forked from mnbvc188199/Warrior_EA
427 lines
27 KiB
MQL5
427 lines
27 KiB
MQL5
//+------------------------------------------------------------------+
| |
//| GE-lerning.mq5 |
| |
//| Copyright 2023, DNG |
| |
//| https://www.mql5.com/en/users/dng |
| |
//+------------------------------------------------------------------+
| |
#property copyright "Copyright 2023, DNG"
| |
#property link "https://www.mql5.com/en/users/dng"
| |
#property version "1.00"
| |
//+------------------------------------------------------------------+
| |
//| Includes |
| |
//+------------------------------------------------------------------+
| |
#include "..\RL\FQF.mqh"
| |
#include "..\RL\ICM.mqh"
| |
#include <Trade\Trade.mqh>
| |
#include <Trade\SymbolInfo.mqh>
| |
#include <Indicators\Oscilators.mqh>
| |
#include "Cell.mqh"
| |
//+------------------------------------------------------------------+
| |
//| Input parameters |
| |
//+------------------------------------------------------------------+
| |
input ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
| |
input int Batch = 100;
| |
input float DiscountFactor = 0.3f;
| |
//---
| |
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
| |
input bool TrainMode = true;
| |
//+------------------------------------------------------------------+
| |
//| |
| |
//+------------------------------------------------------------------+
| |
CSymbolInfo Symb;
| |
MqlRates Rates[];
| |
CFQF StudyNet;
| |
CiRSI RSI;
| |
CiCCI CCI;
| |
CiATR ATR;
| |
CiMACD MACD;
| |
CReplayBuffer cReplay;
| |
| |
//---
| |
float dError;
| |
datetime dtStudied;
| |
bool bEventStudy;
| |
MqlDateTime sTime;
| |
//---
| |
CBufferFloat State1;
| |
CBufferFloat *pstate1;
| |
CBufferFloat *pstate2;
| |
CBufferFloat *Rewards;
| |
float min_loss = FLT_MAX;
| |
CTrade Trade;
| |
int Action;
| |
float Equity = -1;
| |
float Balance = -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;
| |
//---
| |
datetime time;
| |
if(!StudyNet.Load(FileName + ".nnw", time, true))
| |
return INIT_FAILED;
| |
if(!StudyNet.TrainMode(TrainMode))
| |
return INIT_FAILED;
| |
//---
| |
CBufferFloat* temp;
| |
if(!StudyNet.GetLayerOutput(0, temp))
| |
return INIT_FAILED;
| |
if(HistoryBars != (temp.Total() - 9) / 12)
| |
return INIT_FAILED;
| |
delete temp;
| |
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;
| |
//---
| |
return(INIT_SUCCEEDED);
| |
}
| |
//+------------------------------------------------------------------+
| |
//| Expert deinitialization function |
| |
//+------------------------------------------------------------------+
| |
void OnDeinit(const int reason)
| |
{
| |
//---
| |
StudyNet.Save(FileName + ".nnw", true);
| |
if(!!Rewards)
| |
delete Rewards;
| |
if(!!pstate1)
| |
delete pstate1;
| |
if(!!pstate2)
| |
delete pstate2;
| |
}
| |
//+------------------------------------------------------------------+
| |
//| Expert tick function |
| |
//+------------------------------------------------------------------+
| |
void OnTick()
| |
{
| |
if(!IsNewBar())
| |
return;
| |
//---
| |
float current_eq = (float)AccountInfoDouble(ACCOUNT_EQUITY);
| |
float current_bl = (float)AccountInfoDouble(ACCOUNT_BALANCE);
| |
if(Equity >= 0 && State1.Total() == (HistoryBars * 12 + 9))
| |
cReplay.AddState(GetPointer(State1), Action, (double)(current_eq + current_bl - Equity - Balance) / 2.0);
