653 lines
42 KiB
MQL5
653 lines
42 KiB
MQL5
//+------------------------------------------------------------------+
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//| Trajectory.mqh |
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//| Copyright DNG® |
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//| https://www.mql5.com/ru/users/dng |
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//+------------------------------------------------------------------+
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#property copyright "Copyright DNG®"
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#property link "https://www.mql5.com/ru/users/dng"
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#property version "1.00"
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//+------------------------------------------------------------------+
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//| Rewards structure |
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//| 0 - Delta Balance |
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//| 1 - Delta Equity ( "-" Drawdown / "+" Profit) |
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//| 2 - Penalty for no open positions |
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//+------------------------------------------------------------------+
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#include "..\RL\FQF.mqh"
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//---
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#define HistoryBars 100 //Depth of history
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#define BarDescr 9 //Elements for 1 bar description
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#define NBarInPattern 1 //Bars for 1 pattern description
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#define AccountDescr 8 //Account description
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#define NActions 6 //Number of possible Actions
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#define NRewards 3 //Number of rewards
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#define TimeDescription 4
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#define LatentCount 512
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#define EmbeddingSize 16
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#define Sparse 0.3f
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#define Buffer_Size 6500
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#define DiscFactor 0.99f
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#define FileName "DT"
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#define MaxReplayBuffer 500
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#define MaxSL 1000
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#define MaxTP 1000
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#define fCAGrad_C 0.3f
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#define iCAGrad_Iters 15
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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struct STrajectory;
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extern STrajectory Buffer[];
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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struct SState
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{
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float state[BarDescr*NBarInPattern];
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float account[AccountDescr];
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float action[NActions];
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float rewards[NRewards];
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//---
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SState(void);
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//---
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bool Save(int file_handle);
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bool Load(int file_handle);
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//--- overloading
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void operator=(const SState &obj)
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{
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ArrayCopy(state, obj.state);
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ArrayCopy(account, obj.account);
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ArrayCopy(action, obj.action);
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ArrayCopy(rewards, obj.rewards);
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}
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};
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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SState::SState(void)
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{
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ArrayInitialize(state, 0);
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ArrayInitialize(account, 0);
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ArrayInitialize(action, 0);
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ArrayInitialize(rewards, 0);
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool SState::Save(int file_handle)
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{
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if(file_handle == INVALID_HANDLE)
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return false;
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//---
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int total = ArraySize(state);
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if(FileWriteInteger(file_handle, total) < sizeof(int))
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return false;
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for(int i = 0; i < total; i++)
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if(FileWriteFloat(file_handle, state[i]) < sizeof(float))
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return false;
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//---
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total = ArraySize(account);
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if(FileWriteInteger(file_handle, total) < sizeof(int))
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return false;
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for(int i = 0; i < total; i++)
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if(FileWriteFloat(file_handle, account[i]) < sizeof(float))
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return false;
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//---
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total = ArraySize(action);
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if(FileWriteInteger(file_handle, total) < sizeof(int))
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return false;
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for(int i = 0; i < total; i++)
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if(FileWriteFloat(file_handle, action[i]) < sizeof(float))
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return false;
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total = ArraySize(rewards);
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if(FileWriteInteger(file_handle, total) < sizeof(int))
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return false;
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for(int i = 0; i < total; i++)
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if(FileWriteFloat(file_handle, rewards[i]) < sizeof(float))
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return false;
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//---
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool SState::Load(int file_handle)
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{
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if(file_handle == INVALID_HANDLE)
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return false;
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if(FileIsEnding(file_handle))
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return false;
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//---
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int total = FileReadInteger(file_handle);
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if(total != ArraySize(state))
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return false;
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//---
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for(int i = 0; i < total; i++)
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{
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if(FileIsEnding(file_handle))
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return false;
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state[i] = FileReadFloat(file_handle);
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}
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//---
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total = FileReadInteger(file_handle);
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if(total != ArraySize(account))
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return false;
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//---
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for(int i = 0; i < total; i++)
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{
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if(FileIsEnding(file_handle))
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return false;
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account[i] = FileReadFloat(file_handle);
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}
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//---
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total = FileReadInteger(file_handle);
