mql5/Scripts/TrainPriceActionNN.mq5

//+------------------------------------------------------------------+
//|                                           TrainPriceActionNN.mq5 |
//|                                    Copyright 2025, Google Gemini |
//|                                             https://www.mql5.com |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, Google Gemini"
#property link      "https://www.google.com"
#property version   "3.00"
#property script_show_inputs

#include <NeuralNet.mqh>

input int      InpEpochs      = 500;
input int      InpLookback      = 144;
input string   InpHiddenLayerConfig = "256,128,64"; 
input double   InpTrainingRate = 0.001;
input double      InpTrainingDecay = 0.98; 
input double   InpLambda      = 0.0001;     // L2 Regularization (Weight Decay)
input double   InpJitter      = 0.05;       // Nudge magnitude when stuck
input int      InpMaxBars     = 5000000;
input int      InpPredictionHorizon = 144; 
// Session Times (Broker Server Hour)
input int      InpAsianStart  = 0;
input int      InpAsianEnd    = 8;
input int      InpLondonStart = 8;
input int      InpLondonEnd   = 16;
input int      InpNYStart     = 13;
input int      InpNYEnd       = 22;

CNeuralNet *Net;
int GlobalTopology[];
int handleATR_D1, handleEMA50, handleEMA200;

struct Sample {
   double inputs[];
   double target;
};

struct DaySession {
   double aH, aL;
   double lH, lL;
   double nH, nL;
   bool   aValid, lValid, nValid;
};

// Map: DayIndex (Time/86400) -> Stats
// Since time is large, we map [0..NumDays].
// We need 'StartDayTime' for index 0.
DaySession sessions[];
datetime   baseTime;

void ComputeSessions(const MqlRates &rates[], int total)
{
    // 1. Find Date Range
    datetime first = rates[total-1].time; // Oldest
    datetime last  = rates[0].time;       // Newest
    
    // Align to Day Start
    first = first - (first % 86400); 
    baseTime = first;
    
    int numDays = (int)((last - first) / 86400) + 2; // +buffer
    ArrayResize(sessions, numDays);
    
    // Initialize
    for(int k=0; k<numDays; k++) {
       sessions[k].aH = -1; sessions[k].aL = 999999;
       sessions[k].lH = -1; sessions[k].lL = 999999;
       sessions[k].nH = -1; sessions[k].nL = 999999;
       sessions[k].aValid=false; sessions[k].lValid=false; sessions[k].nValid=false;
    }
    
    Print("Pre-calculating sessions for ", numDays, " days...");
    
    // Scan all bars
    for(int i=0; i<total; i++) {
        datetime t = rates[i].time;
        int dayIdx = (int)((t - baseTime) / 86400);
        if(dayIdx < 0 || dayIdx >= numDays) continue;
        
        MqlDateTime dt; TimeToStruct(t, dt);
        int h = dt.hour;
        double H = rates[i].high;
        double L = rates[i].low;
        
        // Update stats for that day
        // Asian
        if(h >= InpAsianStart && h < InpAsianEnd) {
           if(H > sessions[dayIdx].aH || sessions[dayIdx].aH == -1) sessions[dayIdx].aH = H;
           if(L < sessions[dayIdx].aL) sessions[dayIdx].aL = L;
           sessions[dayIdx].aValid = true;
        }
        // London
        if(h >= InpLondonStart && h < InpLondonEnd) {
           if(H > sessions[dayIdx].lH || sessions[dayIdx].lH == -1) sessions[dayIdx].lH = H;
           if(L < sessions[dayIdx].lL) sessions[dayIdx].lL = L;
           sessions[dayIdx].lValid = true;
        }
        // NY
        if(h >= InpNYStart && h < InpNYEnd) {
           if(H > sessions[dayIdx].nH || sessions[dayIdx].nH == -1) sessions[dayIdx].nH = H;
           if(L < sessions[dayIdx].nL) sessions[dayIdx].nL = L;
           sessions[dayIdx].nValid = true;
        }
    }
}

void OnStart()
{
   Print("--- Advanced Training: v3.0 Optimized ---");
   Print(  "InpEpochs: ", InpEpochs,
               "\nInpHiddenLayerConfig: ", InpHiddenLayerConfig, 
               "\nInpTrainingRate: ", InpTrainingRate,
               "\nInpTrainingDecay: ", InpTrainingDecay,
               "\nInpLookback: "  ,InpLookback, 
               "\nInpMaxBars: " , InpMaxBars,
               "\nInpPredictionHorizon: " , InpPredictionHorizon); 

   
   handleATR_D1 = iATR(_Symbol, PERIOD_D1, 14);
   handleEMA50  = iMA(_Symbol, PERIOD_H1, 50, 0, MODE_EMA, PRICE_CLOSE);
   handleEMA200 = iMA(_Symbol, PERIOD_H1, 200, 0, MODE_EMA, PRICE_CLOSE);
   