| |
Equity = current_eq;
| |
Balance = current_bl;
| |
//---
| |
int bars = CopyRates(Symb.Name(), TimeFrame, iTime(Symb.Name(), TimeFrame, 1), HistoryBars, Rates);
| |
if(!ArraySetAsSeries(Rates, true))
| |
{
| |
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
| |
return;
| |
}
| |
//---
| |
RSI.Refresh();
| |
CCI.Refresh();
| |
ATR.Refresh();
| |
MACD.Refresh();
| |
//---
| |
State1.Clear();
| |
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;
| |
//---
| |
if(!State1.Add((float)Rates[b].close - open) || !State1.Add((float)Rates[b].high - open) || !State1.Add((float)Rates[b].low - open) || !State1.Add((float)Rates[b].tick_volume / 1000.0f) ||
| |
!State1.Add(sTime.hour) || !State1.Add(sTime.day_of_week) || !State1.Add(sTime.mon) ||
| |
!State1.Add(rsi) || !State1.Add(cci) || !State1.Add(atr) || !State1.Add(macd) || !State1.Add(sign))
| |
{
| |
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
| |
break;
| |
}
| |
}
| |
//---
| |
if(!State1.Add((float)AccountInfoDouble(ACCOUNT_BALANCE)) || !State1.Add((float)AccountInfoDouble(ACCOUNT_EQUITY)) ||
| |
!State1.Add((float)AccountInfoDouble(ACCOUNT_MARGIN_FREE)) || !State1.Add((float)AccountInfoDouble(ACCOUNT_MARGIN_LEVEL)) ||
| |
!State1.Add((float)AccountInfoDouble(ACCOUNT_PROFIT)))
| |
return;
| |
//---
| |
double buy_value = 0, sell_value = 0, buy_profit = 0, sell_profit = 0;
| |
int total = PositionsTotal();
| |
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);
| |
return;
| |
}
| |
}
| |
if(!State1.Add((float)buy_value) || !State1.Add((float)sell_value) || !State1.Add((float)buy_profit) || !State1.Add((float)sell_profit))
| |
return;
| |
if(!StudyNet.feedForward(GetPointer(State1), 12, true))
| |
return;
| |
Action = StudyNet.getAction();
| |
switch(Action)
| |
{
| |
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;
| |
}
| |
MqlDateTime time;
| |
TimeCurrent(time);
| |
if(time.hour == 0)
| |
{
| |
int repl_action;
| |
double repl_reward;
| |
for(int i = 0; i < 10; i++)
| |
{
| |
if(cReplay.GetRendomState(pstate1, repl_action, repl_reward, pstate2))
| |
return;
| |
if(!StudyNet.feedForward(pstate1, 12, true))
| |
return;
| |
StudyNet.getResults(Rewards);
| |
if(!Rewards.Update(repl_action, (float)repl_reward))
| |
return;
| |
if(!StudyNet.backProp(GetPointer(Rewards), DiscountFactor, pstate2, 12, true))
| |
return;
| |
}
| |
}
| |
//---
| |
}
| |
//+------------------------------------------------------------------+
| |
//| |
| |
//+------------------------------------------------------------------+
| |
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 CreateDescriptions(CArrayObj *Description, CArrayObj *Forward)
| |
{
| |
//---
| |
if(!Description)
| |
{
| |
Description = new CArrayObj();
| |
if(!Description)
| |
return false;
| |
}
| |
//---
| |
if(!Forward)
| |
{
| |
Forward = new CArrayObj();
| |
if(!Forward)
| |
return false;
| |
}
| |
//--- Model
| |
Description.Clear();
| |
CLayerDescription *descr;
| |
//--- Input layer
| |
if(!(descr = new CLayerDescription()))
| |
return false;
| |
descr.type = defNeuronBaseOCL;
| |
int prev_count = descr.count = (int)(HistoryBars * 12 + 9);
| |
descr.window = 0;
| |
descr.activation = None;
| |
descr.optimization = ADAM;
| |
if(!Description.Add(descr))
| |
{
| |
delete descr;
