balmao8892/NN_in_Trading
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원본 프로젝트 dng/NN_in_Trading
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NN_in_Trading/Experts/MacroHFT/Study.mq5

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MQL5
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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
#include "Trajectory.mqh"
//+------------------------------------------------------------------+
//| Input parameters |
//+------------------------------------------------------------------+
input int Iterations = 100000;
input int Batch = 3 * 60;
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
STrajectory Buffer[];
CNet Actor;
//---
float dError;
datetime dtStudied;
//---
CBufferFloat bState;
CBufferFloat bTime;
CBufferFloat bAccount;
CBufferFloat bGradient;
CBufferFloat bActions;
CBufferFloat *Result;
vector<float> check;
vector<float> STD_Actor;
vector<float> STD_Goal;
//+------------------------------------------------------------------+
//| Expert initialization function |
//+------------------------------------------------------------------+
int OnInit()
{
//---
ResetLastError();
if(!LoadTotalBase())
{
PrintFormat("Error of load study data: %d", GetLastError());
return INIT_FAILED;
}
//--- load models
float temp;
if(!Actor.Load(FileName + "Act.nnw", temp, temp, temp, dtStudied, true))
{
Print("Create new model");
CArrayObj *actor = new CArrayObj();
if(!CreateDescriptions(actor))
{
delete actor;
return INIT_FAILED;
}
if(!Actor.Create(actor))
{
delete actor;
return INIT_FAILED;
}
delete actor;
}
//---
Actor.TrainMode(true);
//---
Actor.getResults(Result);
if(Result.Total() != NActions)
{
PrintFormat("The scope of the actor does not match the actions count (%d <> %d)", NActions, Result.Total());
return INIT_FAILED;
}
//---
Actor.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(!bGradient.BufferInit(MathMax(AccountDescr, NActions), 0) ||
!bGradient.BufferCreate(Actor.GetOpenCL()))
{
PrintFormat("Error of create buffers: %d", GetLastError());
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))
{
Actor.Save(FileName + "Act.nnw", 0, 0, 0, TimeCurrent(), true);
}
delete Result;
}
//+------------------------------------------------------------------+
//| ChartEvent function |
//+------------------------------------------------------------------+
void OnChartEvent(const int id,
const long &lparam,
const double &dparam,
const string &sparam)
{
//---
if(id == 1001)
Train();
}
//+------------------------------------------------------------------+
//| Train function |
//+------------------------------------------------------------------+
void Train(void)
{
//---
vector<float> probability = GetProbTrajectories(Buffer, 0.9);
//---
vector<float> result, target, state;
matrix<float> fstate = matrix<float>::Zeros(1, NForecast * BarDescr);
bool Stop = false;
//---
uint ticks = GetTickCount();
//---
for(int iter = 0; (iter < Iterations && !IsStopped() && !Stop); iter += Batch)
{
int tr = SampleTrajectory(probability);
int start = (int)((MathRand() * MathRand() / MathPow(32767, 2)) * (Buffer[tr].Total - 2 - NForecast - Batch));
if(start <= 0)
{
iter -= Batch;
continue;
}
if(!Actor.Clear())
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
for(int i = start; i < MathMin(Buffer[tr].Total, start + Batch); i++)
{
if(!state.Assign(Buffer[tr].States[i].state) ||
MathAbs(state).Sum() == 0 ||
!bState.AssignArray(state))
{
iter -= Batch + start - i;
break;
}
//---
bTime.Clear();
double time = (double)Buffer[tr].States[i].account[7];
double x = time / (double)(D'2024.01.01' - D'2023.01.01');
bTime.Add((float)MathSin(x != 0 ? 2.0 * M_PI * x : 0));
x = time / (double)PeriodSeconds(PERIOD_MN1);
bTime.Add((float)MathCos(x != 0 ? 2.0 * M_PI * x : 0));
x = time / (double)PeriodSeconds(PERIOD_W1);
bTime.Add((float)MathSin(x != 0 ? 2.0 * M_PI * x : 0));
x = time / (double)PeriodSeconds(PERIOD_D1);
bTime.Add((float)MathSin(x != 0 ? 2.0 * M_PI * x : 0));
if(bTime.GetIndex() >= 0)
bTime.BufferWrite();
//--- Previous Action
