balmao8892/NN_in_Trading
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원본 프로젝트 dng/NN_in_Trading
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NN_in_Trading/Experts/RL/Q-learning.mq5

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22 KiB
MQL5
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new files added
2026-03-12 15:02:23 +02:00
<EFBFBD><EFBFBD>//+------------------------------------------------------------------+
//| Q-Learning.mq5 |
//| Copyright 2022, DNG |
//| https://www.mql5.com/ru/users/dng |
//+------------------------------------------------------------------+
#property copyright "Copyright 2022, DNG"
#property link "https://www.mql5.com/ru/users/dng"
#property version "1.00"
//+------------------------------------------------------------------+
//| Includes |
//+------------------------------------------------------------------+
#include "..\NeuroNet_DNG\NeuroNet.mqh"
#include <Trade\SymbolInfo.mqh>
#include <Indicators\Oscilators.mqh>
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
#define FileName Symb.Name()+"_"+EnumToString((ENUM_TIMEFRAMES)Period())+"_"+StringSubstr(__FILE__,0,StringFind(__FILE__,".",0))
//+------------------------------------------------------------------+
//| Input parameters |
//+------------------------------------------------------------------+
input int StudyPeriod = 2; //Study period, years
uint HistoryBars = 20; //Depth of history
ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
input int Batch = 100;
input int UpdateTarget = 20;
input int Iterations = 1000;
input double DiscountFactor = 0.9;
int Actions = 3;
//---
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
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
CSymbolInfo Symb;
MqlRates Rates[];
CNet StudyNet;
CNet TargetNet;
CBufferFloat *TempData;
CiRSI RSI;
CiCCI CCI;
CiATR ATR;
CiMACD MACD;
//---
float dError;
datetime dtStudied;
bool bEventStudy;
MqlDateTime sTime;
//---
CBufferFloat State1;
CBufferFloat State2;
CBufferFloat Rewards;
//+------------------------------------------------------------------+
//| 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;
//---
float temp1, temp2;
if(!StudyNet.Load(FileName + ".nnw", dError, temp1, temp2, dtStudied, false) ||
!TargetNet.Load(FileName + ".nnw", dError, temp1, temp2, dtStudied, false))
return INIT_FAILED;
if(!StudyNet.TrainMode(true))
return INIT_FAILED;
//---
if(!StudyNet.GetLayerOutput(0, TempData))
return INIT_FAILED;
HistoryBars = TempData.Total() / 12;
StudyNet.getResults(TempData);
if(TempData.Total() != Actions)
return INIT_PARAMETERS_INCORRECT;
//---
bEventStudy = EventChartCustom(ChartID(), 1, 0, 0, "Init");
//---
return(INIT_SUCCEEDED);
}
//+------------------------------------------------------------------+
//| Expert deinitialization function |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
if(!!TempData)
delete TempData;
//---
}
//+------------------------------------------------------------------+
//| Expert tick function |
//+------------------------------------------------------------------+
void OnTick()
{
//---
}
//+------------------------------------------------------------------+
//| ChartEvent function |
//+------------------------------------------------------------------+
void OnChartEvent(const int id,
const long &lparam,
const double &dparam,
const string &sparam)
{
//---
if(id == 1001)
Train();
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void Train(void)
{
//---
MqlDateTime start_time;
TimeCurrent(start_time);
start_time.year -= StudyPeriod;
if(start_time.year <= 0)
start_time.year = 1900;
datetime st_time = StructToTime(start_time);
//---
int bars = CopyRates(Symb.Name(), TimeFrame, st_time, TimeCurrent(), Rates);
