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NN_in_Trading/Experts/TimeMoE/StudyOnline.mq5

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2026-03-12 15:02:23 +02:00
<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 |
//+------------------------------------------------------------------+
#define StudyOnline
#define Critic
#include "Trajectory.mqh"
#include <Trade\Trade.mqh>
#include <Trade\SymbolInfo.mqh>
#include <Indicators\Oscilators.mqh>
//+------------------------------------------------------------------+
//| Input parameters |
//+------------------------------------------------------------------+
input ENUM_TIMEFRAMES TimeFrame = PERIOD_CURRENT;
//---
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 Agent = 1;
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
SState sState;
CNet cEncoder[2];
CNet cActor[2];
CNet cDirector;
CNet cCritic[6];
//---
float dError;
datetime dtStudied;
//---
CSymbolInfo Symb;
CTrade Trade;
//---
MqlRates Rates[];
CiRSI RSI;
CiCCI CCI;
CiATR ATR;
CiMACD MACD;
//---
CBufferFloat bState;
CBufferFloat bTime;
CBufferFloat bAccount;
CBufferFloat *Result;
vector<float> check;
double PrevBalance = 0;
double PrevEquity = 0;
bool bFirstRun = true;
//+------------------------------------------------------------------+
//| 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;
if(!RSI.BufferResize(HistoryBars) || !CCI.BufferResize(HistoryBars) ||
!ATR.BufferResize(HistoryBars) || !MACD.BufferResize(HistoryBars))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
return INIT_FAILED;
}
//---
if(!Trade.SetTypeFillingBySymbol(Symb.Name()))
return INIT_FAILED;
//--- 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;
for(uint i = 0; i < forecast.Size(); i++)
delete forecast[i];
delete actor;
delete director;
delete critic;
return INIT_FAILED;
}
if(!cEncoder[0].Load(FileName + "Enc.nnw", temp, temp, temp, dtStudied, true) ||
!cEncoder[1].Load(FileName + "Enc.nnw", temp, temp, temp, dtStudied, true))
{
Print("Can't load pretrained Encoder");
delete encoder;
for(uint i = 0; i < forecast.Size(); i++)
delete forecast[i];
delete actor;
delete director;
delete critic;
return INIT_FAILED;
}
if(!cActor[0].Load(FileName + "Act.nnw", temp, temp, temp, dtStudied, true) ||
!cActor[1].Load(FileName + "Act.nnw", temp, temp, temp, dtStudied, true))
{
Print("Create new Actor");
if(!cActor[0].Create(actor) ||
!cActor[1].Create(actor))
{
delete encoder;
for(uint i = 0; i < forecast.Size(); i++)
delete forecast[i];
delete actor;
delete director;
delete critic;
return INIT_FAILED;
}
cActor[1].SetOpenCL(cActor[0].GetOpenCL());
cActor[1].WeightsUpdate(GetPointer(cActor[0]), 1);
}
if(!cDirector.Load(FileName + "Drc.nnw", temp, temp, temp, dtStudied, true))
{
Print("Create new Director model");
if(!cDirector.Create(director))
{
delete encoder;
for(uint i = 0; i < forecast.Size(); i++)
delete forecast[i];
delete actor;
delete director;
delete critic;
return INIT_FAILED;
}
}
bool result = true;
for(uint i = 0; (i < cCritic.Size() && result); i++)
if(!cCritic[i].Load(FileName + "Crt.nnw", temp, temp, temp, dtStudied, true))
result = false;
if(!result)
{
Print("Create new Critic model");
for(uint i = 0; i < cCritic.Size(); i++)
if(!cCritic[i].Create(critic))
{
delete encoder;
for(uint i = 0; i < forecast.Size(); i++)
delete forecast[i];
delete actor;
delete director;
delete critic;