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if(total != ArraySize(action))
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return false;
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//---
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for(int i = 0; i < total; i++)
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{
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if(FileIsEnding(file_handle))
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return false;
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action[i] = FileReadFloat(file_handle);
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}
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//---
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total = FileReadInteger(file_handle);
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if(total != ArraySize(rewards))
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return false;
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//---
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for(int i = 0; i < total; i++)
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{
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if(FileIsEnding(file_handle))
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return false;
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rewards[i] = FileReadFloat(file_handle);
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}
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//---
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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struct STrajectory
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{
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SState States[Buffer_Size];
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int Total;
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float DiscountFactor;
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bool CumCounted;
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//---
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STrajectory(void);
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//---
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bool Add(SState &state);
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void CumRevards(void);
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//---
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bool Save(int file_handle);
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bool Load(int file_handle);
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};
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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STrajectory::STrajectory(void) : Total(0),
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DiscountFactor(DiscFactor),
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CumCounted(false)
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{
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool STrajectory::Save(int file_handle)
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{
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if(file_handle == INVALID_HANDLE)
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return false;
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//---
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if(!CumCounted)
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CumRevards();
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if(FileWriteInteger(file_handle, Total) < sizeof(int))
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return false;
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if(FileWriteFloat(file_handle, DiscountFactor) < sizeof(float))
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return false;
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for(int i = 0; i < Total; i++)
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if(!States[i].Save(file_handle))
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return false;
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//---
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool STrajectory::Load(int file_handle)
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{
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if(file_handle == INVALID_HANDLE)
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return false;
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//---
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Total = FileReadInteger(file_handle);
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if(FileIsEnding(file_handle) || Total >= ArraySize(States))
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return false;
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DiscountFactor = FileReadFloat(file_handle);
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CumCounted = true;
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//---
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for(int i = 0; i < Total; i++)
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if(!States[i].Load(file_handle))
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return false;
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//---
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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void STrajectory::CumRevards(void)
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{
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if(CumCounted)
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return;
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//---
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for(int i = Total - 2; i >= 0; i--)
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for(int r = 0; r < NRewards; r++)
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States[i].rewards[r] += States[i + 1].rewards[r] * DiscountFactor;
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CumCounted = true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool STrajectory::Add(SState &state)
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{
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if(Total + 1 >= ArraySize(States))
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return false;
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States[Total] = state;
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Total++;
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//---
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool SaveTotalBase(void)
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{
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int total = ArraySize(Buffer);
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if(total < 0)
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return true;
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int handle = FileOpen(FileName + ".bd", FILE_WRITE | FILE_BIN | FILE_COMMON);
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if(handle < 0)
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return false;
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int start = MathMax(total - MaxReplayBuffer, 0);
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if(FileWriteInteger(handle, total - start) < INT_VALUE)
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{
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FileClose(handle);
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return false;
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}
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for(int i = start; i < total; i++)
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if(!Buffer[i].Save(handle))
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{
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FileClose(handle);
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return false;
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}
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FileFlush(handle);
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FileClose(handle);
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//---
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool LoadTotalBase(void)
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{
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int handle = FileOpen(FileName + ".bd", FILE_READ | FILE_BIN | FILE_COMMON | FILE_SHARE_READ);
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if(handle < 0)
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return false;
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int total = FileReadInteger(handle);
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if(total <= 0)
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{
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FileClose(handle);
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return false;
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}
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if(ArrayResize(Buffer, total) < total)
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{
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FileClose(handle);
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return false;
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}
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for(int i = 0; i < total; i++)
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if(!Buffer[i].Load(handle))
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{
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FileClose(handle);
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return false;
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}
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FileClose(handle);
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//---
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool CreateDescriptions(CArrayObj *agent)
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{
