balmao8892/NN_in_Trading
1
0
포크 0
원본 프로젝트 dng/NN_in_Trading
코드 풀 리퀘스트 활동
NN_in_Trading/Experts/Lattice/Study.mq5

841 lines
62 KiB
MQL5
Raw 고유링크 Normal View 히스토리

new files added
2026-03-12 15:02:23 +02:00
<EFBFBD><EFBFBD>//+------------------------------------------------------------------+
//| Study.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"
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
#define Study
#define StudyOnline
#include <Trade\SymbolInfo.mqh>
#include <Indicators\Oscilators.mqh>
#include "Trajectory.mqh"
//+------------------------------------------------------------------+
//| Input parameters |
//+------------------------------------------------------------------+
input datetime Start = D'2024.01.01';
input datetime End = D'2025.07.01';
input int Epochs = 100;
input double MinBalance = 50;
input double MaxBalance = 150;
input group "---- Indicators ----"
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
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
CNet cEncoder;
CNet cSTFS;
CNet cActor;
CNet cCritic;
//---
CSymbolInfo Symb;
MqlRates Rates[];
CiRSI RSI;
CiCCI CCI;
CiATR ATR;
CiMACD MACD;
//---
float dError;
datetime dtStudied;
//---
CBufferFloat bState;
CBufferFloat bAccount;
CBufferFloat bTime;
CBufferFloat bGradient;
CBufferFloat *Result;
CBufferFloat *Action;
vector<float> check;
//+------------------------------------------------------------------+
//| Expert initialization function |
//+------------------------------------------------------------------+
int OnInit()
{
//---
ResetLastError();
//--- load models
float temp;
CArrayObj *encoder = new CArrayObj();
CArrayObj *stfs = new CArrayObj();
CArrayObj *actor = new CArrayObj();
CArrayObj *critic = new CArrayObj();
if(!CreateDescriptions(encoder, stfs, actor, critic))
{
DeleteObj(encoder)
DeleteObj(stfs)
DeleteObj(actor)
DeleteObj(critic)
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
return INIT_FAILED;
}
if(!cEncoder.Load(FileName + "Enc.nnw", temp, temp, temp, dtStudied, true))
{
Print("Create new State Encoder");
if(!cEncoder.Create(encoder))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
DeleteObj(encoder)
DeleteObj(stfs)
DeleteObj(actor)
DeleteObj(critic)
return INIT_FAILED;
}
}
if(!cSTFS.Load(FileName + "STFS.nnw", temp, temp, temp, dtStudied, true))
{
Print("Create new STFS");
if(!cSTFS.Create(stfs))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
DeleteObj(encoder)
DeleteObj(stfs)
DeleteObj(actor)
DeleteObj(critic)
return INIT_FAILED;
}
}
if(!cActor.Load(FileName + "Act.nnw", temp, temp, temp, dtStudied, true))
{
Print("Create new Actor");
if(!cActor.Create(actor))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
DeleteObj(encoder)
DeleteObj(stfs)
DeleteObj(actor)
DeleteObj(critic)
return INIT_FAILED;
}
}
if(!cCritic.Load(FileName + "Crt.nnw", temp, temp, temp, dtStudied, true))
{
Print("Create new Critic");
if(!cCritic.Create(critic))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
DeleteObj(encoder)
DeleteObj(stfs)
DeleteObj(actor)
DeleteObj(critic)
return INIT_FAILED;
}
}
DeleteObj(encoder)
DeleteObj(stfs)
DeleteObj(actor)
DeleteObj(critic)
//---
cEncoder.TrainMode(true);
cSTFS.TrainMode(true);
cActor.TrainMode(true);
cCritic.TrainMode(true);
COpenCL *opencl = cActor.GetOpenCL();
cCritic.SetOpenCL(opencl);
cEncoder.SetOpenCL(opencl);
cSTFS.SetOpenCL(opencl);
//---
if(!Symb.Name(_Symbol) || !Symb.Refresh())
return INIT_FAILED;
//---
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;
//---
cEncoder.GetLayerOutput(0, Result);
if(Result.Total() != (HistoryBars * BarDescr))
{
PrintFormat("Input size of Encoder doesn't match state description (%d <> %d)", Result.Total(), (HistoryBars * BarDescr));
