mql5/Include/NeuralNet.mqh

//+------------------------------------------------------------------+
//|                                                    NeuralNet.mqh |
//|                                    Copyright 2025, Google Gemini |
//|                                             https://www.mql5.com |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, Google Gemini"
#property link      "https://www.google.com"
#property strict

#include <Arrays\ArrayObj.mqh>

//+------------------------------------------------------------------+
//| Neuron Connection Structure                                      |
//+------------------------------------------------------------------+
struct SConnection
{
   double weight;
   double deltaWeight;
};

//+------------------------------------------------------------------+
//| Neuron Class                                                     |
//+------------------------------------------------------------------+
class CNeuron : public CObject
{
   public:
      double m_outputVal;
      double m_gradient;
      SConnection m_outputWeights[];
      int    m_myIndex;

      CNeuron(int numOutputs, int myIndex);
      ~CNeuron() {}

      void   SetOutputVal(double val) { m_outputVal = val; }
      double GetOutputVal() const { return m_outputVal; }
      void   FeedForward(CArrayObj *prevLayer);
      void   CalcOutputGradients(double targetVal);
      void   CalcHiddenGradients(CArrayObj *nextLayer);
      void   UpdateInputWeights(CArrayObj *prevLayer);
      
      // Serialization
      void   SaveWeights(int fileHandle);
      void   LoadWeights(int fileHandle, int numOutputs);
      void   Jitter(double magnitude);

   private:
      static double TransferFunction(double x);
      static double TransferFunctionDerivative(double x);
      
   public:
      // Hyperparameters (per-neuron, managed by CNeuralNet)
      double m_eta;   
      double m_alpha; 
      double m_lambda;
};

//--- Constructor
CNeuron::CNeuron(int numOutputs, int myIndex)
{
   ArrayResize(m_outputWeights, numOutputs);
   m_myIndex = myIndex;
   m_eta = 0.15;
   m_alpha = 0.5;
   m_lambda = 0.001;
   for(int c = 0; c < numOutputs; ++c) {
      m_outputWeights[c].weight = (MathRand() / 32767.0) - 0.5; // Random -0.5 .. 0.5
      m_outputWeights[c].deltaWeight = 0;
   }
}

//--- Activation Function: Tanh
double CNeuron::TransferFunction(double x)
{
   // Tanh - output range [-1.0..1.0]
   return tanh(x);
}

//--- Derivative for Backprop
double CNeuron::TransferFunctionDerivative(double x)
{
   // tanh derivative approximation: 1.0 - x*x
   return 1.0 - x * x;
}

//--- Feed Forward
void CNeuron::FeedForward(CArrayObj *prevLayer)
{
   double sum = 0.0;
   
   // Sum the previous layer's outputs (inputs to this neuron)
   // Include logic for bias neuron if needed (usually last neuron in layer)
   for(int n = 0; n < prevLayer.Total(); ++n) {
      CNeuron *neuron = (CNeuron*)prevLayer.At(n);
      sum += neuron.GetOutputVal() * neuron.m_outputWeights[m_myIndex].weight;
   }
   
   m_outputVal = TransferFunction(sum);
}

//--- Calculate Gradients for Output Layer
void CNeuron::CalcOutputGradients(double targetVal)
{
   double delta = targetVal - m_outputVal;
   m_gradient = delta * TransferFunctionDerivative(m_outputVal);
}

//--- Calculate Gradients for Hidden Layers
void CNeuron::CalcHiddenGradients(CArrayObj *nextLayer)
{
   double dow = 0.0; // Sum of derivative of weights
   
   // Loop through neurons in next layer (excluding bias)
   for(int n = 0; n < nextLayer.Total() - 1; ++n) {
      CNeuron *neuron = (CNeuron*)nextLayer.At(n);
      dow += m_outputWeights[n].weight * neuron.m_gradient;
   }
   
   m_gradient = dow * TransferFunctionDerivative(m_outputVal);
}

//--- Update Weights
void CNeuron::UpdateInputWeights(CArrayObj *prevLayer)
{
   // The inputs to THIS neuron are the outputs of the PREVIOUS layer
   for(int n = 0; n < prevLayer.Total(); ++n) {
      CNeuron *neuron = (CNeuron*)prevLayer.At(n);
      double oldDeltaWeight = neuron.m_outputWeights[m_myIndex].deltaWeight;
      
      double newDeltaWeight = 
         // Individual input, magnified by the gradient and train rate
         m_eta * neuron.GetOutputVal() * m_gradient
         // Also add momentum = a fraction of the previous delta weight
         + m_alpha * oldDeltaWeight;
         