return INIT_FAILED;
}
for(int i = 1; i < 3; i++)
{
cCritic[2 * i].SetOpenCL(cCritic[0].GetOpenCL());
cCritic[2 * i + 1].SetOpenCL(cCritic[1].GetOpenCL());
if(!cCritic[2 * i].WeightsUpdate(GetPointer(cCritic[0]), 1) ||
!cCritic[2 * i + 1].WeightsUpdate(GetPointer(cCritic[1]), 1)
)
{
delete encoder;
for(uint i = 0; i < forecast.Size(); i++)
delete forecast[i];
delete actor;
delete director;
delete critic;
return INIT_FAILED;
}
}
}
delete encoder;
for(uint i = 0; i < forecast.Size(); i++)
delete forecast[i];
delete actor;
delete director;
delete critic;
//---
for(int i = 0; i < 2; i++)
{
cEncoder[i].TrainMode(false);
cActor[i].TrainMode(true);
cCritic[i].TrainMode(true);
cEncoder[i].SetOpenCL(cActor[0].GetOpenCL());
cCritic[i].SetOpenCL(cActor[0].GetOpenCL());
cEncoder[i].Clear();
cActor[i].Clear();
cCritic[i].Clear();
}
cDirector.TrainMode(true);
cDirector.SetOpenCL(cActor[0].GetOpenCL());
cDirector.Clear();
cActor[1].SetOpenCL(cActor[0].GetOpenCL());
for(uint i = 2; i < cCritic.Size(); i++)
{
cCritic[i].TrainMode(true);
cCritic[i].SetOpenCL(cActor[0].GetOpenCL());
cCritic[i].Clear();
}
//---
cActor[0].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;
}
//---
cEncoder[0].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;
}
//---
PrevBalance = AccountInfoDouble(ACCOUNT_BALANCE);
PrevEquity = AccountInfoDouble(ACCOUNT_EQUITY);
bFirstRun = true;
//---
return(INIT_SUCCEEDED);
}
//+------------------------------------------------------------------+
//| Expert deinitialization function |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
//---
if(!(reason == REASON_RECOMPILE))
{
cActor[0].Save(FileName + "Act.nnw", 0, 0, 0, TimeCurrent(), true);
cDirector.Save(FileName + "Drc.nnw", 0, 0, 0, TimeCurrent(), true);
if(cCritic[0].getRecentAverageError() <= cCritic[1].getRecentAverageError())
cCritic[0].Save(FileName + "Crt.nnw", 0, 0, 0, TimeCurrent(), true);
else
cCritic[1].Save(FileName + "Crt.nnw", 0, 0, 0, TimeCurrent(), true);
}
delete Result;
}
//+------------------------------------------------------------------+
//| Expert tick function |
//+------------------------------------------------------------------+
void OnTick()
{
//---
if(!IsNewBar())
return;
//---
int bars = CopyRates(Symb.Name(), TimeFrame, iTime(Symb.Name(), TimeFrame, 1), HistoryBars, Rates);
if(!ArraySetAsSeries(Rates, true))
return;
//---
RSI.Refresh();
CCI.Refresh();
ATR.Refresh();
MACD.Refresh();
Symb.Refresh();
Symb.RefreshRates();
bTime.Clear();
bTime.Reserve(HistoryBars);
//---
float atr = 0;
for(int b = 0; b < (int)HistoryBars; 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;
if(!bTime.Add(float(Rates[b].time)))
return;
}
//---
if(bTime.GetIndex() >= 0)
bTime.BufferWrite();
//---
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 += (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;
//---
bAccount.Clear();
bAccount.Add((float)(sState.account[0] / EtalonBalance));
bAccount.Add((float)((sState.account[0] - PrevBalance) / PrevBalance));
bAccount.Add((float)(sState.account[1] / PrevBalance));
bAccount.Add((float)((sState.account[1] - PrevEquity) / PrevEquity));
bAccount.Add(sState.account[2]);
bAccount.Add(sState.account[3]);
bAccount.Add((float)(sState.account[4] / PrevBalance));
bAccount.Add((float)(sState.account[5] / PrevBalance));
bAccount.Add((float)(sState.account[6] / PrevBalance));
double time = (double)Rates[0].time;
