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NN_in_Trading/Experts/CIC/Research.mq5

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2026-03-12 15:02:23 +02:00
<EFBFBD><EFBFBD>//+------------------------------------------------------------------+
//| Research.mq5 |
//| Copyright DNG<EFBFBD> |
//| https://www.mql5.com/ru/users/dng |
//+------------------------------------------------------------------+
#property copyright "Copyright DNG<00>"
#property link "https://www.mql5.com/ru/users/dng"
#property version "1.00"
//+------------------------------------------------------------------+
//| Includes |
//+------------------------------------------------------------------+
#include "Trajectory.mqh"
#include <Trade\Trade.mqh>
#include <Trade\SymbolInfo.mqh>
#include <Indicators\Oscilators.mqh>
//+------------------------------------------------------------------+
//| Input parameters |
//+------------------------------------------------------------------+
input ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
input double MinProfit = 10;
//---
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 int Agent = 1;
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
SState sState;
STrajectory Base;
STrajectory Buffer[];
STrajectory Frame[1];
CNet Actor;
CNet Encoder;
CNet Scheduler;
//---
float dError;
datetime dtStudied;
//---
CSymbolInfo Symb;
CTrade Trade;
//---
MqlRates Rates[];
CiRSI RSI;
CiCCI CCI;
CiATR ATR;
CiMACD MACD;
//---
CBufferFloat bState;
CBufferFloat bAccount;
CBufferFloat bSkills;
CBufferFloat *Result;
vector<float> check;
vector<float> ActorResult;
double PrevBalance = 0;
double PrevEquity = 0;
bool bRandomSkills;
//+------------------------------------------------------------------+
//| 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;
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;
//--- load models
float temp;
if(!Encoder.Load(FileName + "Enc.nnw", temp, temp, temp, dtStudied, true) ||
!Actor.Load(FileName + "Act.nnw", temp, temp, temp, dtStudied, true))
{
CArrayObj *actor = new CArrayObj();
CArrayObj *encoder = new CArrayObj();
CArrayObj *descr = new CArrayObj();
if(!CreateDescriptions(encoder,actor, descr,descr,descr,descr))
{
delete encoder;
delete actor;
delete descr;
return INIT_FAILED;
}
if(!Encoder.Create(encoder) || !Actor.Create(actor))
{
delete encoder;
delete actor;
delete descr;
return INIT_FAILED;
}
delete encoder;
delete actor;
delete descr;
//---
}
bRandomSkills = (!Scheduler.Load(FileName + "Sch.nnw", temp, temp, temp, dtStudied, true));
//---
COpenCLMy *opcl = Encoder.GetOpenCL();
Actor.SetOpenCL(opcl);
if(!bRandomSkills)
Scheduler.SetOpenCL(opcl);
//---
Actor.getResults(ActorResult);
if(ActorResult.Size() != NActions)
{
PrintFormat("The scope of the actor does not match the actions count (%d <> %d)", NActions, Result.Total());
return INIT_FAILED;
}
//---
Encoder.GetLayerOutput(0, Result);
if(Result.Total() != (HistoryBars * BarDescr))
{
PrintFormat("Input size of State Encoder doesn't match state description (%d <> %d)", Result.Total(), (HistoryBars * BarDescr));
return INIT_FAILED;
}
//---
vector<float> EncoderResults;
Actor.GetLayerOutput(0,Result);
Encoder.getResults(EncoderResults);
if(Result.Total() != int(EncoderResults.Size()))
{
PrintFormat("Input size of Actor doesn't match Encoder outputs (%d <> %d)", Result.Total(), EncoderResults.Size());
return INIT_FAILED;
}
//---
if(!bRandomSkills)
{
Scheduler.GetLayerOutput(0,Result);
if(Result.Total() != int(EncoderResults.Size()))
{
PrintFormat("Input size of Scheduler doesn't match Encoder outputs (%d <> %d)", Result.Total(), EncoderResults.Size());
return INIT_FAILED;
}
}
//---
PrevBalance = AccountInfoDouble(ACCOUNT_BALANCE);
PrevEquity = AccountInfoDouble(ACCOUNT_EQUITY);
//---
return(INIT_SUCCEEDED);
}
//+------------------------------------------------------------------+
//| Expert deinitialization function |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
