374 lines
27 KiB
MQL5
374 lines
27 KiB
MQL5
//+------------------------------------------------------------------+
|
|
//| Faza1.mq5 |
|
|
//| Copyright DNG® |
|
|
//| https://www.mql5.com/ru/users/dng |
|
|
//+------------------------------------------------------------------+
|
|
#property copyright "Copyright DNG®"
|
|
#property link "https://www.mql5.com/ru/users/dng"
|
|
#property version "1.00"
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
#include "Trajectory.mqh"
|
|
#include <Trade\Trade.mqh>
|
|
#include <Trade\SymbolInfo.mqh>
|
|
#include <Indicators\Oscilators.mqh>
|
|
//+------------------------------------------------------------------+
|
|
//| Input parameters |
|
|
//+------------------------------------------------------------------+
|
|
input ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
|
|
input double MinProfit = 10;
|
|
input int MaxSteps = 48;
|
|
input int MinBars = 300;
|
|
//---
|
|
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 group "---- Optimization ----"
|
|
input int OptimizationAgents = 1;
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
SState sState;
|
|
STrajectory Base;
|
|
STrajectory Buffer[];
|
|
STrajectory Frame[1];
|
|
STrajectory Loaded;
|
|
int StartBar = 0;
|
|
int CurrentBar = 0;
|
|
//---
|
|
CSymbolInfo Symb;
|
|
CTrade Trade;
|
|
//---
|
|
MqlRates Rates[];
|
|
CiRSI RSI;
|
|
CiCCI CCI;
|
|
CiATR ATR;
|
|
CiMACD MACD;
|
|
//---
|
|
vector<float> AgentResult;
|
|
double PrevBalance = 0;
|
|
double PrevEquity = 0;
|
|
//+------------------------------------------------------------------+
|
|
//| 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(NBarInPattern) || !CCI.BufferResize(NBarInPattern) ||
|
|
!ATR.BufferResize(NBarInPattern) || !MACD.BufferResize(NBarInPattern))
|
|
{
|
|
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
|
return INIT_FAILED;
|
|
}
|
|
//---
|
|
if(!Trade.SetTypeFillingBySymbol(Symb.Name()))
|
|
return INIT_FAILED;
|
|
//---
|
|
PrevBalance = AccountInfoDouble(ACCOUNT_BALANCE);
|
|
PrevEquity = AccountInfoDouble(ACCOUNT_EQUITY);
|
|
AgentResult = vector<float>::Zeros(NActions);
|
|
//---
|
|
int error_code;
|
|
if(Buffer.Size() > 0 || LoadTotalBase())
|
|
{
|
|
int tr = int(MathRand() / 32767.0 * Buffer.Size());
|
|
Loaded = Buffer[tr];
|
|
StartBar = MathMax(0,Loaded.Total - int(MathMax(MathRandomNormal(0.5, 0.5, error_code), 0) * MaxSteps));
|
|
}
|
|
//---
|
|
return(INIT_SUCCEEDED);
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| Expert deinitialization function |
|
|
//+------------------------------------------------------------------+
|
|
void OnDeinit(const int reason)
|
|
{
|
|
//---
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| Expert tick function |
|
|
//+------------------------------------------------------------------+
|
|
void OnTick()
|
|
{
|
|
//---
|
|
if(!IsNewBar())
|
|
return;
|
|
//---
|
|
CurrentBar++;
|
|
int bars = CopyRates(Symb.Name(), TimeFrame, iTime(Symb.Name(), TimeFrame, 1), NBarInPattern, Rates);
|
|
if(!ArraySetAsSeries(Rates, true))
|
|
return;
|
|
//---
|
|
RSI.Refresh();
|
|
CCI.Refresh();
|
|
ATR.Refresh();
|
|
MACD.Refresh();
|
|
Symb.Refresh();
|
|
Symb.RefreshRates();
|
|
//--- History data
|
|
float atr = 0;
|
|
for(int b = 0; b < (int)NBarInPattern; 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;
|
|
}
|
|
//--- Account description
|
|
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 += profit - (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;
|
|
//---
|
|
sState.rewards[0] = float((sState.account[0] - PrevBalance) / PrevBalance);
|
|
sState.rewards[1] = float(sState.account[1] / PrevBalance - 1.0);
|
|
//---
|
|
PrevBalance = sState.account[0];
|
|
PrevEquity = sState.account[1];
|
|
//---
|
|
vector<float> temp = vector<float>::Zeros(NActions);
|
|
if((CurrentBar - StartBar) < MaxSteps)
|
|
if(CurrentBar < StartBar)
|
|
temp.Assign(Loaded.States[CurrentBar].action);
|
|
else
|
|
temp = SampleAction(NActions);
|
|
//---
|
|
double min_lot = Symb.LotsMin();
|
|
double step_lot = Symb.LotsStep();
|
|
double stops = MathMax(Symb.StopsLevel(), 1) * Symb.Point();
|
|
if(temp[0] >= temp[3])
|
|
{
|
|
temp[0] -= temp[3];
