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NN_in_Trading/Experts/EDL/Research.mq5
DNG 42a8112d06
2026-03-12 17:47:41 +02:00

415 lignes
29 Kio
MQL5
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//+------------------------------------------------------------------+
//| Research.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 double ProfitToSave = 10;
input double MoneyTP = 10;
input double MoneySL = 5;
input int LatentLayer = 9;
input string ActorFile = "Act";
//---
input ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
//---
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;
bool TrainMode = true;
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
SState sState;
STrajectory Base;
STrajectory Buffer[];
STrajectory Frame[1];
CFQF Actor;
CNet Scheduler;
int Models = 1;
//---
float dError;
datetime dtStudied;
bool bEventStudy;
//---
CBufferFloat State1;
CBufferFloat *Result;
//---
CSymbolInfo Symb;
CTrade Trade;
//---
MqlRates Rates[];
CiRSI RSI;
CiCCI CCI;
CiATR ATR;
CiMACD MACD;
//+------------------------------------------------------------------+
//| 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;
if(!Actor.Load(FileName + ActorFile+".nnw", dtStudied, true) ||
!Scheduler.Load(FileName + "Sch.nnw", temp,temp, temp, dtStudied, true))
{
CArrayObj *actor = new CArrayObj();
CArrayObj *scheduler = new CArrayObj();
if(!CreateDescriptions(actor, scheduler))
{
delete actor;
delete scheduler;
return INIT_FAILED;
}
if(!Actor.Create(actor) || !Scheduler.Create(scheduler))
{
delete actor;
delete scheduler;
return INIT_FAILED;
}
delete actor;
delete scheduler;
}
//---
Actor.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;
}
Actor.SetOpenCL(Scheduler.GetOpenCL());
//---
Scheduler.getResults(Result);
if(Result.Total() != AccountDescr)
{
PrintFormat("The scope of the scheduler does not match the account description (%d <> %d)", AccountDescr, Result.Total());
return INIT_FAILED;
}
//---
Actor.GetLayerOutput(0, Result);
int inputs = Result.Total();
if(!Scheduler.GetLayerOutput(LatentLayer, Result))
{
PrintFormat("Error of load latent layer %d", LatentLayer);
return INIT_FAILED;
}
if(inputs != Result.Total())
{
PrintFormat("Size of latent layer does not match input size of Actor (%d <> %d)", Result.Total(), inputs);
return INIT_FAILED;
}
//---
return(INIT_SUCCEEDED);
}
//+------------------------------------------------------------------+
//| Expert deinitialization function |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
//---
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();
//---
MqlDateTime sTime;
for(int b = 0; b < (int)HistoryBars; b++)
{
float open = (float)Rates[b].open;
TimeToStruct(Rates[b].time, sTime);
float rsi = (float)RSI.Main(b);
float cci = (float)CCI.Main(b);
float 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;
//---
sState.state[b * 12] = (float)Rates[b].close - open;
sState.state[b * 12 + 1] = (float)Rates[b].high - open;
sState.state[b * 12 + 2] = (float)Rates[b].low - open;
sState.state[b * 12 + 3] = (float)Rates[b].tick_volume / 1000.0f;
sState.state[b * 12 + 4] = (float)sTime.hour;
sState.state[b * 12 + 5] = (float)sTime.day_of_week;
sState.state[b * 12 + 6] = (float)sTime.mon;
sState.state[b * 12 + 7] = rsi;
sState.state[b * 12 + 8] = cci;
sState.state[b * 12 + 9] = atr;
sState.state[b * 12 + 10] = macd;
sState.state[b * 12 + 11] = sign;
}
//---
sState.account[0] = (float)AccountInfoDouble(ACCOUNT_BALANCE);
sState.account[1] = (float)AccountInfoDouble(ACCOUNT_EQUITY);
sState.account[2] = (float)AccountInfoDouble(ACCOUNT_MARGIN_FREE);
sState.account[3] = (float)AccountInfoDouble(ACCOUNT_MARGIN_LEVEL);
sState.account[4] = (float)AccountInfoDouble(ACCOUNT_PROFIT);
//---
double buy_value = 0, sell_value = 0, buy_profit = 0, sell_profit = 0;
int total = PositionsTotal();
for(int i = 0; i < total; i++)
{
if(PositionGetSymbol(i) != Symb.Name())
continue;
switch((int)PositionGetInteger(POSITION_TYPE))
{
case POSITION_TYPE_BUY:
buy_value += PositionGetDouble(POSITION_VOLUME);