//---
delete Result;
}
//+------------------------------------------------------------------+
//| Expert tick function |
//+------------------------------------------------------------------+
void OnTick()
{
//---
if(!IsNewBar())
return;
//---
int bars = CopyRates(Symb.Name(), TimeFrame, iTime(Symb.Name(), TimeFrame, 1), HistoryBars, Rates);
if(!ArraySetAsSeries(Rates, true))
return;
//---
RSI.Refresh();
CCI.Refresh();
ATR.Refresh();
MACD.Refresh();
Symb.Refresh();
Symb.RefreshRates();
//---
float atr = 0;
for(int b = 0; b < (int)HistoryBars; b++)
{
float open = (float)Rates[b].open;
float rsi = (float)RSI.Main(b);
float cci = (float)CCI.Main(b);
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;
//---
int shift = b * BarDescr;
sState.state[shift] = (float)(Rates[b].close - open);
sState.state[shift + 1] = (float)(Rates[b].high - open);
sState.state[shift + 2] = (float)(Rates[b].low - open);
sState.state[shift + 3] = (float)(Rates[b].tick_volume / 1000.0f);
sState.state[shift + 4] = rsi;
sState.state[shift + 5] = cci;
sState.state[shift + 6] = atr;
sState.state[shift + 7] = macd;
sState.state[shift + 8] = sign;
}
bState.AssignArray(sState.state);
//---
sState.account[0] = (float)AccountInfoDouble(ACCOUNT_BALANCE);
sState.account[1] = (float)AccountInfoDouble(ACCOUNT_EQUITY);
//---
double buy_value = 0, sell_value = 0, buy_profit = 0, sell_profit = 0;
double position_discount = 0;
double multiplyer = 1.0 / (60.0 * 60.0 * 10.0);
int total = PositionsTotal();
datetime current = TimeCurrent();
for(int i = 0; i < total; i++)
{
if(PositionGetSymbol(i) != Symb.Name())
continue;
double profit = PositionGetDouble(POSITION_PROFIT);
switch((int)PositionGetInteger(POSITION_TYPE))
{
case POSITION_TYPE_BUY:
buy_value += PositionGetDouble(POSITION_VOLUME);
buy_profit += profit;
break;
case POSITION_TYPE_SELL:
sell_value += PositionGetDouble(POSITION_VOLUME);
sell_profit += profit;
break;
}
position_discount += profit - (current - PositionGetInteger(POSITION_TIME)) * multiplyer * MathAbs(profit);
}
sState.account[2] = (float)buy_value;
sState.account[3] = (float)sell_value;
sState.account[4] = (float)buy_profit;
sState.account[5] = (float)sell_profit;
sState.account[6] = (float)position_discount;
sState.account[7] = (float)Rates[0].time;
//---
bAccount.Clear();
bAccount.Add((float)((sState.account[0] - PrevBalance) / PrevBalance));
bAccount.Add((float)(sState.account[1] / PrevBalance));
bAccount.Add((float)((sState.account[1] - PrevEquity) / PrevEquity));
bAccount.Add(sState.account[2]);
bAccount.Add(sState.account[3]);
bAccount.Add((float)(sState.account[4] / PrevBalance));
bAccount.Add((float)(sState.account[5] / PrevBalance));
bAccount.Add((float)(sState.account[6] / PrevBalance));
double x = (double)Rates[0].time / (double)(D'2024.01.01' - D'2023.01.01');
bAccount.Add((float)MathSin(2.0 * M_PI * x));
x = (double)Rates[0].time / (double)PeriodSeconds(PERIOD_MN1);
bAccount.Add((float)MathCos(2.0 * M_PI * x));
x = (double)Rates[0].time / (double)PeriodSeconds(PERIOD_W1);
bAccount.Add((float)MathSin(2.0 * M_PI * x));
x = (double)Rates[0].time / (double)PeriodSeconds(PERIOD_D1);
bAccount.Add((float)MathSin(2.0 * M_PI * x));
//---
if(bAccount.GetIndex() >= 0)
if(!bAccount.BufferWrite())
return;
//--- Encoder
if(!Encoder.feedForward(GetPointer(bState), 1, false, GetPointer(bAccount)))
return;
//--- Scheduler & Actor
if(!bRandomSkills)
{
if(!Scheduler.feedForward((CNet *)GetPointer(Encoder),-1,NULL,-1) ||
!Actor.feedForward(GetPointer(Encoder),-1,GetPointer(Scheduler),-1))
return;
}
else
{
vector<float> skills = vector<float>::Zeros(NSkills);
for(int i = 0; i < NSkills; i++)
skills[i] = (float)((double)MathRand() / 32767.0);
skills.Activation(skills,AF_SOFTMAX);
bSkills.AssignArray(skills);
if(bSkills.GetIndex() >= 0 && !bSkills.BufferWrite())
return;
if(!Actor.feedForward(GetPointer(Encoder),-1,(CBufferFloat *)GetPointer(bSkills)))
return;
}
