241 lignes
18 Kio
MQL5
241 lignes
18 Kio
MQL5
//+------------------------------------------------------------------+
|
|
//| Q-Learning.mq5 |
|
|
//| Copyright 2022, DNG |
|
|
//| https://www.mql5.com/ru/users/dng |
|
|
//+------------------------------------------------------------------+
|
|
#property copyright "Copyright 2022, DNG"
|
|
#property link "https://www.mql5.com/ru/users/dng"
|
|
#property version "1.00"
|
|
//+------------------------------------------------------------------+
|
|
//| Includes |
|
|
//+------------------------------------------------------------------+
|
|
#include "..\NeuroNet_DNG\NeuroNet.mqh"
|
|
#include <Trade\SymbolInfo.mqh>
|
|
#include <Indicators\Oscilators.mqh>
|
|
#include <Trade\Trade.mqh>
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
#define FileName Symb.Name()+"_"+EnumToString((ENUM_TIMEFRAMES)Period())+"_Evolution"
|
|
#define NeuronsToBar 12
|
|
//+------------------------------------------------------------------+
|
|
//| Input parameters |
|
|
//+------------------------------------------------------------------+
|
|
uint HistoryBars = 20; //Depth of history
|
|
ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
|
|
int Actions = 3;
|
|
//---
|
|
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
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
CSymbolInfo Symb;
|
|
MqlRates Rates[];
|
|
CNet StudyNet;
|
|
CBufferFloat *TempData;
|
|
CiRSI RSI;
|
|
CiCCI CCI;
|
|
CiATR ATR;
|
|
CiMACD MACD;
|
|
CTrade Trade;
|
|
//---
|
|
float dError;
|
|
datetime dtStudied;
|
|
bool bEventStudy;
|
|
MqlDateTime sTime;
|
|
//---
|
|
CBufferFloat State;
|
|
datetime lastBar;
|
|
//+------------------------------------------------------------------+
|
|
//| 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;
|
|
//---
|
|
float temp1, temp2;
|
|
if(!StudyNet.Load(FileName + ".nnw", dError, temp1, temp2, dtStudied, true))
|
|
return INIT_FAILED;
|
|
//---
|
|
if(!StudyNet.GetLayerOutput(0, TempData))
|
|
return INIT_FAILED;
|
|
HistoryBars = TempData.Total() / NeuronsToBar;
|
|
StudyNet.getResults(TempData);
|
|
if(TempData.Total() != Actions)
|
|
return INIT_PARAMETERS_INCORRECT;
|
|
//---
|
|
if(!RSI.BufferResize(HistoryBars + 2) || !CCI.BufferResize(HistoryBars + 2) ||
|
|
!ATR.BufferResize(HistoryBars + 2) || !MACD.BufferResize(HistoryBars + 2))
|
|
return INIT_FAILED;
|
|
//---
|
|
lastBar = 0;
|
|
//---
|
|
if(!Trade.SetTypeFillingBySymbol(Symb.Name()))
|
|
return INIT_FAILED;
|
|
//---
|
|
return(INIT_SUCCEEDED);
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| Expert deinitialization function |
|
|
//+------------------------------------------------------------------+
|
|
void OnDeinit(const int reason)
|
|
{
|
|
if(!!TempData)
|
|
delete TempData;
|
|
//---
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| Expert tick function |
|
|
//+------------------------------------------------------------------+
|
|
void OnTick()
|
|
{
|
|
if(lastBar >= iTime(Symb.Name(), TimeFrame, 0))
|
|
return;
|
|
//---
|
|
int bars = CopyRates(Symb.Name(), TimeFrame, 0, HistoryBars + 2, Rates);
