Adwizard/Experts/Stage2.mqh

<EFBFBD><EFBFBD>//+------------------------------------------------------------------+
//|                                                       Stage2.mqh |
//|                                      Copyright 2024, Yuriy Bykov |
//|                            https://www.mql5.com/ru/users/antekov |
//+------------------------------------------------------------------+
#property copyright "Copyright 2024, Yuriy Bykov"
#property link      "https://www.mql5.com/ru/articles/15911"
#property version "1.05"

#ifndef __NAME__
#define  __NAME__ "EmptyStrategy"
#endif

#define PARAMS_FILE "db.stage2.sqlite"
#property tester_file PARAMS_FILE

#include "../Virtual/VirtualAdvisor.mqh"

//+------------------------------------------------------------------+
//| E>4=K5 ?0@0<5B@K                                                |
//+------------------------------------------------------------------+
sinput int     idTask_     = 0;  // - 45=B8D8:0B>@ 7040G8 >?B8<870F88
sinput string  fileName_   = "db.sqlite"; // - $09; A >A=>2=>9 107>9 40==KE

input group "::: B1>@ 2 3@C??C"
input int      idParentJob_   = 1;     // - 45=B8D8:0B>@ @>48B5;LA:>9 @01>BK
input bool     useClusters_   = true;  // - A?>;L7>20BL :;0AB5@870F8N
input double   minCustomOntester_   = 0;     // - 8=. =>@<8@>20==0O ?@81K;L
input int      minTrades_           = 40;    // - 8=. :>;8G5AB2> A45;>:
input double   minSharpeRatio_      = 0.7;   // - 8=. :>MDD8F85=B (0@?0
input int      count_         = 16;    // - >;8G5AB2> AB@0B5389 2 3@C??5 (1 .. 16)

input group "::: =45:AK M:75<?;O@>2"
input int   i1_ = 1;          // - =45:A AB@0B5388 #1
input int   i2_ = 2;          // - =45:A AB@0B5388 #2
input int   i3_ = 3;          // - =45:A AB@0B5388 #3
input int   i4_ = 4;          // - =45:A AB@0B5388 #4
input int   i5_ = 5;          // - =45:A AB@0B5388 #5
input int   i6_ = 6;          // - =45:A AB@0B5388 #6
input int   i7_ = 7;          // - =45:A AB@0B5388 #7
input int   i8_ = 8;          // - =45:A AB@0B5388 #8
input int   i9_ = 9;          // - =45:A AB@0B5388 #9
input int   i10_ = 10;        // - =45:A AB@0B5388 #10
input int   i12_ = 11;        // - =45:A AB@0B5388 #11
input int   i11_ = 12;        // - =45:A AB@0B5388 #12
input int   i13_ = 13;        // - =45:A AB@0B5388 #13
input int   i14_ = 14;        // - =45:A AB@0B5388 #14
input int   i15_ = 15;        // - =45:A AB@0B5388 #15
input int   i16_ = 16;        // - =45:A AB@0B5388 #16

// $8:A8@>20==K5 ?0@0<5B@K
double      expectedDrawdown_ = 10;       // - 0:A8<0;L=K9 @8A: (%)
double      fixedBalance_     = 10000;    // - A?>;L7C5<K9 45?>78B (0 - 8A?>;L7>20BL 25AL) 2 20;NB5 AG5B0
double      scale_            = 1.00;     // - 0AHB018@CNI89 <=>68B5;L 4;O 3@C??K

ulong       magic_            = 27183;    // - Magic
bool        useOnlyNewBars_   = true;     // -  01>B0BL B>;L:> =0 >B:@KB88 10@0

CVirtualAdvisor     *expert;              // 1J5:B M:A?5@B0

//+------------------------------------------------------------------+
//| !>740=85 107C 40==KE 4;O >B45;L=>9 7040G8 MB0?0                  |
//+------------------------------------------------------------------+
void CreateTaskDB(const string fileName, const int idParentJob) {
// !>740Q< =>2CN 107C 40==KE 4;O B5:CI59 7040G8 >?B8<870F88
   DB::Connect(PARAMS_FILE, DB_TYPE_CUT);
   DB::Execute("DROP TABLE IF EXISTS passes;");
   DB::Execute("CREATE TABLE passes (id_pass INTEGER PRIMARY KEY AUTOINCREMENT, params TEXT);");
// DB::Close();