//---
PrevBalance = sState.account[0];
PrevEquity = sState.account[1];
//---
vector<float> temp;
Actor.getResults(temp);
float delta = MathAbs(ActorResult - temp).Sum();
//---
for(ulong i = 0; i < temp.Size(); i++)
{
float rnd = ((float)MathRand() / 32767.0f - 0.5f) * 0.1f;
temp[i] += rnd;
}
temp.Clip(0.0f,1.0f);
ActorResult = temp;
//---
double min_lot = Symb.LotsMin();
double step_lot = Symb.LotsStep();
double stops = MathMax(Symb.StopsLevel(), 1) * Symb.Point();
if(temp[0] >= temp[3])
{
temp[0] -= temp[3];
temp[3] = 0;
}
else
{
temp[3] -= temp[0];
temp[0] = 0;
}
//--- buy control
if(temp[0] < min_lot || (temp[1] * MaxTP * Symb.Point()) <= stops || (temp[2] * MaxSL * Symb.Point()) <= stops)
{
if(buy_value > 0)
CloseByDirection(POSITION_TYPE_BUY);
}
else
{
double buy_lot = min_lot + MathRound((double)(temp[0] - min_lot) / step_lot) * step_lot;
double buy_tp = NormalizeDouble(Symb.Ask() + temp[1] * MaxTP * Symb.Point(), Symb.Digits());
double buy_sl = NormalizeDouble(Symb.Ask() - temp[2] * MaxSL * Symb.Point(), Symb.Digits());
if(buy_value > 0)
TrailPosition(POSITION_TYPE_BUY, buy_sl, buy_tp);
if(buy_value != buy_lot)
{
if(buy_value > buy_lot)
ClosePartial(POSITION_TYPE_BUY, buy_value - buy_lot);
else
Trade.Buy(buy_lot - buy_value, Symb.Name(), Symb.Ask(), buy_sl, buy_tp);
}
}
//--- sell control
if(temp[3] < min_lot || (temp[4] * MaxTP * Symb.Point()) <= stops || (temp[5] * MaxSL * Symb.Point()) <= stops)
{
if(sell_value > 0)
CloseByDirection(POSITION_TYPE_SELL);
}
else
{
double sell_lot = min_lot + MathRound((double)(temp[3] - min_lot) / step_lot) * step_lot;;
double sell_tp = NormalizeDouble(Symb.Bid() - temp[4] * MaxTP * Symb.Point(), Symb.Digits());
double sell_sl = NormalizeDouble(Symb.Bid() + temp[5] * MaxSL * Symb.Point(), Symb.Digits());
if(sell_value > 0)
TrailPosition(POSITION_TYPE_SELL, sell_sl, sell_tp);
if(sell_value != sell_lot)
{
if(sell_value > sell_lot)
ClosePartial(POSITION_TYPE_SELL, sell_value - sell_lot);
else
Trade.Sell(sell_lot - sell_value, Symb.Name(), Symb.Bid(), sell_sl, sell_tp);
}
}
//---
sState.rewards[0] = bAccount[0];
sState.rewards[0] += 1.0f - bAccount[1];
if((buy_value + sell_value) == 0)
sState.rewards[0] -= (float)(atr / PrevBalance);
for(ulong i = 0; i < NActions; i++)
sState.action[i] = ActorResult[i];
if(!Base.Add(sState))
ExpertRemove();
}
//+------------------------------------------------------------------+
//| Tester function |
//+------------------------------------------------------------------+
double OnTester()
{
//---
double ret = 0.0;
//---
double profit = TesterStatistics(STAT_PROFIT);
Frame[0] = Base;
if(profit >= MinProfit && profit != 0)
FrameAdd(MQLInfoString(MQL_PROGRAM_NAME), 1, profit, Frame);
//---
return(ret);
}
//+------------------------------------------------------------------+
//| TesterInit function |
//+------------------------------------------------------------------+
void OnTesterInit()
{
//---
LoadTotalBase();
}
//+------------------------------------------------------------------+
//| TesterPass function |
//+------------------------------------------------------------------+
void OnTesterPass()
{
//---
ulong pass;
string name;
long id;
double value;
STrajectory array[];
while(FrameNext(pass, name, id, value, array))
{
int total = ArraySize(Buffer);
if(name != MQLInfoString(MQL_PROGRAM_NAME))
continue;
if(id <= 0)
continue;
if(ArrayResize(Buffer, total + (int)id, 10) < 0)
return;
ArrayCopy(Buffer, array, total, 0, (int)id);
}
}
//+------------------------------------------------------------------+
//| TesterDeinit function |
//+------------------------------------------------------------------+
void OnTesterDeinit()
{
//---
int total = ArraySize(Buffer);
printf("total %d", MathMin(total, MaxReplayBuffer));
Print("Saving...");
SaveTotalBase();
Print("Saved");
}
//+------------------------------------------------------------------+
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