|
|
if(!ArraySetAsSeries(Rates, true))
|
|
return;
|
|
RSI.Refresh();
|
|
CCI.Refresh();
|
|
ATR.Refresh();
|
|
MACD.Refresh();
|
|
//---
|
|
State.Clear();
|
|
for(int b = 0; b < (int)HistoryBars; b++)
|
|
{
|
|
uint bar_t = (int)HistoryBars - b;
|
|
float open = (float)Rates[bar_t].open;
|
|
TimeToStruct(Rates[bar_t].time, sTime);
|
|
float rsi = (float)RSI.Main(bar_t);
|
|
float rsi_p = (float)RSI.Main(bar_t + 1);
|
|
float cci = (float)CCI.Main(bar_t);
|
|
float cci_p = (float)CCI.Main(bar_t + 1);
|
|
float atr = (float)ATR.Main(bar_t);
|
|
float atr_p = (float)ATR.Main(bar_t + 1);
|
|
float macd = (float)MACD.Main(bar_t);
|
|
float macd_p = (float)MACD.Main(bar_t + 1);
|
|
float sign = (float)MACD.Signal(bar_t);
|
|
float sign_p = (float)MACD.Signal(bar_t + 1);
|
|
if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
|
|
continue;
|
|
//---
|
|
if(!State.Add((float)Rates[bar_t].close - open) || !State.Add((float)Rates[bar_t].high - open) ||
|
|
!State.Add((float)Rates[bar_t].low - open) || !State.Add((float)Rates[bar_t].tick_volume / 1000.0f) ||
|
|
!State.Add(sTime.hour) || !State.Add(sTime.day_of_week) || !State.Add(sTime.mon) ||
|
|
!State.Add(rsi) || !State.Add(cci) || !State.Add(atr) || !State.Add(macd) || !State.Add(sign))
|
|
break;
|
|
}
|
|
//---
|
|
if(State.Total() < (int)(HistoryBars * NeuronsToBar))
|
|
return;
|
|
if(!StudyNet.feedForward(GetPointer(State), NeuronsToBar, true,(CBufferFloat*)NULL))
|
|
return;
|
|
StudyNet.getResults(TempData);
|
|
if(!TempData)
|
|
return;
|
|
lastBar = Rates[0].time;
|
|
int action = GetAction(TempData);
|
|
delete TempData;
|
|
//---
|
|
bool Buy = false;
|
|
bool Sell = false;
|
|
for(int i = 0; i < PositionsTotal(); i++)
|
|
{
|
|
if(PositionGetSymbol(i) != Symb.Name())
|
|
continue;
|
|
switch((ENUM_POSITION_TYPE)PositionGetInteger(POSITION_TYPE))
|
|
{
|
|
case POSITION_TYPE_BUY:
|
|
Buy = true;
|
|
break;
|
|
case POSITION_TYPE_SELL:
|
|
Sell = true;
|
|
break;
|
|
}
|
|
}
|
|
switch(action)
|
|
{
|
|
case 0:
|
|
if(!Buy)
|
|
{
|
|
if((Sell && !Trade.PositionClose(Symb.Name())) ||
|
|
!Trade.Buy(Symb.LotsMin(), Symb.Name()))
|
|
{
|
|
lastBar = 0;
|
|
return;
|
|
}
|
|
}
|
|
break;
|
|
case 1:
|
|
if(!Sell)
|
|
{
|
|
if((Buy && !Trade.PositionClose(Symb.Name())) ||
|
|
!Trade.Sell(Symb.LotsMin(), Symb.Name()))
|
|
{
|
|
lastBar = 0;
|
|
return;
|
|
}
|
|
}
|
|
break;
|
|
case 2:
|
|
if(Buy || Sell)
|
|
if(!Trade.PositionClose(Symb.Name()))
|
|
{
|
|
lastBar = 0;
|
|
return;
|
|
}
|
|
break;
|
|
}
|
|
//---
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
int GetAction(CBufferFloat* probability)
|
|
{
|
|
vectorf prob;
|
|
if(!probability.GetData(prob))
|
|
return -1;
|
|
prob = prob.CumSum();
|
|
prob = prob / prob.Max();
|
|
int err_code;
|
|
float random = (float)MathRandomNormal(0.5, 0.5, err_code);
|
|
if(random >= 1)
|
|
return (int)prob.Size() - 1;
|
|
for(int i = 0; i < (int)prob.Size(); i++)
|
|
if(random <= prob[i] && prob[i] > 0)
|
|
return i;
|
|
//---
|
|
return -1;
|
|
}
|
|
//+------------------------------------------------------------------+
|