      // Apply L2 Regularization (Weight Decay)
      // The weight itself is decayed by a factor of (1 - lambda) before the newDeltaWeight is added.
      neuron.m_outputWeights[m_myIndex].deltaWeight = newDeltaWeight;
      neuron.m_outputWeights[m_myIndex].weight = (neuron.m_outputWeights[m_myIndex].weight * (1.0 - m_lambda)) + newDeltaWeight;
   }
}

//--- Save Weights
void CNeuron::SaveWeights(int fileHandle)
{
   // Save all output weights from this neuron
   for(int c = 0; c < ArraySize(m_outputWeights); ++c) {
      FileWriteDouble(fileHandle, m_outputWeights[c].weight);
   }
}

//--- Load Weights
void CNeuron::LoadWeights(int fileHandle, int numOutputs)
{
    ArrayResize(m_outputWeights, numOutputs);
    for(int c = 0; c < numOutputs; ++c) {
       m_outputWeights[c].weight = FileReadDouble(fileHandle);
       m_outputWeights[c].deltaWeight = 0;
    }
}

//--- Add noise to weights
void CNeuron::Jitter(double magnitude)
{
   for(int c = 0; c < ArraySize(m_outputWeights); ++c) {
      m_outputWeights[c].weight += (MathRand() / 32767.0 - 0.5) * magnitude;
   }
}


//+------------------------------------------------------------------+
//| Neural Network Class                                             |
//+------------------------------------------------------------------+
class CNeuralNet
{
   private:
      // m_layers[layerNum][neuronNum]
      // We use ArrayObj to hold Neurons for each layer
      CArrayObj   *m_layers[]; 
      double      m_error;
      double      m_recentAverageError;
      double      m_recentAverageSmoothingFactor;

   public:
      CNeuralNet(const int &topology[]);
      ~CNeuralNet();

      void FeedForward(const double &inputVals[]);
      void BackProp(const double &targetVals[]);
      void GetResults(double &resultVals[]) const;
      double GetRecentAverageError(void) const { return m_recentAverageError; }
      
      bool Save(string fileName, int flags=0);
      bool Save(int handle);
      bool Load(string fileName, const int &topology[], int flags=0);
      bool Load(int handle, const int &topology[]);
      
      // Hyperparameters
      double eta;    // Learning Rate
      double alpha;  // Momentum
      double lambda; // L2 Regularization
      
      void SetLearningRate(double rate);
      void SetAlpha(double a);
      void SetLambda(double l);
      void Jitter(double magnitude);
};

//--- Constructor
CNeuralNet::CNeuralNet(const int &topology[])
{
   int numLayers = ArraySize(topology);
   ArrayResize(m_layers, numLayers);
   
   m_recentAverageSmoothingFactor = 100.0; // simple moving average over approx 100 samples
   eta = 0.15;
   alpha = 0.5;
   lambda = 0.001;
   
   for(int layerNum = 0; layerNum < numLayers; ++layerNum) {
      // Create new layer
      m_layers[layerNum] = new CArrayObj();
      
      // Number of outputs for neurons in this layer 
      // is the number of neurons in the next layer
      // (Exception: Output layer has 0 outputs)
      int numOutputs = (layerNum == numLayers - 1) ? 0 : topology[layerNum + 1];
      
      // We add a bias neuron to every layer -> topology[layerNum] + 1
      // For Output layer, bias neuron is technically not needed but harmless, 
      // however usually we iterate <= Total() - 1 to ignore bias output. 
      // Let's add <= topology[layerNum] for neurons, plus one for BIAS
      for(int neuronNum = 0; neuronNum <= topology[layerNum]; ++neuronNum) {
         CNeuron *neuron = new CNeuron(numOutputs, neuronNum);
         m_layers[layerNum].Add(neuron);
         // Force bias node's output to be 1.0 (it's the last one)
         if(neuronNum == topology[layerNum])
             neuron.SetOutputVal(1.0);
      }
   }
   