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//---
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CLayerDescription *descr;
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//---
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if(!agent)
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{
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agent = new CArrayObj();
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if(!agent)
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return false;
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}
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//--- Agent
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agent.Clear();
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//--- Input layer
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if(!(descr = new CLayerDescription()))
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return false;
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descr.type = defNeuronBaseOCL;
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uint prev_count = descr.count = (NRewards + BarDescr*NBarInPattern + AccountDescr + TimeDescription + NActions);
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descr.activation = None;
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descr.optimization = ADAM;
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if(!agent.Add(descr))
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{
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delete descr;
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return false;
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}
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//--- layer 1
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if(!(descr = new CLayerDescription()))
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return false;
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descr.type = defNeuronBatchNormOCL;
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descr.count = prev_count;
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descr.batch = 1000;
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descr.activation = None;
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descr.optimization = ADAM;
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if(!agent.Add(descr))
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{
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delete descr;
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return false;
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}
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//--- layer 2
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if(!(descr = new CLayerDescription()))
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return false;
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descr.type = defNeuronEmbeddingOCL;
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prev_count = descr.count = HistoryBars;
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{
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int temp[] = {BarDescr*NBarInPattern,AccountDescr,TimeDescription,NRewards,NActions};
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ArrayCopy(descr.windows,temp);
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}
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uint prev_wout = descr.window_out = EmbeddingSize;
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if(!agent.Add(descr))
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{
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delete descr;
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return false;
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}
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//--- layer 3
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if(!(descr = new CLayerDescription()))
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return false;
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descr.type = defNeuronMLMHSparseAttentionOCL;
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descr.count = prev_count*5;
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descr.window = prev_wout;
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descr.step = 4;
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descr.window_out = 16;
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descr.layers = 4;
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descr.probability = Sparse;
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descr.optimization = ADAM;
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if(!agent.Add(descr))
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{
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delete descr;
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return false;
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}
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//--- layer 4
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if(!(descr = new CLayerDescription()))
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return false;
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descr.type = defNeuronBaseOCL;
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descr.count = LatentCount;
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descr.optimization = ADAM;
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descr.activation = LReLU;
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if(!agent.Add(descr))
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{
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delete descr;
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return false;
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}
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//--- layer 5
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if(!(descr = new CLayerDescription()))
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return false;
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descr.type = defNeuronBaseOCL;
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prev_count = descr.count = LatentCount;
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descr.activation = TANH;
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descr.optimization = ADAM;
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if(!agent.Add(descr))
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{
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delete descr;
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return false;
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}
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//--- layer 6
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if(!(descr = new CLayerDescription()))
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return false;
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descr.type = defNeuronBaseOCL;
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descr.count = LatentCount;
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descr.activation = LReLU;
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descr.optimization = ADAM;
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if(!agent.Add(descr))
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{
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delete descr;
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return false;
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}
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//--- layer 7
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if(!(descr = new CLayerDescription()))
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return false;
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descr.type = defNeuronBaseOCL;
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descr.count = 2 * NActions;
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descr.activation = SIGMOID;
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descr.optimization = ADAM;
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if(!agent.Add(descr))
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{
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delete descr;
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return false;
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}
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//--- layer 8
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if(!(descr = new CLayerDescription()))
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return false;
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descr.type = defNeuronVAEOCL;
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descr.count = NActions;
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descr.optimization = ADAM;
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if(!agent.Add(descr))
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{
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delete descr;
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return false;
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}
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//---
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return true;
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}
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#ifndef Study
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool IsNewBar(void)
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{
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static datetime last_bar = 0;
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if(last_bar >= iTime(Symb.Name(), TimeFrame, 0))
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return false;
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//---
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last_bar = iTime(Symb.Name(), TimeFrame, 0);