|
|
temp[3] = 0;
|
|
}
|
|
else
|
|
{
|
|
temp[3] -= temp[0];
|
|
temp[0] = 0;
|
|
}
|
|
float delta = MathAbs(AgentResult - temp).Sum();
|
|
AgentResult = temp;
|
|
//--- buy control
|
|
if(temp[0] < min_lot || (temp[1] * MaxTP * Symb.Point()) <= 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 = Symb.NormalizePrice(Symb.Ask() + temp[1] * MaxTP * Symb.Point());
|
|
double buy_sl = Symb.NormalizePrice(Symb.Ask() - temp[2] * MaxSL * Symb.Point());
|
|
if(buy_value > 0)
|
|
TrailPosition(POSITION_TYPE_BUY, buy_sl, buy_tp);
|
|
if(buy_value != buy_lot)
|
|
{
|
|
if(buy_value > buy_lot)
|
|
ClosePartial(POSITION_TYPE_BUY, buy_value - buy_lot);
|
|
else
|
|
Trade.Buy(buy_lot - buy_value, Symb.Name(), Symb.Ask(), buy_sl, buy_tp);
|
|
}
|
|
}
|
|
//--- sell control
|
|
if(temp[3] < min_lot || (temp[4] * MaxTP * Symb.Point()) <= 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 = Symb.NormalizePrice(Symb.Bid() - temp[4] * MaxTP * Symb.Point());
|
|
double sell_sl = Symb.NormalizePrice(Symb.Bid() + temp[5] * MaxSL * Symb.Point());
|
|
if(sell_value > 0)
|
|
TrailPosition(POSITION_TYPE_SELL, sell_sl, sell_tp);
|
|
if(sell_value != sell_lot)
|
|
{
|
|
if(sell_value > sell_lot)
|
|
ClosePartial(POSITION_TYPE_SELL, sell_value - sell_lot);
|
|
else
|
|
Trade.Sell(sell_lot - sell_value, Symb.Name(), Symb.Bid(), sell_sl, sell_tp);
|
|
}
|
|
}
|
|
//---
|
|
int shift = BarDescr * (NBarInPattern - 1);
|
|
if((buy_value + sell_value) == 0)
|
|
sState.rewards[2] -= (float)(atr / PrevBalance);
|
|
else
|
|
sState.rewards[2] = 0;
|
|
for(ulong i = 0; i < NActions; i++)
|
|
sState.action[i] = temp[i];
|
|
if(!Base.Add(sState) || (CurrentBar - StartBar) >= MaxSteps)
|
|
ExpertRemove();
|
|
//---
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| Tester function |
|
|
//+------------------------------------------------------------------+
|
|
double OnTester()
|
|
{
|
|
//---
|
|
double ret = 0.0;
|
|
//---
|
|
double profit = TesterStatistics(STAT_PROFIT);
|
|
if(profit >= MinProfit)
|
|
{
|
|
Frame[0] = Base;
|
|
FrameAdd(MQLInfoString(MQL_PROGRAM_NAME), 1, profit, Frame);
|
|
}
|
|
//---
|
|
return(ret);
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| TesterInit function |
|
|
//+------------------------------------------------------------------+
|
|
void OnTesterInit()
|
|
{
|
|
//---
|
|
LoadTotalBase();
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| TesterPass function |
|
|
//+------------------------------------------------------------------+
|
|
void OnTesterPass()
|
|
{
|
|
//---
|
|
ulong pass;
|
|
string name;
|
|
long id;
|
|
double value;
|
|
STrajectory array[];
|
|
while(FrameNext(pass, name, id, value, array))
|
|
{
|
|
int total = ArraySize(Buffer);
|
|
if(name != MQLInfoString(MQL_PROGRAM_NAME))
|
|
continue;
|
|
if(id <= 0)
|
|
continue;
|
|
if(total >= MaxReplayBuffer)
|
|
{
|
|
for(int a = 0; a < id; a++)
|
|
{
|
|
float min = FLT_MAX;
|
|
int min_tr = 0;
|
|
for(int i = 0; i < total; i++)
|
|
{
|
|
float prof = Buffer[i].States[Buffer[i].Total - 1].account[1];
|
|
if(prof < min)
|
|
{
|
|
min = MathMin(prof, min);
|
|
min_tr = i;
|
|
}
|
|
}
|
|
float prof = array[a].States[array[a].Total - 1].account[1];
|
|
if(min <= prof)
|
|
{
|
|
Buffer[min_tr] = array[a];
|
|
PrintFormat("Replace %.2f to %.2f -> bars %d", min, prof, array[a].Total);
|
|
}
|
|
}
|
|
}
|
|
else
|
|
{
|
|
if(ArrayResize(Buffer, total + (int)id, 10) < 0)
|
|
return;
|
|
ArrayCopy(Buffer, array, total, 0, (int)id);
|
|
}
|
|
}
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| TesterDeinit function |
|
|
//+------------------------------------------------------------------+
|
|
void OnTesterDeinit()
|
|
{
|
|
//---
|
|
int total = ArraySize(Buffer);
|
|
Print("Saving...");
|
|
printf("total %d", SaveTotalBase(MinBars));
|
|
Print("Saved");
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
vector<float> SampleAction(int actions_space)
|
|
{
|
|
vectorf temp = vector<float>::Zeros(actions_space);
|
|
for(int i = 0; i < actions_space; i++)
|
|
temp[i] = float(MathRand() / 32767.0);
|
|
//---
|
|
return temp;
|
|
}
|
|
//+------------------------------------------------------------------+
|