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NN_in_Trading/Experts/LightGTS/Study.mq5

675 linhas
50 KiB
MQL5
Em bruto Ligação permanente Vista normal Histórico

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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 "Trajectory.mqh"
#include <Trade\SymbolInfo.mqh>
#include <Indicators\Oscilators.mqh>
//+------------------------------------------------------------------+
//| Input parameters |
//+------------------------------------------------------------------+
input datetime Start = D'2010.01.01';
input datetime End = D'2025.01.01';
input int Iterations = 1000000;
input double MinBalance = 50;
input double MaxBalance = 300;
input group "---- Indicators ----"
input ENUM_TIMEFRAMES TimeFrame = PERIOD_M1;
//---
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 caForecast[3];
CNet cActor;
CNet cCritic;
CNet cDirector;
//---
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 *forecast[3];
CArrayObj *actor = new CArrayObj();
CArrayObj *director = new CArrayObj();
CArrayObj *critic = new CArrayObj();
if(!CreateDescriptions(encoder, forecast[0], forecast[1], forecast[2], actor, director, critic))
{
delete encoder;
delete actor;
delete director;
delete critic;
for(uint i = 0; i < forecast.Size(); i++)
delete forecast[i];
return INIT_FAILED;
}
if(!cEncoder.Load(FileName + "Enc.nnw", temp, temp, temp, dtStudied, true))
{
Print("Create new State Encoder");
if(!cEncoder.Create(encoder))
{
delete encoder;
delete actor;
delete director;
delete critic;
for(uint i = 0; i < forecast.Size(); i++)
delete forecast[i];
return INIT_FAILED;
}
}
for(uint f = 0; f < forecast.Size(); f++)
{
if(!caForecast[f].Load(StringFormat("%sFrc%d.nnw", FileName, f), temp, temp, temp, dtStudied, true))
{
Print("Create new Forecast model");
if(!caForecast[f].Create(forecast[f]))
{
delete encoder;
delete actor;
delete director;
delete critic;
for(uint i = 0; i < forecast.Size(); i++)
delete forecast[i];
return INIT_FAILED;
}
}
}
if(!cActor.Load(FileName + "Act.nnw", temp, temp, temp, dtStudied, true))
{
Print("Create new Actor");
if(!cActor.Create(actor))
{
delete encoder;
delete actor;
delete director;
delete critic;
for(uint i = 0; i < forecast.Size(); i++)
delete forecast[i];
return INIT_FAILED;
}
}
if(!cCritic.Load(FileName + "Crt.nnw", temp, temp, temp, dtStudied, true))
{
Print("Create new Critic");
if(!cCritic.Create(critic))
{
delete encoder;
delete actor;
delete director;
delete critic;
for(uint i = 0; i < forecast.Size(); i++)
delete forecast[i];
return INIT_FAILED;
}
}
if(!cDirector.Load(FileName + "Drc.nnw", temp, temp, temp, dtStudied, true))
{
Print("Create new Director");
if(!cDirector.Create(director))
{
delete encoder;
delete actor;
delete director;
delete critic;
for(uint i = 0; i < forecast.Size(); i++)
delete forecast[i];
return INIT_FAILED;
}
}
delete encoder;
delete actor;
delete director;
delete critic;
for(uint i = 0; i < forecast.Size(); i++)
delete forecast[i];
//---
cEncoder.TrainMode(true);
cActor.TrainMode(true);
cCritic.TrainMode(true);
cDirector.TrainMode(true);
for(uint i = 0; i < caForecast.Size(); i++)
caForecast[i].TrainMode(true);
COpenCL *opencl = cActor.GetOpenCL();
cDirector.SetOpenCL(opencl);
cCritic.SetOpenCL(opencl);
cEncoder.SetOpenCL(opencl);
for(uint i = 0; i < caForecast.Size(); i++)
caForecast[i].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.TrainMode(true);
//---
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");
for(uint f = 0; f < caForecast.Size(); f++)
{
if(!caForecast[f].Save(StringFormat("%sFrc%d.nnw", FileName, f), 0, 0, 0, TimeCurrent(), true))
PrintFormat("Error of save model: %s %d", "Forecast", f);
}
if(!cActor.Save(FileName + "Act.nnw", 0, 0, 0, TimeCurrent(), true))
PrintFormat("Error of save model: %s", "Encoder");
if(!cCritic.Save(FileName + "Crt.nnw", 0, 0, 0, TimeCurrent(), true))
PrintFormat("Error of save model: %s", "Encoder");
if(!cDirector.Save(FileName + "Drc.nnw", 0, 0, 0, TimeCurrent(), true))
PrintFormat("Error of save model: %s", "Encoder");
}
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:
PrintFormat("Wrong event: %d", id);
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 iter = 0; (iter < Iterations && !IsStopped() && !Stop); iter ++)
{
int posit = (int)((MathRand() * MathRand() / MathPow(32767, 2)) * bars);