double x = time / (double)(D'2024.01.01' - D'2023.01.01');
bAccount.Add((float)MathSin(x != 0 ? 2.0 * M_PI * x : 0));
x = time / (double)PeriodSeconds(PERIOD_MN1);
bAccount.Add((float)MathCos(x != 0 ? 2.0 * M_PI * x : 0));
x = time / (double)PeriodSeconds(PERIOD_W1);
bAccount.Add((float)MathSin(x != 0 ? 2.0 * M_PI * x : 0));
x = time / (double)PeriodSeconds(PERIOD_D1);
bAccount.Add((float)MathSin(x != 0 ? 2.0 * M_PI * x : 0));
//---
if(bAccount.GetIndex() >= 0)
if(!bAccount.BufferWrite())
return;
//---
bState.AssignArray(sState.state);
if(!bFirstRun)
{
//--- Target Nets
if(!cEncoder[1].feedForward((CBufferFloat*)GetPointer(bState), 1, false, (CBufferFloat*)(CBufferFloat*)GetPointer(bTime))
|| !cActor[1].feedForward((CBufferFloat*)GetPointer(bAccount), 1, false, GetPointer(cEncoder[1]), LatentLayer)
|| !cCritic[2].feedForward(GetPointer(cActor[1]), -1, GetPointer(cEncoder[1]), LatentLayer)
|| !cCritic[3].feedForward(GetPointer(cActor[1]), -1, GetPointer(cEncoder[1]), LatentLayer)
|| !cCritic[4].feedForward(GetPointer(cActor[1]), -1, GetPointer(cEncoder[1]), LatentLayer)
|| !cCritic[5].feedForward(GetPointer(cActor[1]), -1, GetPointer(cEncoder[1]), LatentLayer)
)
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
return;
}
//--- Critic 1
cCritic[2].getResults(Result);
float reward = Result[0];
cCritic[4].getResults(Result);
reward = (reward + Result[0]) / 2 * DiscFactor + float(sState.account[1] - PrevEquity);
Result.Clear();
if(!Result.Add(reward)
|| !cCritic[0].backProp(Result, (CNet*)GetPointer(cEncoder[0]), LatentLayer))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
return;
}
if(cCritic[0].getRecentAverageError() <= cCritic[1].getRecentAverageError() &&
(MathRand() % ActorUpdate) == 0)
if(!cActor[0].backPropGradient((CNet*)GetPointer(cEncoder[0]), LatentLayer, -1, false))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
return;
}
//--- Critic 2
cCritic[3].getResults(Result);
reward = Result[0];
cCritic[5].getResults(Result);
reward = (reward + Result[0]) / 2 * DiscFactor + float(sState.account[1] - PrevEquity);
Result.Clear();
if(!Result.Add(reward)
|| !cCritic[1].backProp(Result, (CNet*)GetPointer(cEncoder[0]), LatentLayer))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
return;
}
if(cCritic[0].getRecentAverageError() > cCritic[1].getRecentAverageError() &&
(MathRand() % ActorUpdate) == 0)
if(!cActor[0].backPropGradient((CNet*)GetPointer(cEncoder[0]), LatentLayer, -1, true))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
return;
}
//--- Director
Result.Clear();
if((sState.account[1] - PrevEquity) > 0)
Result.Add(1);
else
Result.Add(0);
if(!cDirector.backProp(Result, (CNet*)GetPointer(cEncoder[0]), LatentLayer)
|| !cActor[0].backPropGradient((CNet*)GetPointer(cEncoder[0]), LatentLayer, -1, true)
)
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
return;
}
}
//--- New state
if(!cEncoder[0].feedForward((CBufferFloat*)GetPointer(bState), 1, false, (CBufferFloat*)(CBufferFloat*)GetPointer(bTime))
|| !cActor[0].feedForward((CBufferFloat*)GetPointer(bAccount), 1, false, (CNet*)GetPointer(cEncoder[0]), LatentLayer)
|| !cDirector.feedForward((CNet*)GetPointer(cActor[0]), -1, (CNet*)GetPointer(cEncoder[0]), LatentLayer)
|| !cCritic[0].feedForward((CNet*)GetPointer(cActor[0]), -1, (CNet*)GetPointer(cEncoder[0]), LatentLayer)
|| !cCritic[1].feedForward((CNet*)GetPointer(cActor[0]), -1, (CNet*)GetPointer(cEncoder[0]), LatentLayer)