return INIT_FAILED;
}
//---
if(!EventChartCustom(ChartID(), 1, 0, 0, "Init"))
{
PrintFormat("Error of create study event: %d", GetLastError());
return INIT_FAILED;
}
//---
return(INIT_SUCCEEDED);
}
//+------------------------------------------------------------------+
//| Expert deinitialization function |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
//---
if(!(reason == REASON_INITFAILED || reason == REASON_RECOMPILE))
{
if(!cEncoder.Save(FileName + "Enc.nnw", 0, 0, 0, TimeCurrent(), true))
PrintFormat("Error of save model: %s", "Encoder");
if(!cSTFS.Save(FileName + "STFS.nnw", 0, 0, 0, TimeCurrent(), true))
PrintFormat("Error of save model: %s", "STFS");
if(!cActor.Save(FileName + "Act.nnw", 0, 0, 0, TimeCurrent(), true))
PrintFormat("Error of save model: %s", "Actor");
if(!cCritic.Save(FileName + "Crt.nnw", 0, 0, 0, TimeCurrent(), true))
PrintFormat("Error of save model: %s", "Critic");
}
delete Result;
delete Action;
}
//+------------------------------------------------------------------+
//| ChartEvent function |
//+------------------------------------------------------------------+
void OnChartEvent(const int id,
const long &lparam,
const double &dparam,
const string &sparam)
{
//---
switch(id)
{
case 1001:
Train();
break;
case 1007:
Print("Event 1007");
if(!EventChartCustom(ChartID(), 1, 0, 0, "ChartEvent"))
{
PrintFormat("Error of create study event: %d", GetLastError());
ExpertRemove();
}
break;
}
}
//+------------------------------------------------------------------+
//| Train function |
//+------------------------------------------------------------------+
void Train(void)
{
int start = iBarShift(Symb.Name(), TimeFrame, Start);
int end = iBarShift(Symb.Name(), TimeFrame, End);
int bars = CopyRates(Symb.Name(), TimeFrame, 0, start, Rates);
//---
if(!RSI.BufferResize(bars) || !CCI.BufferResize(bars) ||
!ATR.BufferResize(bars) || !MACD.BufferResize(bars))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
ExpertRemove();
return;
}
//---
int count = -1;
bool calculated = false;
do
{
count++;
calculated = (RSI.BarsCalculated() >= bars &&
CCI.BarsCalculated() >= bars &&
ATR.BarsCalculated() >= bars &&
MACD.BarsCalculated() >= bars
);
Sleep(100);
count++;
}
while(!calculated && count < 100);
if(!calculated)
{
PrintFormat("%s -> %d The training data has not been loaded", __FUNCTION__, __LINE__);
ExpertRemove();
return;
}
RSI.Refresh();
CCI.Refresh();
ATR.Refresh();
MACD.Refresh();
//---
if(!ArraySetAsSeries(Rates, true))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
ExpertRemove();
return;
}
bars -= end + HistoryBars + NForecast;
if(bars < 0)
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
ExpertRemove();
return;
}
//---
vector<float> result, target, neg_target;
bool Stop = false;
//---
uint ticks = GetTickCount();
//---
for(int epoch = 0; (epoch < Epochs && !IsStopped() && !Stop); epoch ++)
{
if(!cEncoder.Clear() ||
!cSTFS.Clear() ||
!cActor.Clear() ||
!cCritic.Clear())
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
ExpertRemove();
return;
}
for(int posit = start - HistoryBars - NForecast - 1; posit >= end; posit--)
{
if(!CreateBuffers(posit, GetPointer(bState), GetPointer(bTime), Result))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
ExpertRemove();
return;
}
const vector<float> account = SampleAccount(GetPointer(bState), datetime(bTime[0]));
const vector<float> target_action = OraculAction(account, Result);
if(!bAccount.AssignArray(account))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
ExpertRemove();
return;
}
//--- Feed Forward
if(!cEncoder.feedForward((CBufferFloat*)GetPointer(bState), 1, false, (CBufferFloat*)GetPointer(bTime)))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