   // Propagate initial hyperparameters to all neurons
   SetLearningRate(eta);
   SetAlpha(alpha);
   SetLambda(lambda);
}

//--- Destructor
CNeuralNet::~CNeuralNet()
{
   for(int i = 0; i < ArraySize(m_layers); ++i) {
      if(CheckPointer(m_layers[i]) != POINTER_INVALID) {
         delete m_layers[i];
      }
   }
}


//--- Feed Forward
void CNeuralNet::FeedForward(const double &inputVals[])
{
   // Check inputs match input layer size (minus bias)
   CArrayObj *inputLayer = m_layers[0];
   if(ArraySize(inputVals) != inputLayer.Total() - 1) {
      Print("Error: NeuralNet Input Input size mismatch.");
      return;
   }
   
   // Assign (latch) the input values into the input neurons
   for(int i = 0; i < ArraySize(inputVals); ++i) {
       CNeuron *n = (CNeuron*)inputLayer.At(i);
       n.SetOutputVal(inputVals[i]);
   }
   
   // Forward propagate
   for(int layerNum = 1; layerNum < ArraySize(m_layers); ++layerNum) {
      CArrayObj *prevLayer = m_layers[layerNum - 1];
      CArrayObj *currLayer = m_layers[layerNum];
      
      // For each neuron in current layer (excluding bias)
      for(int n = 0; n < currLayer.Total() - 1; ++n) {
         CNeuron *neuron = (CNeuron*)currLayer.At(n);
         neuron.FeedForward(prevLayer);
      }
   }
}


//--- Back Propagation
void CNeuralNet::BackProp(const double &targetVals[])
{
   // Calculate overall net error (RMS of output neuron errors)
   CArrayObj *outputLayer = m_layers[ArraySize(m_layers) - 1];
   m_error = 0.0;
   
   for(int n = 0; n < outputLayer.Total() - 1; ++n) {
      CNeuron *neuron = (CNeuron*)outputLayer.At(n);
      double delta = targetVals[n] - neuron.GetOutputVal();
      m_error += delta * delta;
   }
   m_error /= (outputLayer.Total() - 1); // Get average error squared
   m_error = sqrt(m_error); // RMS
   
   // Implement a recent average measurement
   m_recentAverageError = 
      (m_recentAverageError * m_recentAverageSmoothingFactor + m_error)
      / (m_recentAverageSmoothingFactor + 1.0);
      
   // Calculate Output Layer Gradients
   for(int n = 0; n < outputLayer.Total() - 1; ++n) {
      CNeuron *neuron = (CNeuron*)outputLayer.At(n);
      neuron.CalcOutputGradients(targetVals[n]);
   }
   
   // Calculate Gradients on Hidden Layers
   for(int layerNum = ArraySize(m_layers) - 2; layerNum > 0; --layerNum) {
      CArrayObj *hiddenLayer = m_layers[layerNum];
      CArrayObj *nextLayer = m_layers[layerNum + 1];
      
      for(int n = 0; n < hiddenLayer.Total(); ++n) {
         CNeuron *neuron = (CNeuron*)hiddenLayer.At(n);
         neuron.CalcHiddenGradients(nextLayer);
      }
   }
   
   // For all layers from outputs to first hidden layer,
   // update connection weights
   for(int layerNum = ArraySize(m_layers) - 1; layerNum > 0; --layerNum) {
      CArrayObj *layer = m_layers[layerNum];
      CArrayObj *prevLayer = m_layers[layerNum - 1];
      
      for(int n = 0; n < layer.Total() - 1; ++n) {
         CNeuron *neuron = (CNeuron*)layer.At(n);
         neuron.UpdateInputWeights(prevLayer);
      }
   }
}