Actor.getResults(result);
//--- Account
float PrevBalance = Buffer[tr].States[MathMax(i - 1, 0)].account[0];
float PrevEquity = Buffer[tr].States[MathMax(i - 1, 0)].account[1];
float profit = float(bState[0] / _Point * (result[0] - result[3]));
bAccount.Clear();
bAccount.Add((PrevEquity - PrevBalance) / PrevBalance);
bAccount.Add((PrevEquity + profit) / PrevEquity);
bAccount.Add(profit / PrevEquity);
bAccount.Add(MathMax(result[0] - result[3], 0));
bAccount.Add(MathMax(result[3] - result[0], 0));
bAccount.Add((bAccount[3] > 0 ? profit / PrevBalance : 0));
bAccount.Add((bAccount[4] > 0 ? profit / PrevBalance : 0));
bAccount.Add(0);
bAccount.AddArray(GetPointer(bTime));
if(bAccount.GetIndex() >= 0)
bAccount.BufferWrite();
//--- Feed Forward
if(!Actor.feedForward((CBufferFloat*)GetPointer(bState), 1, false, GetPointer(bAccount)))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
//--- Look for target
target = vector<float>::Zeros(NActions);
bActions.AssignArray(target);
if(!state.Assign(Buffer[tr].States[i + NForecast].state) ||
!state.Resize(NForecast * BarDescr) ||
MathAbs(state).Sum() == 0)
{
iter -= Batch + start - i;
break;
}
if(!fstate.Resize(1, NForecast * BarDescr) ||
!fstate.Row(state, 0) ||
!fstate.Reshape(NForecast, BarDescr))
{
iter -= Batch + start - i;
break;
}
for(int j = 0; j < NForecast / 2; j++)
{
if(!fstate.SwapRows(j, NForecast - j - 1))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
}
target = fstate.Col(0).CumSum();
if(result[0] > result[3])
{
float tp = 0;
float sl = 0;
float cur_sl = float(-(result[2] > 0 ? result[2] : 1) * 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(tp > 0)
{
sl = float(MathMin(MathAbs(sl) / (MaxSL * Point()), 1));
tp = float(MathMin(tp / (MaxTP * Point()), 1));
result[0] = MathMax(result[0] - result[3], 0.011f);
result[1] = tp;
result[2] = sl;
for(int j = 3; j < NActions; j++)
result[j] = 0;
bActions.AssignArray(result);
}
}
else
{
if(result[0] < result[3])
{
float tp = 0;
float sl = 0;
float cur_sl = float((result[5] > 0 ? result[5] : 1) * 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(tp < 0)
{
sl = float(MathMin(MathAbs(sl) / (MaxSL * Point()), 1));
tp = float(MathMin(-tp / (MaxTP * Point()), 1));
result[3] = MathMax(result[3] - result[0], 0.011f);
result[4] = tp;
result[5] = sl;
for(int j = 0; j < 3; j++)
result[j] = 0;
bActions.AssignArray(result);
}
}
else
{
ulong argmin = target.ArgMin();
ulong argmax = target.ArgMax();
while(argmax > 0 && argmin > 0)
{
if(argmax < argmin && target[argmax] > MathAbs(target[argmin]))
break;
if(argmax > argmin && target[argmax] < MathAbs(target[argmin]))
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(tp > 0)
{
sl = (float)MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01);
tp = (float)MathMin(tp / (MaxTP * Point()), 1);
result[0] = float(MathMax(Buffer[tr].States[i].account[0] / 100 * 0.01, 0.011));
result[1] = tp;
result[2] = sl;
for(int j = 3; j < NActions; j++)
result[j] = 0;
bActions.AssignArray(result);
}
}
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(tp < 0)
{
sl = (float)MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01);
tp = (float)MathMin(-tp / (MaxTP * Point()), 1);
result[3] = float(MathMax(Buffer[tr].States[i].account[0] / 100 * 0.01, 0.011));
result[4] = tp;
result[5] = sl;
for(int j = 0; j < 3; j++)
result[j] = 0;
bActions.AssignArray(result);
}
}
}
}
}
//--- Actor Policy
if(!Actor.backProp(GetPointer(bActions), (CBufferFloat*)GetPointer(bAccount), GetPointer(bGradient)))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
//---
if(GetTickCount() - ticks > 500)
{
double percent = double(iter + i - start) * 100.0 / (Iterations);
string str = StringFormat("%-14s %6.2f%% -> Error %15.8f\n", "Actor", percent, Actor.getRecentAverageError());
Comment(str);
ticks = GetTickCount();
}
}
}
Comment("");
//---
PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Actor", Actor.getRecentAverageError());
ExpertRemove();
//---
}
//+------------------------------------------------------------------+
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