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NN_in_Trading/Experts/CWBC/Test.mq5

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<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 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 Agents = 1;
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
SState sState;
STrajectory Base;
STrajectory Buffer[];
STrajectory Frame[1];
CNet Agent;
CNet RTG;
//---
float dError;
datetime dtStudied;
//---
CSymbolInfo Symb;
CTrade Trade;
//---
MqlRates Rates[];
CiRSI RSI;
CiCCI CCI;
CiATR ATR;
CiMACD MACD;
//---
CBufferFloat bState;
CBufferFloat *Result;
vector<float> AgentResult;
double PrevBalance = 0;
double PrevEquity = 0;
int History;
//+------------------------------------------------------------------+
//| 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;
History = MathMax(ValueBars, NBarInPattern);
if(!RSI.BufferResize(History) || !CCI.BufferResize(History) ||
!ATR.BufferResize(History) || !MACD.BufferResize(History))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
return INIT_FAILED;
}
//---
if(!Trade.SetTypeFillingBySymbol(Symb.Name()))
return INIT_FAILED;
//--- load models
float temp;
if(!RTG.Load(FileName + "RTG.nnw", temp, temp, temp, dtStudied, true) ||
!Agent.Load(FileName + "Act.nnw", temp, temp, temp, dtStudied, true))
{
PrintFormat("Can't load pretrained model");
return INIT_FAILED;
}
//---
RTG.SetOpenCL(Agent.GetOpenCL());
//---
Agent.getResults(Result);
if(Result.Total() != NActions)
{
PrintFormat("The scope of the Agent does not match the actions count (%d <> %d)", NActions, Result.Total());
return INIT_FAILED;
}
AgentResult = vector<float>::Zeros(NActions);
//---
RTG.getResults(Result);
if(Result.Total() != NRewards)
{
PrintFormat("The scope of the RTG-model does not match the rewards count (%d <> %d)", NRewards, Result.Total());
return INIT_FAILED;
}
//---
PrevBalance = AccountInfoDouble(ACCOUNT_BALANCE);
PrevEquity = AccountInfoDouble(ACCOUNT_EQUITY);
//---
return(INIT_SUCCEEDED);
}
//+------------------------------------------------------------------+
//| Expert deinitialization function |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
//---
LoadTotalBase();
int total = ArraySize(Buffer);
if(ArrayResize(Buffer, total + 1, 0) < 0)
return;
Buffer[total] = Base;
printf("Saved total %d", SaveTotalBase(1));
delete Result;
}
//+------------------------------------------------------------------+
//| Expert tick function |
//+------------------------------------------------------------------+
void OnTick()
{
//---
if(!IsNewBar())
return;
//---
int bars = CopyRates(Symb.Name(), TimeFrame, iTime(Symb.Name(), TimeFrame, 1), History, Rates);
if(!ArraySetAsSeries(Rates, true))
return;
//---
RSI.Refresh();
CCI.Refresh();
ATR.Refresh();
MACD.Refresh();
Symb.Refresh();
Symb.RefreshRates();
//--- History data
float atr = 0;
bState.Clear();
for(int b = ValueBars-1; b >=0; 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;
//---
bState.Add((float)(Rates[b].close - open));
bState.Add((float)(Rates[b].high - open));
bState.Add((float)(Rates[b].low - open));
bState.Add((float)(Rates[b].tick_volume / 1000.0f));
bState.Add(rsi);
bState.Add(cci);
bState.Add(atr);
bState.Add(macd);
bState.Add(sign);
}
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if(!RTG.feedForward(GetPointer(bState), 1, false,(CBufferFloat*)NULL))
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return;
//---
for(int b = 0; b < (int)NBarInPattern; 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);
//--- Account description
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;
//---
bState.Add((float)((sState.account[0] - PrevBalance) / PrevBalance));
bState.Add((float)(sState.account[1] / PrevBalance));
bState.Add((float)((sState.account[1] - PrevEquity) / PrevEquity));
bState.Add(sState.account[2]);
bState.Add(sState.account[3]);
bState.Add((float)(sState.account[4] / PrevBalance));
bState.Add((float)(sState.account[5] / PrevBalance));
bState.Add((float)(sState.account[6] / PrevBalance));
//--- Time label
double x = (double)Rates[0].time / (double)(D'2024.01.01' - D'2023.01.01');
bState.Add((float)MathSin(2.0 * M_PI * x));
x = (double)Rates[0].time / (double)PeriodSeconds(PERIOD_MN1);
bState.Add((float)MathCos(2.0 * M_PI * x));
x = (double)Rates[0].time / (double)PeriodSeconds(PERIOD_W1);
bState.Add((float)MathSin(2.0 * M_PI * x));
x = (double)Rates[0].time / (double)PeriodSeconds(PERIOD_D1);
bState.Add((float)MathSin(2.0 * M_PI * x));
//--- Prev action
bState.AddArray(AgentResult);
//--- Latent representation
RTG.getResults(Result);
bState.AddArray(Result);
//---
if(!Agent.feedForward(GetPointer(bState), 1,false,(CBufferFloat *)NULL))
return;
Agent.getResults(AgentResult);
//---
PrevBalance = sState.account[0];
PrevEquity = sState.account[1];
//---
double min_lot = Symb.LotsMin();
double step_lot = Symb.LotsStep();
double stops = MathMax(Symb.StopsLevel(), 1) * Symb.Point();
if(AgentResult[0] >= AgentResult[3])
{
AgentResult[0] -= AgentResult[3];
AgentResult[3] = 0;
}
else
{
AgentResult[3] -= AgentResult[0];
AgentResult[0] = 0;
}
//--- buy control
if(AgentResult[0] < min_lot || (AgentResult[1] * MaxTP * Symb.Point()) <= stops || (AgentResult[2] * MaxSL * Symb.Point()) <= stops)
{
if(buy_value > 0)
CloseByDirection(POSITION_TYPE_BUY);
}
else
{
double buy_lot = min_lot + MathRound((double)(AgentResult[0] - min_lot) / step_lot) * step_lot;
double buy_tp = Symb.NormalizePrice(Symb.Ask() + AgentResult[1] * MaxTP * Symb.Point());
double buy_sl = Symb.NormalizePrice(Symb.Ask() - AgentResult[2] * MaxSL * Symb.Point());
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(AgentResult[3] < min_lot || (AgentResult[4] * MaxTP * Symb.Point()) <= stops || (AgentResult[5] * MaxSL * Symb.Point()) <= stops)
{
if(sell_value > 0)
CloseByDirection(POSITION_TYPE_SELL);
}
else
{
double sell_lot = min_lot + MathRound((double)(AgentResult[3] - min_lot) / step_lot) * step_lot;;
double sell_tp = Symb.NormalizePrice(Symb.Bid() - AgentResult[4] * MaxTP * Symb.Point());
double sell_sl = Symb.NormalizePrice(Symb.Bid() + AgentResult[5] * MaxSL * Symb.Point());
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);
}
}
//---
int shift = BarDescr * (NBarInPattern - 1);
sState.rewards[0] = bState[shift];
sState.rewards[1] = bState[shift + 1] - 1.0f;
if((buy_value + sell_value) == 0)
sState.rewards[2] -= (float)(atr / PrevBalance);
else
sState.rewards[2] = 0;
for(ulong i = 0; i < NActions; i++)
sState.action[i] = AgentResult[i];
if(!Base.Add(sState))
ExpertRemove();
}
//+------------------------------------------------------------------+
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