// >4:;NG05<AO : >A=>2=>9 1075 40==KE
   DB::Connect(fileName);

// 1J548=5=85
   string clusterJoin = "";

   if(useClusters_) {
      clusterJoin = "JOIN passes_clusters pc ON pc.id_pass = p.id_pass";
   }

// 0?@>A =0 ?>;CG5=85 =5>1E>48<>9 8=D>@<0F88 87 >A=>2=>9 107K 40==KE
   string query = StringFormat("SELECT DISTINCT p.params"
                               " FROM passes p"
                               "      JOIN "
                               "      tasks t ON p.id_task = t.id_task "
                               "      JOIN "
                               "      jobs j ON t.id_job = j.id_job "
                               "      %s "
                               "WHERE (j.id_job = %d AND  "
                               "       p.custom_ontester >= %.2f AND  "
                               "       trades >= %d AND  "
                               "       p.sharpe_ratio >= %.2f)  "
                               "ORDER BY p.custom_ontester DESC;",
                               clusterJoin,
                               idParentJob_,
                               minCustomOntester_,
                               minTrades_,
                               minSharpeRatio_);

// K?>;=O5< 70?@>A
   int request = DatabasePrepare(DB::Id(), query);
   if(request == INVALID_HANDLE) {
      PrintFormat(__FUNCTION__" | ERROR: request \n%s\nfailed with code %d", query, GetLastError());
      DB::Close();
      return;
   }

// !B@C:BC@0 4;O @57C;LB0B>2 70?@>A0
   struct Row {
      string         params;
   } row;

// 0AA82 4;O 70?@>A>2 =0 2AB02:C 40==KE 2 =>2CN 107C 40==KE
   string queries[];

// 0?>;=O5< <0AA82 70?@>A>2: 1C45< A>E@0=OBL B>;L:> AB@>:8 8=8F80;870F88
   while(DatabaseReadBind(request, row)) {
      APPEND(queries, StringFormat("INSERT INTO passes VALUES(NULL, '%s');", row.params));
   }

// 5@5?>4:;NG05<AO : =>2>9 1075 40==KE 8 70?>;=O5< 5Q
   DB::Connect(PARAMS_FILE, DB_TYPE_CUT);
   DB::ExecuteTransaction(queries);
   DB::Close();

// 5@5?>4:;NG05<AO : >A=>2=>9 1075 40==KE
// DB::Connect(fileName);
// DB::Close();
}

//+------------------------------------------------------------------+
//| >;8G5AB2> =01>@>2 ?0@0<5B@>2 AB@0B5389 2 1075 40==KE 7040G8     |
//+------------------------------------------------------------------+
int GetParamsTotal() {
   int paramsTotal = 0;

// A;8 1070 40==KE 7040G8 >B:@KB0, B>
   if(DB::Connect(PARAMS_FILE, DB_TYPE_CUT)) {
      // !>740Q< 70?@>A =0 ?>;CG5=85 :>;8G5AB20 ?@>E>4>2 4;O 40==>9 7040G8
      string query = "SELECT COUNT(*) FROM passes p";
      int request = DatabasePrepare(DB::Id(), query);

      if(request != INVALID_HANDLE) {
         // !B@C:BC@0 40==KE 4;O @57C;LB0B0 70?@>A0
         struct Row {
            int      total;
         } row;

         // >;CG05< @57C;LB0B 70?@>A0 87 ?5@2>9 AB@>:8
         if (DatabaseReadBind(request, row)) {
            paramsTotal = row.total;
         }
      } else {
         PrintFormat(__FUNCTION__" | ERROR: request \n%s\nfailed with code %d", query, GetLastError());
      }
      DB::Close();
   }

   return paramsTotal;
}

//+------------------------------------------------------------------+
//| 03@C7:0 =01>@>2 ?0@0<5B@>2 AB@0B5389                            |
//+------------------------------------------------------------------+
string LoadParams(int &indexes[]) {
   string params = NULL;
// >;CG05< :>;8G5AB2> =01>@>2
   int totalParams = GetParamsTotal();

