288 lines
25 KiB
MQL5
288 lines
25 KiB
MQL5
//+------------------------------------------------------------------+
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//| Warrior_EA |
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//| AnimateDread |
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//| |
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//+------------------------------------------------------------------+
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#include "..\Expert\ExpertSignalAIBase.mqh"
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// wizard description start
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//+------------------------------------------------------------------+
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//| Description of the class |
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//| Title=Signals of indicator 'Perceptron AI' |
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//| Type=SignalAdvanced |
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//| Name=Perceptron AI |
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//| ShortName=PAI |
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//| Class=CSignalPAI |
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//| Page=signal_pai |
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//+------------------------------------------------------------------+
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// wizard description end
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//+------------------------------------------------------------------+
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//| Class CSignalPAI. |
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//| Purpose: Class of generator of trade signals based on |
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//| the 'Perceptron AI' indicator. |
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//| Is derived from the CExpertSignalCustom class. |
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//+------------------------------------------------------------------+
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class CSignalPAI : public CExpertSignalAIBase
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{
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protected:
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//--- "weights" of market models (0-100)
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int m_pattern_0;
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public:
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CSignalPAI(void);
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~CSignalPAI(void);
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//--- methods of adjusting "weights" of market models
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void Pattern_0(int value) { m_pattern_0 = value; }
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void ApplyPatternWeight(int patternNumber, int weight);
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//--- method of creating the indicator and timeseries
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virtual bool InitIndicators(CIndicators *indicators);
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//--- methods of checking if the market models are formed
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virtual int LongCondition(void);
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virtual int ShortCondition(void);
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//--- event handler
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virtual void OnTickHandler(void);
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virtual void OnChartEventHandler(const int id,
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const long &lparam,
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const double &dparam,
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const string &sparam);
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};
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//+------------------------------------------------------------------+
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//| Constructor |
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//+------------------------------------------------------------------+
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CSignalPAI::CSignalPAI(void)
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:
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m_pattern_0(10)
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{
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ID = "Perceptron";
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m_id = "PAI";
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m_folderPath = eaName + "\\" + "Neural Networks" + "\\" + "State" + "\\" + m_id + "\\";
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m_fileName = m_folderPath + _Symbol + "_" + IntegerToString(_Period);
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m_pattern_count = 1;
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}
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//+------------------------------------------------------------------+
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//| Destructor |
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//+------------------------------------------------------------------+
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CSignalPAI::~CSignalPAI(void)
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{
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if(CheckPointer(Net) != POINTER_INVALID)
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delete Net;
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if(CheckPointer(TempData) != POINTER_INVALID)
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delete TempData;
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if(ObjectFind(0, "PlayPauseButton") >= 0)
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{
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ObjectDelete(0, "PlayPauseButton");
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}
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PurgeChart();
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}
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//+------------------------------------------------------------------+
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//| Create indicators. |
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//+------------------------------------------------------------------+
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bool CSignalPAI::InitIndicators(CIndicators *indicators)
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{
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if(m_isInitialized)
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return true; // Already initialized
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if(indicators == NULL)
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return false;
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if(!CExpertSignalCustom::InitIndicators(indicators))
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return false;
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if(!CExpertSignalAIBase::InitIndicators(indicators))
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return false;
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/*
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// Create a button on the top left corner of the chart
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// Define constants for colors
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color clrButtonBackground = clrSilver; // Background color of the button
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color clrButtonText = clrBlack; // Text color of the button
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color clrButtonBorder = clrBlack; // Border color of the button
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long x = ChartGetInteger(0, CHART_WIDTH_IN_PIXELS) - 0; // Adjust x position as needed