#ifdef _DEBUG
vector<float> res;
cEncoder.getResults(res);
#endif
if(!cSTFS.feedForward(GetPointer(cEncoder), LatentLayer, (CBufferFloat*)NULL))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
#ifdef _DEBUG
cSTFS.getResults(res);
#endif
if(!cActor.feedForward(GetPointer(bAccount), 1, false, GetPointer(cEncoder), LatentLayer))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
#ifdef _DEBUG
cActor.getResults(res);
#endif
if(!cCritic.feedForward(GetPointer(cActor), -1, GetPointer(cEncoder), LatentLayer))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
#ifdef _DEBUG
cCritic.getResults(res);
#endif
//--- Study
if(!cSTFS.backProp(Result, (CBufferFloat*)NULL, (CBufferFloat*)NULL) ||
!cEncoder.backPropGradient((CBufferFloat*)GetPointer(bTime), (CBufferFloat*)NULL))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
cActor.getResults(Action);
double equity = bAccount[2] * bAccount[0] * EtalonBalance / (1 + bAccount[1]);
double reward = CheckAction(Action, equity, posit - NForecast + 1) / EtalonBalance;
//---
Result.Clear();
if(!Result.Add(float(reward)))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
if(!cCritic.backProp(Result, GetPointer(cEncoder), LatentLayer)
|| !cEncoder.backPropGradient((CBufferFloat*)GetPointer(bTime), (CBufferFloat*)NULL))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
//--- Oracul
if(!Action.AssignArray(target_action))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
reward = CheckAction(Action, equity, posit - NForecast + 1) / EtalonBalance;
if(reward > 0)
if(!cActor.backProp(Action, GetPointer(cEncoder), LatentLayer) ||
!cEncoder.backPropGradient((CBufferFloat*)GetPointer(bTime), (CBufferFloat*)NULL))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
if(!cCritic.feedForward(Action, 1, false, GetPointer(cEncoder), LatentLayer))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
if(!Result.Update(0, float(reward)))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
if(!cCritic.backProp(Result, GetPointer(cEncoder), LatentLayer) ||
!cEncoder.backPropGradient((CBufferFloat*)GetPointer(bTime), (CBufferFloat*)NULL))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
//---
if(GetTickCount() - ticks > 500)
{
double percent = (epoch + 1.0 - double(posit - end) / (start - end - HistoryBars - NForecast)) / Epochs * 100.0;
string str = "";
str += StringFormat("%-12s %6.2f%% -> Error %15.8f\n", "STFS", percent, cSTFS.getRecentAverageError());
str += StringFormat("%-12s %6.2f%% -> Error %15.8f\n", "Actor", percent, cActor.getRecentAverageError());
str += StringFormat("%-12s %6.2f%% -> Error %15.8f\n", "Critic", percent, cCritic.getRecentAverageError());
Comment(str);
ticks = GetTickCount();
}
}
}
Comment("");
//---
PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "STFS", cSTFS.getRecentAverageError());
PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Actor", cActor.getRecentAverageError());
PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Critic", cCritic.getRecentAverageError());
ExpertRemove();
//---
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool CreateBuffers(const int start_bar, CBufferFloat* state, CBufferFloat *time, CBufferFloat* forecast)
{
if(!state || !time || start_bar < 0 ||
(start_bar + HistoryBars + NForecast) >= int(Rates.Size()))
return false;
//---
vector<float> vState = vector<float>::Zeros(HistoryBars * BarDescr);
vector<float> vForecast = vector<float>::Zeros(NForecast * BarDescr);
time.Clear();
time.Reserve(HistoryBars);
int bar = start_bar + NForecast;
for(int b = 0; b < (int)HistoryBars; b++)
{
float open = (float)Rates[b + bar].open;
float rsi = (float)RSI.Main(b + bar);