// A;8 >=8 5ABL, B>
   if(totalParams > 0) {
      if(DB::Connect(PARAMS_FILE, DB_TYPE_CUT)) {
         // $>@<8@C5< AB@>:C 87 8=45:A>2 =01>@>2, 27OBKE 87 2E>4=KE ?0@0<5B@>2 A>25B=8:0
         // G5@57 70?OBCN 4;O 40;L=59H59 ?>4AB0=>2:8 2 SQL-70?@>A
         string strIndexes = "";
         FOREACH(indexes) strIndexes += IntegerToString(indexes[i]) + ",";
         strIndexes += "0"; // >?>;=O5< =5ACI5AB2CNI8< 8=45:A><, GB>1K =5 C40;OBL ?>A;54=NN 70?OBCN

         // $>@<8@C5< 70?@>A =0 ?>;CG5=85 =01>@>2 ?0@0<5B@>2 A =C6=K<8 8=45:A0<8
         string query = StringFormat("SELECT params FROM passes p WHERE id_pass IN(%s)", strIndexes);
         int request = DatabasePrepare(DB::Id(), query);

         if(request != INVALID_HANDLE) {
            // !B@C:BC@0 40==KE 4;O @57C;LB0B>2 70?@>A0
            struct Row {
               string   params;
            } row;

            // '8B05< @57C;LB0BK 70?@>A0 8 A>548=O5< 8E G5@57 70?OBCN
            while(DatabaseReadBind(request, row)) {
               params += row.params + ",";
            }
         } else {
            PrintFormat(__FUNCTION__" | ERROR: request \n%s\nfailed with code %d",
                        query, GetLastError());
         }
         DB::Close();
      }
   }

   return params;
}

//+------------------------------------------------------------------+
//| Expert initialization function                                   |
//+------------------------------------------------------------------+
int OnInit() {
// #AB0=02;8205< ?0@0<5B@K 2 :;0AA5 C?@02;5=8O :0?8B0;><
   CMoney::DepoPart(expectedDrawdown_ / 10.0);
   CMoney::FixedBalance(fixedBalance_);

// 0AA82 2A5E 8=45:A>2 87 2E>4=KE ?0@0<5B@>2 A>25B=8:0
   int indexes_[] = {i1_, i2_, i3_, i4_,
                     i5_, i6_, i7_, i8_,
                     i9_, i10_, i11_, i12_,
                     i13_, i14_, i15_, i16_
                    };

// 0AA82 4;O 8=45:A>2, :>B>@K5 1C4CB CG0AB2>20BL 2 >?B8<870F88
   int indexes[];
   ArrayResize(indexes, count_);

// =>65AB2> 4;O 8=45:A>2 =01>@>2 ?0@0<5B@>2
   CHashSet<int> setIndexes;

// >?8@C5< 2 =53> 8=45:AK 87 2E>4=KE ?0@0<5B@>2
// >102;O5< 2A5 8=45:AK 2> <=>65AB2>
   FOREACH(indexes) {
      indexes[i] = indexes_[i];
      setIndexes.Add(indexes[i]);
   }

// !>>1I05< >1 >H81:5, 5A;8
   if(count_ < 1 || count_ > 16           // :>;8G5AB2> M:75<?;O@>2 =5 2 480?07>=5 1 .. 16
         || setIndexes.Count() != count_  // =5 2A5 8=45:AK C=8:0;L=K5
     ) {
      return INIT_PARAMETERS_INCORRECT;
   }

// A;8 MB> =5 >?B8<870F8O, B> =04> ?5@5A>740BL 107C 40==KE 7040G8
   if(!MQLInfoInteger(MQL_OPTIMIZATION)) {
      CreateTaskDB(fileName_, idParentJob_);
   }

// 03@C605< =01>@K ?0@0<5B@>2 AB@0B5389
   string strategiesParams = LoadParams(indexes);

// >4:;NG05<AO : >A=>2=>9 1075 40==KE
//   DB::Connect(fileName_);
//   DB::Close();
   CVirtualAdvisor::TesterInit(idTask_, fileName_);