   MqlRates rates[];
   ArraySetAsSeries(rates, true);
   int needed = InpMaxBars + InpPredictionHorizon + InpLookback + 5000; 
   int copied = CopyRates(_Symbol, PERIOD_H1, 0, needed, rates);
   if(copied < 5000) return;
   
   double ema50[], ema200[];
   ArraySetAsSeries(ema50, true);
   ArraySetAsSeries(ema200, true);
   CopyBuffer(handleEMA50, 0,0,copied, ema50);
   CopyBuffer(handleEMA200, 0,0,copied, ema200);
   
   // --- Log Training Data Info ---
   datetime startT = rates[copied-1].time;
   datetime endT   = rates[0].time;
   double totalDays = (double)(endT - startT) / 86400.0;
   
   Print("--------------------------------------------------");
   PrintFormat("Training Data Loaded: %d Bars", copied);
   Print("Date Range: " + TimeToString(startT) + " to " + TimeToString(endT));
   PrintFormat("Total Duration: %.2f Days", totalDays);
   Print("--------------------------------------------------");
   Print("Inputs Reference:");
   PrintFormat("MaxBars: %d", InpMaxBars);
   PrintFormat("Prediction Horizon: %d bars", InpPredictionHorizon);
   PrintFormat("Lookback: %d bars", InpLookback);
   PrintFormat("Hidden Layers: %s", InpHiddenLayerConfig);
   PrintFormat("Training Rate: %.4f (Decay: %.3f)", InpTrainingRate, InpTrainingDecay);
   Print("--------------------------------------------------");
   
   // Precalc Sessions
   ComputeSessions(rates, copied);
   
   int featuresPerBar = 17;
   int inputSize = InpLookback * featuresPerBar;
   
   string result[]; 
   int hiddenLayerCount = StringSplit(InpHiddenLayerConfig, ',', result);
   ArrayResize(GlobalTopology, 1 + hiddenLayerCount + 1);
   GlobalTopology[0] = inputSize; 
   for(int i=0; i<hiddenLayerCount; i++) GlobalTopology[i+1] = (int)StringToInteger(result[i]);
   GlobalTopology[ArraySize(GlobalTopology)-1] = 1; 

   Net = new CNeuralNet(GlobalTopology, ACT_LEAKY_RELU);
   Net.SetLearningRate(InpTrainingRate);
   Net.SetLambda(InpLambda);
   
   Sample samples[];
   int pos=0, neg=0, flat=0;
   
   int startIdx = InpPredictionHorizon; 
   int endIdx = copied - InpLookback - 1; 
   if(endIdx - startIdx > InpMaxBars) endIdx = startIdx + InpMaxBars;
   
   for(int i = startIdx; i <= endIdx; i++)
   {
       // Stride: Train every 20 minutes (Minute 0, 20, 40)
       MqlDateTime dt; TimeToStruct(rates[i].time, dt);
       //if(dt.min % 20 != 0) continue; 

       // -- D1 ATR --
       double d1ATR_Arr[1];
       if(CopyBuffer(handleATR_D1, 0, rates[i].time, 1, d1ATR_Arr)<=0) continue;
       double dailyATR = d1ATR_Arr[0];
       
       double targetTP = 1.0 * dailyATR;
       double targetSL = 0.5 * dailyATR;
       double entryPrice = rates[i].close;
       double label = 0;
       
       int firstBuyTP = 99999, firstBuySL = 99999;
       int firstSellTP = 99999, firstSellSL = 99999;
       
       for(int k=1; k<=InpPredictionHorizon; k++) {
          int f = i-k; if(f<0) break;
          double h = rates[f].high;
          double l = rates[f].low;
          
          if(firstBuyTP==99999 && h >= entryPrice + targetTP) firstBuyTP = k;
          if(firstBuySL==99999 && l <= entryPrice - targetSL) firstBuySL = k;
          
          if(firstSellTP==99999 && l <= entryPrice - targetTP) firstSellTP = k;
          if(firstSellSL==99999 && h >= entryPrice + targetSL) firstSellSL = k;
       }
       
       if(firstBuyTP < firstBuySL) label = 1.0;       // Buy Win
       else if(firstSellTP < firstSellSL) label = -1.0; // Sell Win
       else label = 0.0;
       