float cci = (float)CCI.Main(b + bar);
float atr = (float)ATR.Main(b + bar);
float macd = (float)MACD.Main(b + bar);
float sign = (float)MACD.Signal(b + bar);
if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
return false;
//---
int shift = b * BarDescr;
vState[shift] = (float)(Rates[b + bar].close - open);
vState[shift + 1] = (float)(Rates[b + bar].high - open);
vState[shift + 2] = (float)(Rates[b + bar].low - open);
vState[shift + 3] = (float)(Rates[b + bar].tick_volume / 1000.0f);
vState[shift + 4] = rsi;
vState[shift + 5] = cci;
vState[shift + 6] = atr;
vState[shift + 7] = macd;
vState[shift + 8] = sign;
if(!time.Add(float(Rates[b + bar].time)))
return false;
}
//---
bar--;
for(int b = 1; b <= (int)NForecast; b++)
{
float open = (float)Rates[bar - b].open;
float rsi = (float)RSI.Main(bar - b);
float cci = (float)CCI.Main(bar - b);
float atr = (float)ATR.Main(bar - b);
float macd = (float)MACD.Main(bar - b);
float sign = (float)MACD.Signal(bar - b);
if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
return false;
//---
int shift = (NForecast - b) * BarDescr;
vForecast[shift] = (float)(Rates[bar - b].close - open);
vForecast[shift + 1] = (float)(Rates[bar - b].high - open);
vForecast[shift + 2] = (float)(Rates[bar - b].low - open);
vForecast[shift + 3] = (float)(Rates[bar - b].tick_volume / 1000.0f);
vForecast[shift + 4] = rsi;
vForecast[shift + 5] = cci;
vForecast[shift + 6] = atr;
vForecast[shift + 7] = macd;
vForecast[shift + 8] = sign;
}
//---
if(!state.AssignArray(vState))
return false;
if(!forecast.AssignArray(vForecast))
return false;
if(time.GetIndex() >= 0)
if(!time.BufferWrite())
return false;
//---
return true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
const vector<float> SampleAccount(CBufferFloat *state, datetime time)
{
vector<float> result = vector<float>::Zeros(AccountDescr);
if(!state)
return result;
//---
double marg = 0;
if(!Symb.RefreshRates() || !OrderCalcMargin(ORDER_TYPE_BUY, Symb.Name(), 1, Symb.Ask(), marg))
return result;
double buy_lot = 0, sell_lot = 0, profit = 0;
double deal = 0;//MathRand() / (32767 * 0.5) - 1;
double multiplyer = 1.0 / (60.0 * 60.0 * 10.0);
//---
double balance = (MaxBalance - MinBalance) * MathRand() / 32767.0 + MinBalance;
double prev_balance = balance;
double equity = balance;
double prev_equity = balance;
double position_discount = 0;
//---
if(deal > 0)
{
double lot = balance / (2.0 * marg) * deal;
if(lot >= Symb.LotsMin())
buy_lot = MathMin(int((lot - Symb.LotsMin()) / Symb.LotsStep()) * Symb.LotsStep() + Symb.LotsMin(), 1.0);
}
else
if(deal < 0)
{
double lot = MathAbs(balance / (2.0 * marg) * deal);
if(lot >= Symb.LotsMin())
sell_lot = MathMin(int((lot - Symb.LotsMin()) / Symb.LotsStep()) * Symb.LotsStep() + Symb.LotsMin(), 1.0);
}
else
prev_balance += (MathRand() / (2.0 * 32767.0) - 0.25) * balance;
//---
if(sell_lot > 0 || buy_lot > 0)
{
int pos_open = int(MathRand() / 32767.0 * (state.Total() / BarDescr - 1));
for(int i = 0; i <= pos_open; i++)
{
profit += state.At(i * BarDescr) / Symb.TickSize() * Symb.TickValue();
if(((buy_lot > 0 && profit < 0) ||
(sell_lot > 0 && profit > 0))
&& MathAbs(profit * (buy_lot - sell_lot)) > balance / 2)
{
pos_open = i;
break;
}
}
profit *= buy_lot - sell_lot;
equity += profit;
prev_equity = equity - state.At(0) / Symb.TickSize() * Symb.TickValue() * (buy_lot - sell_lot);
position_discount = pos_open * PeriodSeconds(TimeFrame) * multiplyer * MathAbs(profit);
}
//---
result[0] = float(balance / EtalonBalance);
result[1] = float((balance - prev_balance) / prev_balance);
result[2] = float(equity / prev_balance);
result[3] = float((equity - prev_equity) / prev_equity);
result[4] = float(buy_lot);
result[5] = float(sell_lot);
