FILE_READ | FILE_BIN | FILE_COMMON | FILE_SHARE_READ);
| |
if(handle < 0)
| |
return false;
| |
int total = FileReadInteger(handle);
| |
if(total <= 0)
| |
{
| |
FileClose(handle);
| |
return false;
| |
}
| |
if(ArrayResize(Total, total) < total)
| |
{
| |
FileClose(handle);
| |
return false;
| |
}
| |
for(int i = 0; i < total; i++)
| |
if(!Total[i].Load(handle))
| |
{
| |
FileClose(handle);
| |
return false;
| |
}
| |
FileClose(handle);
| |
//---
| |
return true;
| |
}
| |
//+------------------------------------------------------------------+
|