// A;8 =8G53> =5 703@C78;8, B> A>>1I8< >1 >H81:5
   if(strategiesParams == NULL) {
      PrintFormat(__FUNCTION__" | ERROR: Can't load data from file %s.\n"
                  "Check that it exists in data folder or in common data folder.",
                  fileName_);
      return(INIT_PARAMETERS_INCORRECT);
   }

// >43>B02;8205< AB@>:C 8=8F80;870F88 4;O M:A?5@B0 A 3@C??>9 87 =5A:>;L:8E AB@0B5389
   string expertParams = StringFormat(
                            "class CVirtualAdvisor(\n"
                            "    class CVirtualStrategyGroup(\n"
                            "       [\n"
                            "        %s\n"
                            "       ],%f\n"
                            "    ),\n"
                            "    class CVirtualRiskManager(\n"
                            "       0,0,0,0,0,0,0,0,0,0,0,0,0"
                            "    )\n"
                            "    ,%d,%s,%d\n"
                            ")",
                            strategiesParams, scale_,
                            magic_, __NAME__, useOnlyNewBars_
                         );

   PrintFormat(__FUNCTION__" | Expert Params:\n%s", expertParams);

// !>7405< M:A?5@B0, @01>B0NI53> A 28@BC0;L=K<8 ?>78F8O<8
   expert = NEW(expertParams);

   if(!expert) return INIT_FAILED;

   return(INIT_SUCCEEDED);
}

//+------------------------------------------------------------------+
//| Expert tick function                                             |
//+------------------------------------------------------------------+
void OnTick() {
   expert.Tick();
}

//+------------------------------------------------------------------+
//| Expert deinitialization function                                 |
//+------------------------------------------------------------------+
void OnDeinit(const int reason) {
   if(!!expert) delete expert;
}

//+------------------------------------------------------------------+
//|  57C;LB0B B5AB8@>20=8O                                           |
//+------------------------------------------------------------------+
double OnTester(void) {
   return expert.Tester();
}

//+------------------------------------------------------------------+
//| =8F80;870F8O ?5@54 >?B8<870F859                                 |
//+------------------------------------------------------------------+
int OnTesterInit(void) {
// !>740Q< 107C 40==KE 4;O >B45;L=>9 7040G8 MB0?0
   CreateTaskDB(fileName_, idParentJob_);

// >;CG05< :>;8G5AB2> =01>@>2 ?0@0<5B@>2 AB@0B5389
   int totalParams = GetParamsTotal();

// >4:;NG05<AO : >A=>2=>9 1075 40==KE
   DB::Connect(fileName_);
   DB::Close();

// A;8 =8G53> =5 703@C78;8, B> A>>1I8< >1 >H81:5
   if(totalParams == 0) {
      PrintFormat(__FUNCTION__" | ERROR: Can't load data from file %s.\n"
                  "Check that it exists in data folder or in common data folder.",
                  fileName_);
      return(INIT_FAILED);
   }

// 0@0<5B@C scale_ CAB0=02;8205< 7=0G5=85 1
   ParameterSetRange("scale_", false, 1, 1, 1, 2);

// 0@0<5B@0< ?5@51>@0 8=45:A>2 =01>@>2 7040Q< 480?07>=K 87<5=5=8O
   for(int i = 1; i <= 16; i++) {
      if(i <= count_) {
         ParameterSetRange("i" + (string) i + "_", true, 0, 1, 1, totalParams);
      } else {
         // ;O ;8H=8E 8=45:A>2 >B:;NG05< ?5@51>@
         ParameterSetRange("i" + (string) i + "_", false, 0, 1, 1, totalParams);
      }
   }

   return CVirtualAdvisor::TesterInit(idTask_, fileName_);
}

//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
void OnTesterPass() {
   CVirtualAdvisor::TesterPass();
}

//+------------------------------------------------------------------+
//| 59AB28O ?>A;5 >?B8<870F88                                       |
//+------------------------------------------------------------------+
void OnTesterDeinit(void) {
   CVirtualAdvisor::TesterDeinit();
}
//+------------------------------------------------------------------+