//--- Get Results
void CNeuralNet::GetResults(double &resultVals[]) const
{
   CArrayObj *outputLayer = m_layers[ArraySize(m_layers) - 1];
   ArrayResize(resultVals, outputLayer.Total() - 1);
   
   for(int n = 0; n < outputLayer.Total() - 1; ++n) {
      CNeuron *neuron = (CNeuron*)outputLayer.At(n);
      resultVals[n] = neuron.GetOutputVal();
   }
}

//--- Save to file (Filename)
bool CNeuralNet::Save(string fileName, int flags=0)
{
   int handle = FileOpen(fileName, FILE_WRITE|FILE_BIN|flags);
   if(handle == INVALID_HANDLE) {
      Print("Failed to save NeuralNet to ", fileName);
      return false;
   }
   bool res = Save(handle);
   FileClose(handle);
   return res;
}

//--- Save to file (Handle)
bool CNeuralNet::Save(int handle)
{
   if(handle == INVALID_HANDLE) return false;
   
   for(int layerNum = 0; layerNum < ArraySize(m_layers) - 1; ++layerNum) {
      CArrayObj *layer = m_layers[layerNum];
       for(int n = 0; n < layer.Total(); ++n) {
          CNeuron *neuron = (CNeuron*)layer.At(n);
          neuron.SaveWeights(handle);
       }
   }
   return true;
}

//--- Load from file (Filename)
bool CNeuralNet::Load(string fileName, const int &topology[], int flags=0)
{
   if(ArraySize(topology) != ArraySize(m_layers)) {
      PrintFormat("Error: Topology size mismatch. Expected %d layers, but Topology has %d layers.", ArraySize(m_layers), ArraySize(topology));
      return false;
   }

   int handle = FileOpen(fileName, FILE_READ|FILE_BIN|flags);
   if(handle == INVALID_HANDLE) {
      PrintFormat("Error: Failed to open file '%s'. Error Code: %d", fileName, GetLastError());
      return false;
   }
   
   bool res = Load(handle, topology);
   FileClose(handle);
   return res;
}

//--- Load from file (Handle)
bool CNeuralNet::Load(int handle, const int &topology[])
{
   if(handle == INVALID_HANDLE) return false;
   
   for(int layerNum = 0; layerNum < ArraySize(m_layers) - 1; ++layerNum) {
      CArrayObj *layer = m_layers[layerNum];
      // Note: Use topology[layerNum+1] for numOutputs
       for(int n = 0; n < layer.Total(); ++n) {
          CNeuron *neuron = (CNeuron*)layer.At(n);
          neuron.LoadWeights(handle, topology[layerNum+1]); 
       }
   }
   return true;
}

//--- Set Learning Rate for all neurons
void CNeuralNet::SetLearningRate(double rate)
{
   eta = rate;
   for(int i=0; i<ArraySize(m_layers); i++) {
      for(int j=0; j<m_layers[i].Total(); j++) {
         CNeuron *neuron = (CNeuron*)m_layers[i].At(j);
         neuron.m_eta = rate;
      }
   }
}

//--- Set Alpha (Momentum) for all neurons
void CNeuralNet::SetAlpha(double a)
{
   alpha = a;
   for(int i=0; i<ArraySize(m_layers); i++) {
      for(int j=0; j<m_layers[i].Total(); j++) {
         CNeuron *neuron = (CNeuron*)m_layers[i].At(j);
         neuron.m_alpha = a;
      }
   }
}

//--- Set Lambda (Regularization) for all neurons
void CNeuralNet::SetLambda(double l)
{
   lambda = l;
   for(int i=0; i<ArraySize(m_layers); i++) {
      for(int j=0; j<m_layers[i].Total(); j++) {
         CNeuron *neuron = (CNeuron*)m_layers[i].At(j);
         neuron.m_lambda = l;
      }
   }
}

//--- Add noise to all weights in the network
void CNeuralNet::Jitter(double magnitude)
{
   for(int layerNum = 0; layerNum < ArraySize(m_layers) - 1; ++layerNum) {
      CArrayObj *layer = m_layers[layerNum];
      for(int n = 0; n < layer.Total(); ++n) {
         CNeuron *neuron = (CNeuron*)layer.At(n);
         neuron.Jitter(magnitude);
      }
   }
}