       // -- Features --
       double inputs[];
       ArrayResize(inputs, inputSize);
       
       for(int k=0; k<InpLookback; k++) {
           int p = i + k;
           if(p >= copied) break;
           int off = k * featuresPerBar;
           
           double o = rates[p].open;
           double c = rates[p].close;
           double h = rates[p].high;
           double l = rates[p].low;
           double pH = rates[p+1].high;
           double pL = rates[p+1].low;
           
           inputs[off+0] = (c - o)/o * 100.0;
           inputs[off+1] = (h - o)/o * 100.0;
           inputs[off+2] = (l - o)/o * 100.0;
           inputs[off+3] = ((h - pH)/pH) * 100.0;
           inputs[off+4] = ((l - pL)/pL) * 100.0;
           inputs[off+5] = (rates[p].tick_volume - rates[p+1].tick_volume) / (rates[p+1].tick_volume + 1.0) * 10.0;  // Completed Bar Volume difference normalized
           inputs[off+6] = ((c - ema50[p])/ema50[p]) * 100.0;
           inputs[off+7] = ((c - ema200[p])/ema200[p]) * 100.0;
           
           // -- Optimized Session Lookup --
           datetime pTime = rates[p].time;
           int dayIdx = (int)((pTime - baseTime) / 86400);
           MqlDateTime pDt; TimeToStruct(pTime, pDt);
           int pHour = pDt.hour;
           
           // Asian: If pTime >= AsianEnd, use Today. Else Yesterday.
           double aH, aL;
           int aIdx = (pHour >= InpAsianEnd) ? dayIdx : dayIdx - 1;
           if(aIdx>=0 && sessions[aIdx].aValid) { aH=sessions[aIdx].aH; aL=sessions[aIdx].aL; }
           else { aH=rates[p].high; aL=rates[p].low; } // Fallback
           
           // London
           double lH, lL;
           int lIdx = (pHour >= InpLondonEnd) ? dayIdx : dayIdx - 1;
           if(lIdx>=0 && sessions[lIdx].lValid) { lH=sessions[lIdx].lH; lL=sessions[lIdx].lL; }
           else { lH=rates[p].high; lL=rates[p].low; }
           
           // NY
           double nH, nL;
           int nIdx = (pHour >= InpNYEnd) ? dayIdx : dayIdx - 1;
           if(nIdx>=0 && sessions[nIdx].nValid) { nH=sessions[nIdx].nH; nL=sessions[nIdx].nL; }
           else { nH=rates[p].high; nL=rates[p].low; }
           
           inputs[off+8] = ((c - aH)/aH) * 100.0;
           inputs[off+9] = ((c - aL)/aH) * 100.0; 
           inputs[off+10] = ((c - lH)/lH) * 100.0;
           inputs[off+11] = ((c - lL)/lH) * 100.0;
           inputs[off+12] = ((c - nH)/nH) * 100.0;
           inputs[off+13] = ((c - nL)/nH) * 100.0;
           
           inputs[off+14] = (double)pDt.day_of_week / 7.0;
           inputs[off+15] = (double)pDt.hour / 24.0;
           inputs[off+16] = (double)pDt.min / 60.0;
       }
       
       Sample s; 
       s.target = label;
       ArrayResize(s.inputs, inputSize);
       ArrayCopy(s.inputs, inputs);
       
       int n=ArraySize(samples);
       ArrayResize(samples, n+1);
       samples[n] = s;
       
       if(label > 0.1) pos++; else if(label < -0.1) neg++; else flat++;
   }
   
   PrintFormat("Collected: Pos=%d Neg=%d Flat=%d", pos, neg, flat);
   
   // Balance
   int targetCount = (pos + neg) / 2;
   Sample balanced[];
   for(int k=0; k<ArraySize(samples); k++) {
      if(samples[k].target == 0) {
         if(MathRand()%100 < 100.0 * targetCount/flat) {
            int b=ArraySize(balanced); ArrayResize(balanced, b+1);
            balanced[b]=samples[k];
         }
      } else {
         int b=ArraySize(balanced); ArrayResize(balanced, b+1);
         balanced[b]=samples[k];
      }
   }
   PrintFormat("Balanced to %d", ArraySize(balanced));
   
   // Train
   int total = ArraySize(balanced);
   int nTrain = (int)(total * 0.8);
   int indices[]; ArrayResize(indices, nTrain);
   for(int k=0; k<nTrain; k++) indices[k]=k;
   
   double bestValAcc = 0;
   double lastValAcc = 0;
   int stuckCount = 0;
   
   for(int e=0; e<InpEpochs; e++) {
       // Shuffle training indices
       for(int k=nTrain-1; k>0; k--) { int r=MathRand()%(k+1); int t=indices[k]; indices[k]=indices[r]; indices[r]=t; }
       
       for(int k=0; k<nTrain; k++) {
          double t[1]; t[0]=balanced[indices[k]].target;
          Net.FeedForward(balanced[indices[k]].inputs);
          Net.BackProp(t);
       }
       