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int y = 290; // Adjust y position as needed
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m_buttonHandle = ObjectCreate(0, "PlayPauseButton", OBJ_BUTTON, 0, 0, 0);
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ObjectSetInteger(0, "PlayPauseButton", OBJPROP_XDISTANCE, x);
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ObjectSetInteger(0, "PlayPauseButton", OBJPROP_YDISTANCE, y);
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ObjectSetInteger(0, "PlayPauseButton", OBJPROP_CORNER, 2);
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ObjectSetString(0, "PlayPauseButton", OBJPROP_TEXT, "Pause");
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ObjectSetInteger(0, "PlayPauseButton", OBJPROP_FONTSIZE, 12);
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ObjectSetInteger(0, "PlayPauseButton", OBJPROP_COLOR, clrButtonBackground);
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ObjectSetInteger(0, "PlayPauseButton", OBJPROP_BORDER_COLOR, clrButtonBorder);
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ObjectSetInteger(0, "PlayPauseButton", OBJPROP_BORDER_TYPE, BORDER_FLAT);*/
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Net = new CNet(NULL);
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if(CheckPointer(Net) == POINTER_INVALID)
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return false;
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m_fileName += "_" + DoubleToString(MathRound(m_outputNeuronsCount)) + "_" + DoubleToString(MathRound(m_optimizationAlgo));
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if(trainingMode && FileIsExist(m_fileName + ".nnw", FILE_COMMON))
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{
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int attempts = 0;
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while(attempts < 5)
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{
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if(FileDelete(m_fileName + ".nnw", FILE_COMMON) && FileDelete(m_fileName + ".cfg", FILE_COMMON))
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{
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return true;
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}
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if(GetLastError() != 5002) // If the error is not because the file does not exist
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{
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Print(__FUNCTION__ + ": Retry " + IntegerToString(attempts + 1) + " failed to delete file: " + m_fileName);
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}
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else
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{
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ResetLastError(); // Reset the error code
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}
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Sleep(1000);
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attempts++;
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}
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if(GetLastError() != 5002) // If the error is not because the file does not exist
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{
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Print(__FUNCTION__ + ": Failed to delete file after retries: " + m_fileName + ".nnw");
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}
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return false;
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}
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if(!LoadAndCompareTopologyConfiguration(m_fileName, m_initialNeuronsCount, m_hiddenLayersCount, m_neuronsReduction, m_minNeuronsCount, m_optimizationAlgo, m_historyBars, m_outputNeuronsCount, m_neuronsCount, m_studyPeriod, m_minTrainYear, m_isInitialized, m_stopTrainWR, m_fractalPeriods))
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{
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SaveTopologyConfiguration(m_fileName, m_initialNeuronsCount, m_hiddenLayersCount, m_neuronsReduction, m_minNeuronsCount, m_optimizationAlgo, m_historyBars, m_outputNeuronsCount, m_neuronsCount, m_studyPeriod, m_minTrainYear, m_isInitialized, m_stopTrainWR, m_fractalPeriods);
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}
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if(!Net.Load(m_fileName + ".nnw", dError, dUndefine, dForecast, dtStudied, true))
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{
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int error_code = GetLastError();
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if(error_code != 5004)
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{
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printf("%s -> Error loading previous network %s error code : %d", __FUNCTION__, m_fileName, error_code);
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ResetLastError();
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}
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CArrayObj *Topology = new CArrayObj();
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if(CheckPointer(Topology) == POINTER_INVALID)
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return false;
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// Input Layer
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CLayerDescription *desc = new CLayerDescription();
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if(CheckPointer(desc) == POINTER_INVALID)
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return false;
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desc.count = (int)m_historyBars * m_neuronsCount;
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desc.type = defNeuron;
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desc.activation = NONE;
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desc.optimization = (m_optimizationAlgo == 0) ? SGD : ADAM;
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if(!Topology.Add(desc))
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{
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delete Topology;
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return false;
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}
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// Hidden Layers with Batch Normalization
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int n = m_initialNeuronsCount;
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bool result = true;
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for(int i = 0; (i < m_hiddenLayersCount && result); i++)
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{
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// Fully Connected Layer
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desc = new CLayerDescription();
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if(CheckPointer(desc) == POINTER_INVALID)
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return false;
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desc.count = n;
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desc.type = defNeuron;
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desc.activation = TANH;
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desc.optimization = (m_optimizationAlgo == 0) ? SGD : ADAM;
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result = (Topology.Add(desc) && result);
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n = (int)MathMax(n * (m_neuronsReduction * 0.01), m_minNeuronsCount);
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}
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if(!result)
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{
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delete Topology;
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return false;
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}
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// Output Layer
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desc = new CLayerDescription();
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if(CheckPointer(desc) == POINTER_INVALID)
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return false;