result[6] = float(buy_lot * profit / prev_balance);
result[7] = float(sell_lot * profit / prev_balance);
result[8] = float(position_discount / prev_balance);
double x = time / (double)(D'2024.01.01' - D'2023.01.01');
result[9] = float(MathSin(x != 0 ? 2.0 * M_PI * x : 0));
x = time / (double)PeriodSeconds(PERIOD_MN1);
result[10] = float(MathCos(x != 0 ? 2.0 * M_PI * x : 0));
x = time / (double)PeriodSeconds(PERIOD_W1);
result[11] = float(MathSin(x != 0 ? 2.0 * M_PI * x : 0));
x = time / (double)PeriodSeconds(PERIOD_D1);
result[12] = float(MathSin(x != 0 ? 2.0 * M_PI * x : 0));
//---
return result;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double CheckAction(CBufferFloat *action, double equity, uint start_position)
{
if(!action || start_position >= Rates.Size())
return 0;
//---
double buy_lot = MathMax(double(action[0] - action[3]), 0);
double sell_lot = MathMax(double(action[3] - action[0]), 0);
double marg = 0;
if(!OrderCalcMargin(ORDER_TYPE_BUY, Symb.Name(), 1, Symb.Ask(), marg))
return 0;
double point_cost = Symb.TickValue() / Symb.TickSize();
if(MathMax(buy_lot, sell_lot) < Symb.LotsMin())
{
double loss = -MathMax(Rates[start_position].high - Rates[start_position].open,
Rates[start_position].open - Rates[start_position].low) *
point_cost * equity / (2 * marg);
return loss;
}
if((marg * MathMax(buy_lot, sell_lot)) >= equity)
{
double loss = -MathMax(Rates[start_position].high - Rates[start_position].open,
Rates[start_position].open - Rates[start_position].low) *
point_cost * MathMax(buy_lot, sell_lot);
return loss;
}
point_cost *= MathAbs(buy_lot - sell_lot);
//---
double tp = 0, sl = 0, profit = 0, reward = 0;
int stops = MathMax(Symb.StopsLevel(), 10);
int spread = Symb.Spread();
if(buy_lot > 0)
{
tp = action[1] * MaxTP;
sl = action[2] * MaxSL;
if(int(tp) < stops || int(sl) < (stops + spread))
{
double loss = -MathMax(Rates[start_position].high - Rates[start_position].open,
Rates[start_position].open - Rates[start_position].low) *
point_cost * buy_lot;
return loss;
}
tp = (tp + spread) * Symb.Point() + Rates[start_position].open;
sl = Rates[start_position].open - (sl + spread) * Symb.Point();
reward = profit = -spread * Symb.Point() * point_cost;
for(uint i = start_position; i > 0; i--)
{
if(sl >= Rates[i].low)
{
double p = (Rates[i].open - sl) * point_cost;
profit -= p;
reward -= p * MathPow(DiscFactor, float(i - start_position));
break;
}
if(tp <= Rates[i].high)
{
double p = (tp - Rates[i].open) * point_cost;
profit += p;
reward += p * MathPow(DiscFactor, float(i - start_position));
break;
}
double p = (Rates[i - 1].open - Rates[i].open) * point_cost;
profit += p;
reward += p * MathPow(DiscFactor, float(i - start_position));
if(-profit >= equity)
{
reward -= 1000;
break;
}
}
}
//---
if(sell_lot > 0)
{
tp = action[4] * MaxTP;
sl = action[5] * MaxSL;
if(int(tp) < stops || int(sl) < (stops + spread))
{
double loss = -MathMax(Rates[start_position].high - Rates[start_position].open,
Rates[start_position].open - Rates[start_position].low) *
point_cost * sell_lot;
return loss;
}
tp = Rates[start_position].open - (tp + spread) * Symb.Point();
sl = Rates[start_position].open + (sl - spread) * Symb.Point();
for(uint i = start_position; i > 0; i--)
{
if(sl <= Rates[i].high)
{
double p = (sl - Rates[i].open) * point_cost;
profit -= p;
reward -= p * MathPow(DiscFactor, float(i - start_position));
break;
}
if(tp >= Rates[i].low)
{
double p = (Rates[i].open - tp) * point_cost;
profit += p;
reward += p * MathPow(DiscFactor, float(i - start_position));
break;
}
double p = (Rates[i - 1].open - Rates[i].open) * point_cost;
profit -= p;
reward -= p * MathPow(DiscFactor, float(i - start_position));