buy_profit += PositionGetDouble(POSITION_PROFIT);
break;
case POSITION_TYPE_SELL:
sell_value += PositionGetDouble(POSITION_VOLUME);
sell_profit += PositionGetDouble(POSITION_PROFIT);
break;
}
}
sState.account[5] = (float)buy_value;
sState.account[6] = (float)sell_value;
sState.account[7] = (float)buy_profit;
sState.account[8] = (float)sell_profit;
//---
State1.AssignArray(sState.state);
float PrevBalance = (Base.Total <= 0 ? sState.account[0] : Base.States[Base.Total - 1].account[0]);
float PrevEquity = (Base.Total <= 0 ? sState.account[1] : Base.States[Base.Total - 1].account[1]);
State1.Add((sState.account[0] - PrevBalance) / PrevBalance);
State1.Add(sState.account[1] / PrevBalance);
State1.Add((sState.account[1] - PrevEquity) / PrevEquity);
State1.Add(sState.account[2] / PrevBalance);
State1.Add(sState.account[4] / PrevBalance);
State1.Add(sState.account[5]);
State1.Add(sState.account[6]);
State1.Add(sState.account[7] / PrevBalance);
State1.Add(sState.account[8] / PrevBalance);
//---
if(!Scheduler.feedForward(GetPointer(State1), 1, false,(CBufferFloat*)NULL))
return;
if(!Scheduler.GetLayerOutput(LatentLayer, Result))
return;
//---
if(!Actor.feedForward(Result, 1, false))
return;
int act = Actor.getSample();
double profit = buy_profit + sell_profit;
if(profit >= MoneyTP || profit <= -MathAbs(MoneySL))
act = 2;
if((buy_value > 0 && act == 1) || (sell_value > 0 && act == 0))
act = 2;
//---
switch(act)
{
case 0:
if(!Trade.Buy(Symb.LotsMin(), Symb.Name()))
act = 3;
break;
case 1:
if(!Trade.Sell(Symb.LotsMin(), Symb.Name()))
act = 3;
break;
case 2:
for(int i = PositionsTotal() - 1; i >= 0; i--)
if(PositionGetSymbol(i) == Symb.Name())
if(!Trade.PositionClose(PositionGetInteger(POSITION_IDENTIFIER)))
{
act = 3;
break;
}
break;
}
//---
float reward = (sState.account[0] - PrevBalance) / PrevBalance;
if(!Base.Add(sState, act, reward))
ExpertRemove();
//---
}
//+------------------------------------------------------------------+
//| Tester function |
//+------------------------------------------------------------------+
double OnTester()
{
//---
double ret = 0.0;
//---
double profit = TesterStatistics(STAT_PROFIT);
Frame[0] = Base;
if(profit >= ProfitToSave)
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(ArrayResize(Buffer, total + (int)id, 10) < 0)
return;
ArrayCopy(Buffer, array, total, 0, (int)id);
}
}
//+------------------------------------------------------------------+
//| TesterDeinit function |
//+------------------------------------------------------------------+
void OnTesterDeinit()
{
//---
int total = ArraySize(Buffer);
printf("total %d", total);
Print("Saving...");
SaveTotalBase();
Print("Saved");
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool IsNewBar(void)
{
static datetime last_bar = 0;
if(last_bar >= iTime(Symb.Name(), TimeFrame, 0))
return false;
//---
last_bar = iTime(Symb.Name(), TimeFrame, 0);
return true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool SaveTotalBase(void)
{
int total = ArraySize(Buffer);
if(total < 0)
return true;
int handle = FileOpen(FileName + ".bd", FILE_WRITE | FILE_BIN | FILE_COMMON);
if(handle < 0)
return false;
if(FileWriteInteger(handle, total) < INT_VALUE)
{
FileClose(handle);
return false;
}
for(int i = 0; i < total; i++)
if(!Buffer[i].Save(handle))
{
FileClose(handle);
return false;
}
FileFlush(handle);
FileClose(handle);
//---
return true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool LoadTotalBase(void)
{
int handle = FileOpen(FileName + ".bd", FILE_READ | FILE_BIN | FILE_COMMON | FILE_SHARE_READ);
if(handle < 0)
return false;
int total = FileReadInteger(handle);
if(total <= 0)
{
FileClose(handle);
return false;
}
if(ArrayResize(Buffer, total) < total)
{
FileClose(handle);
return false;
}
for(int i = 0; i < total; i++)
if(!Buffer[i].Load(handle))
{
FileClose(handle);
return false;
}
FileClose(handle);
//---
return true;
}
//+------------------------------------------------------------------+
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