       // Calculate Validation Accuracy
       int corr=0, tot=0;
       for(int v=nTrain; v<total; v++) {
          Net.FeedForward(balanced[v].inputs);
          double res[]; Net.GetResults(res);
          if(MathAbs(balanced[v].target)>0.1) {
             tot++;
             if(balanced[v].target * res[0] > 0) corr++;
          }
       }
       double valAcc = (tot>0)?(double)corr/tot*100:0;
       
       if(e%10==0 || e==InpEpochs-1) {
          PrintFormat("Epoch %d Val: %.1f%% (Best: %.1f%%) - LR: %.6f", e, valAcc, bestValAcc, Net.eta);
       }
       
      // Handle "Best Model" Persistence
      if(valAcc > bestValAcc + 0.05) {
         bestValAcc = valAcc;
         SaveModelWithHeader("PriceActionNN_v3.bin");
         PrintFormat("--- NEW BEST MODEL SAVED! Accuracy: %.2f%%", bestValAcc);
         stuckCount = 0;
      } else {
         stuckCount++;
      }
      
      // If no improvement for 30 epochs relative to current state, NUDGE
      if(stuckCount >= 30 && InpJitter > 0) {
         PrintFormat("STUCK DETECTED! (Current: %.2f%% stayed flat). Nudging weights...", valAcc);
         Net.Jitter(InpJitter);
         stuckCount = 0;
         Net.SetLearningRate(Net.eta * 1.5);
      }
      
      Net.SetLearningRate(Net.eta * InpTrainingDecay);
   }
   
   string fullPath = TerminalInfoString(TERMINAL_COMMONDATA_PATH) + "\\Files\\PriceActionNN_v3.bin";
   Print("--------------------------------------------------");
   Print("TRAINING FINISHED.");
   PrintFormat("Peak Validation Accuracy Achieved: %.2f%%", bestValAcc);
   PrintFormat("Topology Used: %d inputs, %s hidden, 1 output", GlobalTopology[0], InpHiddenLayerConfig);
   Print("Final Best Model at: " + fullPath);
   Print("--------------------------------------------------");
   
   SaveModelWithHeader("PriceActionNN_v3.bin");

   delete Net; Net = NULL;
   IndicatorRelease(handleATR_D1);
   IndicatorRelease(handleEMA50);
   IndicatorRelease(handleEMA200);
}

void OnDeinit(const int reason)
{
   if(CheckPointer(Net) == POINTER_DYNAMIC) {
      Print("Script stopped/interrupted. Saving current weights...");
      SaveModelWithHeader("PriceActionNN_v3.bin");
      delete Net;
      Net = NULL;
   }
   IndicatorRelease(handleATR_D1);
   IndicatorRelease(handleEMA50);
   IndicatorRelease(handleEMA200);
}

void SaveModelWithHeader(string filename)
{
   int handle = FileOpen(filename, FILE_WRITE|FILE_BIN|FILE_COMMON);
   if(handle == INVALID_HANDLE) { Print("Error opening file for write: ", filename); return; }
   
   // Header Data
   int version = 2; // Version 2 supports Metadata
   FileWriteInteger(handle, version);
   FileWriteInteger(handle, InpLookback);
   FileWriteInteger(handle, ArraySize(GlobalTopology));
   for(int i=0; i<ArraySize(GlobalTopology); i++) FileWriteInteger(handle, GlobalTopology[i]);
   
   // Risk Settings
   FileWriteDouble(handle, 1.0); // Target Multiplier
   FileWriteDouble(handle, 0.5); // Stop Multiplier
   
   // Session Times (Only used in Advanced, but kept for consistent header structure or omitted? 
   // PriceActionNN simple version doesn't use Session Inputs as strictly. 
   // Actually, `TrainPriceActionNN` DOES use sessions (Lines 23-28).
   FileWriteInteger(handle, InpAsianStart);
   FileWriteInteger(handle, InpAsianEnd);
   FileWriteInteger(handle, InpLondonStart);
   FileWriteInteger(handle, InpLondonEnd);
   FileWriteInteger(handle, InpNYStart);
   FileWriteInteger(handle, InpNYEnd);
   
   if(Net.Save(handle)) Print("Saved Model + Metadata to ", filename);
   else Print("Error saving weights!");
   
   FileClose(handle);
}