if(-profit >= equity)
{
reward -= 1000;
break;
}
}
}
//---
return reward;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
vector<float> OraculAction(const vector<float> &account, CBufferFloat *forecat)
{
//--- Look for target
vector<float> result = vector<float>::Zeros(NActions);
matrix<float> fstate = matrix<float>::Zeros(NForecast, BarDescr);
if(!forecat.GetData(fstate))
return result;
//---
vector<float> target = fstate.Col(0).CumSum();
if(account[4] > account[5])
{
float tp = 0;
float sl = 0;
float cur_sl = float(MathMax(MathRand() / 32767.0, 0.01) * MaxSL * Point());
int pos = 0;
for(int j = 0; j < NForecast; j++)
{
tp = MathMax(tp, target[j] + fstate[j, 1] - fstate[j, 0]);
pos = j;
if(cur_sl >= -(target[j] + fstate[j, 2] - fstate[j, 0]))
break;
sl = MathMin(sl, target[j] + fstate[j, 2] - fstate[j, 0]);
}
if(pos > 0 && tp > 0)
{
sl = float(MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01));
tp = float(MathMax(MathMin(tp / (MaxTP * Point()), 1), 0.01));
result[0] = MathMax(result[0] - result[3], 0.011f);
result[5] = result[1] = tp;
result[4] = result[2] = sl;
result[3] = 0;
}
}
else
{
if(account[4] < account[5])
{
float tp = 0;
float sl = 0;
float cur_sl = float(MathMax(MathRand() / 32767.0, 0.01) * MaxSL * Point());
int pos = 0;
for(int j = 0; j < NForecast; j++)
{
tp = MathMin(tp, target[j] + fstate[j, 2] - fstate[j, 0]);
pos = j;
if(cur_sl <= target[j] + fstate[j, 1] - fstate[j, 0])
break;
sl = MathMax(sl, target[j] + fstate[j, 1] - fstate[j, 0]);
}
if(pos > 0 && tp < 0)
{
sl = float(MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01));
tp = float(MathMax(MathMin(-tp / (MaxTP * Point()), 1), 0.01));
result[3] = MathMax(result[3] - result[0], 0.011f);
result[2] = result[4] = tp;
result[1] = result[5] = sl;
result[0] = 0;
}
}
else
{
ulong argmin = target.ArgMin();
ulong argmax = target.ArgMax();
float max_sl = float(MaxSL * Point());
double equity = account[2] * account[0] * EtalonBalance / (1 + account[1]);
while(argmax > 0 && argmin > 0)
{
if(argmax < argmin && target[argmax] / 2 > MathAbs(target[argmin]) && MathAbs(target[argmin]) < max_sl)
break;
if(argmax > argmin && target[argmax] < MathAbs(target[argmin] / 2) && target[argmax] < max_sl)
break;
target.Resize(MathMin(argmax, argmin));
argmin = target.ArgMin();
argmax = target.ArgMax();
}
if(argmin == 0 || (argmax < argmin && argmax > 0))
{
float tp = 0;
float sl = 0;
float cur_sl = - float(MaxSL * Point());
ulong pos = 0;
for(ulong j = 0; j < argmax; j++)
{
tp = MathMax(tp, target[j] + fstate[j, 1] - fstate[j, 0]);
pos = j;
if(cur_sl >= -(target[j] + fstate[j, 2] - fstate[j, 0]))
break;
sl = MathMin(sl, target[j] + fstate[j, 2] - fstate[j, 0]);
}
if(pos > 0 && tp > 0)
{
sl = (float)MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01);
tp = (float)MathMin(tp / (MaxTP * Point()), 1);
result[0] = float(MathMax(equity / 100 * 0.01, 0.011));
result[5] = result[1] = tp;
result[4] = result[2] = sl;
result[3] = 0;
}
}
else
{
if(argmax == 0 || argmax > argmin)
{
float tp = 0;
float sl = 0;
float cur_sl = float(MaxSL * Point());
ulong pos = 0;
for(ulong j = 0; j < argmin; j++)
{
tp = MathMin(tp, target[j] + fstate[j, 2] - fstate[j, 0]);
pos = j;
if(cur_sl <= target[j] + fstate[j, 1] - fstate[j, 0])
break;
sl = MathMax(sl, target[j] + fstate[j, 1] - fstate[j, 0]);
}
if(pos > 0 && tp < 0)
{
sl = (float)MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01);
tp = (float)MathMin(-tp / (MaxTP * Point()), 1);
result[3] = float(MathMax(equity / 100 * 0.01, 0.011));
result[2] = result[4] = tp;
result[1] = result[5] = sl;
result[0] = 0;
}
}
}
}
}
//---
return result;
}
//+------------------------------------------------------------------+
Copy permalink