if(!CreateBuffers(posit + end, GetPointer(bState), GetPointer(bTime), Result))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
ExpertRemove();
return;
}
const vector<float> account = SampleAccount(GetPointer(bState), datetime(bTime[0]));
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;
}
for(uint f = 0; f < caForecast.Size(); f++)
if(!caForecast[f].feedForward(GetPointer(cEncoder), -1, (CBufferFloat*)NULL))
{
PrintFormat("%s -> %d - Forecast %d", __FUNCTION__, __LINE__, f);
Stop = true;
break;
}
if(!cActor.feedForward(GetPointer(bAccount), 1, false, GetPointer(cEncoder), LatentLayer))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
if(!cCritic.feedForward(GetPointer(cActor), -1, GetPointer(cEncoder), LatentLayer))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
if(!cDirector.feedForward(GetPointer(cActor), -1, GetPointer(cEncoder), LatentLayer))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
//--- Study
for(uint f = 0; f < caForecast.Size(); f++)
if(!caForecast[f].backProp(Result, (CBufferFloat*)NULL) ||
!cEncoder.backPropGradient((CBufferFloat*)NULL))
{
PrintFormat("%s -> %d - Forecast %d", __FUNCTION__, __LINE__, f);
Stop = true;
break;
}
//---
cActor.getResults(Action);
double equity = bAccount[2] * bAccount[0] * EtalonBalance / (1 + bAccount[1]);
double reward = CheckAction(Action, equity, posit - NForecast + 1);
Result.Clear();
if(!Result.Add(float(reward)))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
if(!cCritic.backProp(Result, GetPointer(cEncoder), LatentLayer) ||
!cActor.backPropGradient(GetPointer(cEncoder), LatentLayer, -1, true))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
if(!Result.Update(0, float(reward > 0)))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
if(!cDirector.backProp(Result, GetPointer(cEncoder), LatentLayer) ||
!cActor.backPropGradient(GetPointer(cEncoder), LatentLayer, -1, true))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
if(GetTickCount() - ticks > 500)
{
double percent = double(iter) * 100.0 / (Iterations);
string str = "";
for(uint f = 0; f < caForecast.Size(); f++)
str += StringFormat("%-12s%d %6.2f%% -> Error %15.8f\n", "Forecast", f, percent, caForecast[f].getRecentAverageError());
str += StringFormat("%-12s %6.2f%% -> Error %15.8f\n", "Critic", percent, cCritic.getRecentAverageError());
str += StringFormat("%-12s %6.2f%% -> Error %15.8f\n", "Director", percent, cDirector.getRecentAverageError());
Comment(str);
ticks = GetTickCount();
}
}
Comment("");
//---
for(uint f = 0; f < caForecast.Size(); f++)
PrintFormat("%s -> %d -> %-15s%d %10.7f", __FUNCTION__, __LINE__, "Forecast", f, caForecast[f].getRecentAverageError());
PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Critic", cCritic.getRecentAverageError());
PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Director", cDirector.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 = 0; 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 - 1) * 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 = 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();
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;
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();
profit = -spread * Symb.Point() * point_cost;
for(uint i = start_position; i < Rates.Size() - 1; i++)
{
if(sl >= Rates[i].low)
{
profit -= (Rates[i].open - sl) * point_cost * MathPow(DiscFactor, float(i - start_position));
break;
}
if(tp <= Rates[i].high)
{
profit += (tp - Rates[i].open) * point_cost * MathPow(DiscFactor, float(i - start_position));
break;
}
profit += (Rates[i + 1].open - Rates[i].open) * point_cost * MathPow(DiscFactor, float(i - start_position));
if(-profit >= equity)
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 < Rates.Size() - 1; i++)
{
if(sl <= Rates[i].high)
{
profit -= (sl - Rates[i].open) * point_cost * MathPow(DiscFactor, float(i - start_position));
break;
}
if(tp >= Rates[i].low)
{
profit += (Rates[i].open - tp) * point_cost * MathPow(DiscFactor, float(i - start_position));
break;
}
profit -= (Rates[i + 1].open - Rates[i].open) * point_cost * MathPow(DiscFactor, float(i - start_position));
if(-profit >= equity)
break;
}
}
//---
return profit;
}
//+------------------------------------------------------------------+
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