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool CloseByDirection(ENUM_POSITION_TYPE type)
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{
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int total = PositionsTotal();
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bool result = true;
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for(int i = total - 1; i >= 0; i--)
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{
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if(PositionGetSymbol(i) != Symb.Name())
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continue;
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if(PositionGetInteger(POSITION_TYPE) != type)
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continue;
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result = (Trade.PositionClose(PositionGetInteger(POSITION_TICKET)) && result);
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}
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//---
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return result;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool TrailPosition(ENUM_POSITION_TYPE type, double sl, double tp)
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{
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int total = PositionsTotal();
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bool result = true;
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//---
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for(int i = 0; i < total; i++)
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{
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if(PositionGetSymbol(i) != Symb.Name())
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continue;
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if(PositionGetInteger(POSITION_TYPE) != type)
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continue;
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bool modify = false;
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double psl = PositionGetDouble(POSITION_SL);
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double ptp = PositionGetDouble(POSITION_TP);
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switch(type)
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{
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case POSITION_TYPE_BUY:
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if((sl - psl) >= Symb.Point())
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{
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psl = sl;
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modify = true;
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}
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if(MathAbs(tp - ptp) >= Symb.Point())
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{
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ptp = tp;
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modify = true;
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}
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break;
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case POSITION_TYPE_SELL:
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if((psl - sl) >= Symb.Point())
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{
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psl = sl;
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modify = true;
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}
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if(MathAbs(tp - ptp) >= Symb.Point())
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{
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ptp = tp;
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modify = true;
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}
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break;
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}
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if(modify)
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result = (Trade.PositionModify(PositionGetInteger(POSITION_TICKET), psl, ptp) && result);
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}
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//---
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return result;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool ClosePartial(ENUM_POSITION_TYPE type, double value)
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{
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if(value <= 0)
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return true;
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//---
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for(int i = 0; (i < PositionsTotal() && value > 0); i++)
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{
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if(PositionGetSymbol(i) != Symb.Name())
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continue;
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if(PositionGetInteger(POSITION_TYPE) != type)
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continue;
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double pvalue = PositionGetDouble(POSITION_VOLUME);
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if(pvalue <= value)
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{
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if(Trade.PositionClose(PositionGetInteger(POSITION_TICKET)))
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{
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value -= pvalue;
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i--;
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}
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}
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else
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{
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if(Trade.PositionClosePartial(PositionGetInteger(POSITION_TICKET), value))
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value = 0;
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}
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}
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//---
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return (value <= 0);
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}
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#endif
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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vector<float> ForecastAccount(float &prev_account[], vector<float> &actions,double prof_1l,float time_label)
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{
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vector<float> account;
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double min_lot = SymbolInfoDouble(_Symbol,SYMBOL_VOLUME_MIN);
|
|
double step_lot = SymbolInfoDouble(_Symbol,SYMBOL_VOLUME_STEP);
|
|
double stops = MathMax(SymbolInfoInteger(_Symbol,SYMBOL_TRADE_STOPS_LEVEL), 1) * Point();
|
|
double margin_buy,margin_sell;
|
|
if(!OrderCalcMargin(ORDER_TYPE_BUY,_Symbol,1.0,SymbolInfoDouble(_Symbol,SYMBOL_ASK),margin_buy) ||
|
|
!OrderCalcMargin(ORDER_TYPE_SELL,_Symbol,1.0,SymbolInfoDouble(_Symbol,SYMBOL_BID),margin_sell))
|
|
return vector<float>::Zeros(prev_account.Size());
|
|
//---
|
|
account.Assign(prev_account);
|
|
//---
|
|
if(actions[0] >= actions[3])
|
|
{
|
|
actions[0] -= actions[3];
|
|
actions[3] = 0;
|
|
if(actions[0]*margin_buy >= MathMin(account[0],account[1]))
|
|
actions[0] = 0;
|
|
}
|
|
else
|
|
{
|
|
actions[3] -= actions[0];
|
|
actions[0] = 0;
|
|
if(actions[3]*margin_sell >= MathMin(account[0],account[1]))
|
|
actions[3] = 0;
|
|
}
|
|
//--- buy control
|
|
if(actions[0] < min_lot || (actions[1] * MaxTP * Point()) <= stops || (actions[2] * MaxSL * Point()) <= stops)
|
|
{
|
|
account[0] += account[4];
|
|
account[2] = 0;
|
|
account[4] = 0;
|
|
}
|
|
else
|
|
{
|
|
double buy_lot = min_lot + MathRound((double)(actions[0] - min_lot) / step_lot) * step_lot;
|
|
if(account[2] > buy_lot)
|
|
{
|
|
float koef = (float)buy_lot / account[2];
|
|
account[0] += account[4] * (1 - koef);
|
|
account[4] *= koef;
|
|
}
|
|
account[2] = (float)buy_lot;
|
|
account[4] += float(buy_lot * prof_1l);
|
|
}
|
|
//--- sell control
|
|
if(actions[3] < min_lot || (actions[4] * MaxTP * Point()) <= stops || (actions[5] * MaxSL * Point()) <= stops)
|
|
{
|
|
account[0] += account[5];
|
|
account[3] = 0;
|
|
account[5] = 0;
|
|
}
|
|
else
|
|
{
|
|
double sell_lot = min_lot + MathRound((double)(actions[3] - min_lot) / step_lot) * step_lot;
|
|
if(account[3] > sell_lot)
|
|
{
|
|
float koef = float(sell_lot / account[3]);
|
|
account[0] += account[5] * (1 - koef);
|
|
account[5] *= koef;
|
|
}
|
|
account[3] = float(sell_lot);
|
|
account[5] -= float(sell_lot * prof_1l);
|
|
}
|
|
account[6] = account[4] + account[5];
|
|
account[1] = account[0] + account[6];
|
|
//---
|
|
vector<float> result = vector<float>::Zeros(AccountDescr);
|
|
result[0] = (account[0] - prev_account[0]) / prev_account[0];
|
|
result[1] = account[1] / prev_account[0];
|
|
result[2] = (account[1] - prev_account[1]) / prev_account[1];
|
|
result[3] = account[2];
|
|
result[4] = account[3];
|
|
result[5] = account[4] / prev_account[0];
|
|
result[6] = account[5] / prev_account[0];
|
|
result[7] = account[6] / prev_account[0];
|
|
double x = (double)time_label / (double)(D'2024.01.01' - D'2023.01.01');
|
|
result[8] = (float)MathSin(2.0 * M_PI * x);
|
|
x = (double)time_label / (double)PeriodSeconds(PERIOD_MN1);
|
|
result[9] = (float)MathCos(2.0 * M_PI * x);
|
|
x = (double)time_label / (double)PeriodSeconds(PERIOD_W1);
|
|
result[10] = (float)MathSin(2.0 * M_PI * x);
|
|
x = (double)time_label / (double)PeriodSeconds(PERIOD_D1);
|
|
result[11] = (float)MathSin(2.0 * M_PI * x);
|
|
//--- return result
|
|
return result;
|
|
}
|
|
//+------------------------------------------------------------------+
|