| |
return false;
| |
}
| |
//--- layer 1
| |
if(!(descr = new CLayerDescription()))
| |
return false;
| |
descr.type = defNeuronBatchNormOCL;
| |
descr.count = prev_count;
| |
descr.batch = 100;
| |
descr.activation = None;
| |
descr.optimization = ADAM;
| |
if(!Description.Add(descr))
| |
{
| |
delete descr;
| |
return false;
| |
}
| |
//--- layer 2
| |
if(!(descr = new CLayerDescription()))
| |
return false;
| |
descr.type = defNeuronConvOCL;
| |
descr.count = prev_count / 3 - 1 ;
| |
descr.window = 6;
| |
descr.step = 3;
| |
descr.window_out = 6;
| |
descr.activation = LReLU;
| |
descr.optimization = ADAM;
| |
if(!Description.Add(descr))
| |
{
| |
delete descr;
| |
return false;
| |
}
| |
//--- layer 3
| |
if(!(descr = new CLayerDescription()))
| |
return false;
| |
descr.type = defNeuronBaseOCL;
| |
descr.count = 100;
| |
descr.optimization = ADAM;
| |
descr.activation = SIGMOID;
| |
if(!Description.Add(descr))
| |
{
| |
delete descr;
| |
return false;
| |
}
| |
//--- layer 4
| |
if(!(descr = new CLayerDescription()))
| |
return false;
| |
descr.type = defNeuronConvOCL;
| |
descr.count = 49;
| |
descr.window = 4;
| |
descr.step = 2;
| |
descr.window_out = 8;
| |
descr.activation = LReLU;
| |
descr.optimization = ADAM;
| |
if(!Description.Add(descr))
| |
{
| |
delete descr;
| |
return false;
| |
}
| |
//--- layer 5
| |
if(!(descr = new CLayerDescription()))
| |
return false;
| |
descr.type = defNeuronBaseOCL;
| |
descr.count = 100;
| |
descr.optimization = ADAM;
| |
descr.activation = TANH;
| |
if(!Description.Add(descr))
| |
{
| |
delete descr;
| |
return false;
| |
}
| |
//--- layer 6
| |
if(!(descr = new CLayerDescription()))
| |
return false;
| |
descr.type = defNeuronMLMHSparseAttentionOCL;
| |
descr.count = 20;
| |
descr.window = 5;
| |
descr.step = 4;
| |
descr.window_out = 8;
| |
descr.layers = 2;
| |
descr.probability = 0.3f;
| |
descr.optimization = ADAM;
| |
if(!Description.Add(descr))
| |
{
| |
delete descr;
| |
return false;
| |
}
| |
//--- layer 7
| |
if(!(descr = new CLayerDescription()))
| |
return false;
| |
descr.type = defNeuronFQF;
| |
descr.count = 4;
| |
descr.window_out = 32;
| |
descr.optimization = ADAM;
| |
if(!Description.Add(descr))
| |
{
| |
delete descr;
| |
return false;
| |
}
| |
//--- Forward
| |
Forward.Clear();
| |
//--- Input layer
| |
if(!(descr = new CLayerDescription()))
| |
return false;
| |
descr.type = defNeuronBaseOCL;
| |
descr.count = 100;
| |
descr.window = 0;
| |
descr.activation = None;
| |
descr.optimization = ADAM;
| |
if(!Forward.Add(descr))
| |
{
| |
delete descr;
| |
return false;
| |
}
| |
//--- layer 1
| |
if(!(descr = new CLayerDescription()))
| |
return false;
| |
descr.type = defNeuronBaseOCL;
| |
descr.count = 1000;
| |
descr.activation = TANH;
| |
descr.optimization = ADAM;
| |
if(!Forward.Add(descr))
| |
{
| |
delete descr;
| |
return false;
| |
}
| |
//--- layer 2
| |
if(!(descr = new CLayerDescription()))
| |
return false;
| |
descr.type = defNeuronMultiModels;
| |
descr.count = 400;
| |
descr.window = 200;
| |
descr.step = 5;
| |
descr.activation = TANH;
| |
descr.optimization = ADAM;
| |
if(!Forward.Add(descr))
| |
{
| |
delete descr;
| |
return false;
| |
}
| |
//---
| |
return true;
| |
}
| |
//+------------------------------------------------------------------+
|