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NN_in_Trading/Experts/TimeFound/StudyEncoder.mq5

342 righe
24 KiB
MQL5
Originale Permacollegamento Vista normale Cronologia

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 "Trajectory.mqh"
#include <Trade\SymbolInfo.mqh>
#include <Indicators\Oscilators.mqh>
//+------------------------------------------------------------------+
//| Input parameters |
//+------------------------------------------------------------------+
input datetime Start = D'2020.01.01';
input datetime End = D'2025.01.01';
input int Iterations = 100000;
input int Repeats = 5;
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;
//---
CSymbolInfo Symb;
MqlRates Rates[];
CiRSI RSI;
CiCCI CCI;
CiATR ATR;
CiMACD MACD;
//---
float dError;
datetime dtStudied;
//---
CBufferFloat bState;
CBufferFloat bTime;
CBufferFloat bGradient;
CBufferFloat *Result;
vector<float> check;
//+------------------------------------------------------------------+
//| Expert initialization function |
//+------------------------------------------------------------------+
int OnInit()
{
//---
ResetLastError();
//--- load models
float temp;
CArrayObj *encoder = new CArrayObj();
CArrayObj *actor = new CArrayObj();
CArrayObj *director = new CArrayObj();
CArrayObj *critic = new CArrayObj();
if(!CreateDescriptions(encoder, actor, director, critic))
{
delete encoder;
delete actor;
delete director;
delete critic;
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;
return INIT_FAILED;
}
}
delete encoder;
delete actor;
delete director;
delete critic;
//---
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");
}
delete Result;
}
//+------------------------------------------------------------------+
//| 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 load = false;
do
{
RSI.Refresh();
CCI.Refresh();
ATR.Refresh();
MACD.Refresh();
count++;
load = (RSI.BarsCalculated() >= bars &&
CCI.BarsCalculated() >= bars &&
ATR.BarsCalculated() >= bars &&
MACD.BarsCalculated() >= bars
);
Sleep(100);
count++;
}
while(!load && count < 100);
if(!load)
{
PrintFormat("%s -> %d The training data has not been loaded", __FUNCTION__, __LINE__);
ExpertRemove();
return;
}
//---
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;
}
for(int r = 0; r < Repeats; r++)
{
//--- Feed Forward
if(!cEncoder.feedForward((CBufferFloat*)GetPointer(bState), 1, false, (CBufferFloat*)GetPointer(bTime)))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
//--- Study
if(!cEncoder.backProp(Result, (CBufferFloat*)NULL))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
//---
if(GetTickCount() - ticks > 500)
{
double percent = double(iter) * 100.0 / (Iterations);
string str = StringFormat("%-12s %6.2f%% -> Error %15.8f\n", "Encoder", percent, cEncoder.getRecentAverageError());
Comment(str);
ticks = GetTickCount();
}
}
}
Comment("");
//---
PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Encoder", cEncoder.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;
}
//+------------------------------------------------------------------+
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