)
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
return;
}
//---
PrevBalance = sState.account[0];
PrevEquity = sState.account[1];
//---
vector<float> temp;
cActor[0].getResults(temp);
//---
if(temp.Size() < NActions)
temp = vector<float>::Zeros(NActions);
//---
double min_lot = Symb.LotsMin();
double step_lot = Symb.LotsStep();
double stops = (MathMax(Symb.StopsLevel(), 1) + Symb.Spread()) * Symb.Point();
if(temp[0] >= temp[3])
{
temp[0] -= temp[3];
temp[3] = 0;
}
else
{
temp[3] -= temp[0];
temp[0] = 0;
}
//--- buy control
if(temp[0] < min_lot || (temp[1] * MaxTP * Symb.Point()) <= 2 * stops || (temp[2] * MaxSL * Symb.Point()) <= stops)
{
if(buy_value > 0)
CloseByDirection(POSITION_TYPE_BUY);
}
else
{
double buy_lot = min_lot + MathRound((double)(temp[0] - min_lot) / step_lot) * step_lot;
double buy_tp = NormalizeDouble(Symb.Ask() + temp[1] * MaxTP * Symb.Point(), Symb.Digits());
double buy_sl = NormalizeDouble(Symb.Ask() - temp[2] * MaxSL * Symb.Point(), Symb.Digits());
if(buy_value > 0)
TrailPosition(POSITION_TYPE_BUY, buy_sl, buy_tp);
if(buy_value != buy_lot)
{
if((buy_value - buy_lot) >= min_lot)
ClosePartial(POSITION_TYPE_BUY, buy_value - buy_lot);
else
if((buy_lot - buy_value) >= min_lot)
if(!Trade.Buy(buy_lot - buy_value, Symb.Name(), Symb.Ask(), buy_sl, buy_tp))
if(Trade.CheckResultRetcode() == 10019)
{
Result.Clear();
Result.Add(0);
if(!cDirector.backProp(Result, (CNet*)GetPointer(cEncoder[0]), LatentLayer)
|| !cActor[0].backPropGradient((CNet*)GetPointer(cEncoder[0]), LatentLayer, -1, true)
)
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
return;
}
}
}
}
//--- sell control
if(temp[3] < min_lot || (temp[4] * MaxTP * Symb.Point()) <= 2 * stops || (temp[5] * MaxSL * Symb.Point()) <= stops)
{
if(sell_value > 0)
CloseByDirection(POSITION_TYPE_SELL);
}
else
{
double sell_lot = min_lot + MathRound((double)(temp[3] - min_lot) / step_lot) * step_lot;;
double sell_tp = NormalizeDouble(Symb.Bid() - temp[4] * MaxTP * Symb.Point(), Symb.Digits());
double sell_sl = NormalizeDouble(Symb.Bid() + temp[5] * MaxSL * Symb.Point(), Symb.Digits());
if(sell_value > 0)
TrailPosition(POSITION_TYPE_SELL, sell_sl, sell_tp);
if(sell_value != sell_lot)
{
if((sell_value - sell_lot) >= min_lot)
ClosePartial(POSITION_TYPE_SELL, sell_value - sell_lot);
else
if((sell_lot - sell_value) >= min_lot)
if(!Trade.Sell(sell_lot - sell_value, Symb.Name(), Symb.Bid(), sell_sl, sell_tp))
if(Trade.CheckResultRetcode() == 10019)
{
Result.Clear();
Result.Add(0);
if(!cDirector.backProp(Result, (CNet*)GetPointer(cEncoder[0]), LatentLayer)
|| !cActor[0].backPropGradient((CNet*)GetPointer(cEncoder[0]), LatentLayer, -1, true)
)
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
return;
}
}
}
}
//---
bFirstRun = false;
//---
if((int(Rates[0].time / PeriodSeconds(TimeFrame)) % TragetUpdate) == 0)
{
if(MathRand() / 32767.0 > 0.5)
cCritic[2].WeightsUpdate(GetPointer(cCritic[0]), tau);
else
cCritic[4].WeightsUpdate(GetPointer(cCritic[0]), tau);
if(MathRand() / 32767.0 > 0.5)
cCritic[3].WeightsUpdate(GetPointer(cCritic[1]), tau);
else
cCritic[5].WeightsUpdate(GetPointer(cCritic[1]), tau);
cActor[1].WeightsUpdate(GetPointer(cActor[0]), tau);
}
if(PrevBalance < 50)
ExpertRemove();
}
//+------------------------------------------------------------------+
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