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desc.count = m_outputNeuronsCount;
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desc.type = defNeuron;
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desc.activation = TANH;
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desc.optimization = (m_optimizationAlgo == 0) ? SGD : ADAM;
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if(!Topology.Add(desc))
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return false;
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delete Net;
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Net = new CNet(Topology);
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delete Topology;
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if(CheckPointer(Net) == POINTER_INVALID)
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return false;
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}
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TempData = new CArrayDouble();
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if(CheckPointer(TempData) == POINTER_INVALID)
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return false;
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bEventStudy = EventChartCustom(ChartID(), 1, (long)MathMax(0, MathMin(iTime(_Symbol, PERIOD_CURRENT, (int)(100 * Net.recentAverageSmoothingFactor * (dForecast >= m_stopTrainWR ? 1 : 10))), dtStudied)), 0, "Init");
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m_isInitialized = true;
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return true;
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}
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//+------------------------------------------------------------------+
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//| OnTick function |
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//+------------------------------------------------------------------+
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void CSignalPAI::OnTickHandler()
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{
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if(!bEventStudy && (dPrevSignal == -2 || dtStudied < SeriesInfoInteger(m_symbol.Name(), m_period, SERIES_LASTBAR_DATE)))
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bEventStudy = EventChartCustom(ChartID(), 1, (long)MathMax(0, MathMin(iTime(m_symbol.Name(), PERIOD_CURRENT, (int)(100 * Net.recentAverageSmoothingFactor * (dForecast >= m_stopTrainWR ? 1 : 10))), dtStudied)), 0, "New Bar");
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Comment(StringFormat("Event call %s; PrevSignal %.5f; Model trained %s -> %s", (string)bEventStudy, dPrevSignal, TimeToString(dtStudied), TimeToString(SeriesInfoInteger(m_symbol.Name(), PERIOD_CURRENT, SERIES_LASTBAR_DATE))));
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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void CSignalPAI::OnChartEventHandler(const int id,
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const long & lparam,
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const double & dparam,
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const string & sparam)
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{
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/*
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if(id == CHARTEVENT_OBJECT_CLICK && lparam == m_buttonHandle)
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{
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m_isPlaying = !m_isPlaying;
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if(m_isPlaying)
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{
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ObjectSetString(0, "PlayPauseButton", OBJPROP_TEXT, "Pause");
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}
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else
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{
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ObjectSetString(0, "PlayPauseButton", OBJPROP_TEXT, "Play");
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}
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}*/
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if(id == 1001)
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{
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Train(lparam);
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bEventStudy = false;
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OnTickHandler();
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}
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}
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//+------------------------------------------------------------------+
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//| "Voting" that price will grow. |
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//+------------------------------------------------------------------+
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int CSignalPAI::LongCondition(void)
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{
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int result = 0;
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if(DoubleToSignal(dPrevSignal) == Buy)
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{
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result = m_pattern_0;
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m_active_pattern = "Pattern_0";
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m_active_direction = "Buy";
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}
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//--- return the result
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return(result);
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}
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//+------------------------------------------------------------------+
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//| "Voting" that price will fall. |
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//+------------------------------------------------------------------+
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int CSignalPAI::ShortCondition(void)
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{
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int result = 0;
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if(DoubleToSignal(dPrevSignal) == Sell)
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{
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result = m_pattern_0;
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m_active_pattern = "Pattern_0";
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m_active_direction = "Sell";
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}
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// Return the result
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return result;
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}
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//+------------------------------------------------------------------+
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//| Set the specified pattern's weight to the specified value |
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//+------------------------------------------------------------------+
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void CSignalPAI::ApplyPatternWeight(int patternNumber, int weight)
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{
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switch(patternNumber)
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{
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default:
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break;
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case 0:
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Pattern_0(weight);
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break;
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}
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}
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//+------------------------------------------------------------------+
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