if(!RSI.BufferResize(bars) || !CCI.BufferResize(bars) || !ATR.BufferResize(bars) || !MACD.BufferResize(bars))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
ExpertRemove();
return;
}
if(!ArraySetAsSeries(Rates, true))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
ExpertRemove();
return;
}
//---
RSI.Refresh();
CCI.Refresh();
ATR.Refresh();
MACD.Refresh();
//---
int total = bars - (int)HistoryBars - 240;
bool use_target = false;
//---
for(int iter = 0; (iter < Iterations && !IsStopped()); iter += UpdateTarget)
{
int i = 0;
for(int batch = 0; batch < (Batch * UpdateTarget); batch++)
{
i = (int)((MathRand() * MathRand() / MathPow(32767, 2)) * (total));
State1.Clear();
State2.Clear();
int r = i + (int)HistoryBars;
if(r > bars)
continue;
for(int b = 0; b < (int)HistoryBars; b++)
{
int bar_t = r - b;
float open = (float)Rates[bar_t].open;
TimeToStruct(Rates[bar_t].time, sTime);
float rsi = (float)RSI.Main(bar_t);
float cci = (float)CCI.Main(bar_t);
float atr = (float)ATR.Main(bar_t);
float macd = (float)MACD.Main(bar_t);
float sign = (float)MACD.Signal(bar_t);
if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
continue;
//---
if(!State1.Add((float)Rates[bar_t].close - open) || !State1.Add((float)Rates[bar_t].high - open) || !State1.Add((float)Rates[bar_t].low - open) || !State1.Add((float)Rates[bar_t].tick_volume / 1000.0f) ||
!State1.Add(sTime.hour) || !State1.Add(sTime.day_of_week) || !State1.Add(sTime.mon) ||
!State1.Add(rsi) || !State1.Add(cci) || !State1.Add(atr) || !State1.Add(macd) || !State1.Add(sign))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
break;
}
if(!use_target)
continue;
//---
bar_t --;
open = (float)Rates[bar_t].open;
TimeToStruct(Rates[bar_t].time, sTime);
rsi = (float)RSI.Main(bar_t);
cci = (float)CCI.Main(bar_t);
atr = (float)ATR.Main(bar_t);
macd = (float)MACD.Main(bar_t);
sign = (float)MACD.Signal(bar_t);
if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
continue;
//---
if(!State2.Add((float)Rates[bar_t].close - open) || !State2.Add((float)Rates[bar_t].high - open) || !State2.Add((float)Rates[bar_t].low - open) || !State2.Add((float)Rates[bar_t].tick_volume / 1000.0f) ||
!State2.Add(sTime.hour) || !State2.Add(sTime.day_of_week) || !State2.Add(sTime.mon) ||
!State2.Add(rsi) || !State2.Add(cci) || !State2.Add(atr) || !State2.Add(macd) || !State2.Add(sign))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
break;
}
}
if(IsStopped())
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
ExpertRemove();
return;
}
if(State1.Total() < (int)HistoryBars * 12 ||
(use_target && State2.Total() < (int)HistoryBars * 12))
continue;
if(!StudyNet.feedForward(GetPointer(State1), 12, true))
return;
if(use_target)
{
if(!TargetNet.feedForward(GetPointer(State2), 12, true))
return;
TargetNet.getResults(TempData);
}
//---
Rewards.Clear();
double reward = Rates[i - 1 + 240].close - Rates[i - 1 + 240].open;
float add=(float)(use_target ? DiscountFactor * TempData.At(TempData.Maximum(0, 3)) : 0);
if(reward >= 0)
{
if(!Rewards.Add((float)(reward + add)) ||
!Rewards.Add((float)(-20 * reward + add)) ||
!Rewards.Add((float)(-reward + add)))
return;
}
else
if(!Rewards.Add((float)(20 * reward + add)) ||
!Rewards.Add((float)(-reward +add)) ||
!Rewards.Add((float)(reward + add)))
return;
//---
if(!StudyNet.backProp(GetPointer(Rewards)))
return;
}
if(!StudyNet.Save(FileName + ".nnw", StudyNet.getRecentAverageError(), 0, 0, Rates[i].time, false))
return;
float temp1, temp2;
if(!TargetNet.Load(FileName + ".nnw", dError, temp1, temp2, dtStudied, false))
return;
use_target = true;
PrintFormat("Iteration %d, loss %.5f", iter, StudyNet.getRecentAverageError());
}
Comment("");
//---
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
ExpertRemove();
}
//+------------------------------------------------------------------+
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