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NN_in_Trading/Experts/GCPC/Study.mq5
DNG 6b3f5ddd7e new files added
2026-03-12 15:02:23 +02:00

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//+------------------------------------------------------------------+
//| Study.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"
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
#define Study
#include "Trajectory.mqh"
//+------------------------------------------------------------------+
//| Input parameters |
//+------------------------------------------------------------------+
input int Iterations = 10000;
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
STrajectory Buffer[];
CNet Actor;
CNet StateEncoder;
CNet Encoder;
CNet Goal;
//---
float dError;
datetime dtStudied;
//---
CBufferFloat bState;
CBufferFloat bAccount;
CBufferFloat bGoal;
CBufferFloat bGradient;
CBufferFloat bLastEncoder;
CBufferFloat *Result;
vector<float> check;
vector<float> STD_Actor;
vector<float> STD_Goal;
//---
COpenCLMy *OpenCL;
//+------------------------------------------------------------------+
//| Expert initialization function |
//+------------------------------------------------------------------+
int OnInit()
{
//---
ResetLastError();
if(!LoadTotalBase())
{
PrintFormat("Error of load study data: %d", GetLastError());
return INIT_FAILED;
}
//--- load models
float temp;
if(!Encoder.Load(FileName + "Enc.nnw", temp, temp, temp, dtStudied, true))
{
Print("Cann't load Encoder model");
return INIT_FAILED;
}
if(!StateEncoder.Load(FileName + "StEnc.nnw", temp, temp, temp, dtStudied, true) ||
!Goal.Load(FileName + "Goal.nnw", temp, temp, temp, dtStudied, true) ||
!Actor.Load(FileName + "Act.nnw", temp, temp, temp, dtStudied, true))
{
CArrayObj *actor = new CArrayObj();
CArrayObj *goal = new CArrayObj();
CArrayObj *encoder = new CArrayObj();
if(!CreateDescriptions(actor, goal, encoder))
{
delete actor;
delete goal;
delete encoder;
return INIT_FAILED;
}
if(!Actor.Create(actor) || !StateEncoder.Create(encoder) || !Goal.Create(goal))
{
delete actor;
delete goal;
delete encoder;
return INIT_FAILED;
}
delete actor;
delete goal;
delete encoder;
//---
}
//---
OpenCL = Actor.GetOpenCL();
StateEncoder.SetOpenCL(OpenCL);
Encoder.SetOpenCL(OpenCL);
Goal.SetOpenCL(OpenCL);
Encoder.TrainMode(false);
//---
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;
}
Encoder.getResults(Result);
if(Result.Total() != EmbeddingSize)
{
PrintFormat("The scope of the Encoder does not match the embedding size (%d <> %d)", EmbeddingSize, Result.Total());
return INIT_FAILED;
}
//---
Encoder.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;
}
//---
StateEncoder.GetLayerOutput(0, Result);
if(Result.Total() != EmbeddingSize)
{
PrintFormat("Input size of State Encoder doesn't match Bottleneck (%d <> %d)", Result.Total(), EmbeddingSize);
return INIT_FAILED;
}
//---
StateEncoder.getResults(Result);
int latent_state = Result.Total();
Actor.GetLayerOutput(0, Result);
if(Result.Total() != latent_state)
{
PrintFormat("Input size of Actor doesn't match output State Encoder (%d <> %d)", Result.Total(), latent_state);
return INIT_FAILED;
}
//---
Goal.GetLayerOutput(0, Result);
latent_state = Result.Total();
Encoder.getResults(Result);
if(Result.Total() != latent_state)
{
PrintFormat("Input size of Goal doesn't match output Encoder (%d <> %d)", Result.Total(), latent_state);
return INIT_FAILED;
}
//---
Goal.getResults(Result);
if(Result.Total() != NRewards)
{
PrintFormat("The scope of Goal doesn't match rewards count (%d <> %d)", Result.Total(), NRewards);
return INIT_FAILED;
}
//---
if(!bLastEncoder.BufferInit(EmbeddingSize, 0) ||
!bGradient.BufferInit(MathMax(EmbeddingSize, AccountDescr), 0) ||
!bLastEncoder.BufferCreate(OpenCL) ||
!bGradient.BufferCreate(OpenCL))
{
PrintFormat("Error of create buffers: %d", GetLastError());
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))
{
Actor.Save(FileName + "Act.nnw", 0, 0, 0, TimeCurrent(), true);
StateEncoder.Save(FileName + "StEnc.nnw", 0, 0, 0, TimeCurrent(), true);
Goal.Save(FileName + "Goal.nnw", 0, 0, 0, TimeCurrent(), true);
}
delete Result;
delete OpenCL;
}
//+------------------------------------------------------------------+
//| ChartEvent function |
//+------------------------------------------------------------------+
void OnChartEvent(const int id,
const long &lparam,
const double &dparam,
const string &sparam)
{
//---
if(id == 1001)
Train();
}
//+------------------------------------------------------------------+
//| Train function |
//+------------------------------------------------------------------+
void Train(void)
{
//---
vector<float> probability = GetProbTrajectories(Buffer, 0.9);
//---
vector<float> result, target;
matrix<float> targets;
STD_Actor = vector<float>::Zeros(NActions);
STD_Goal = vector<float>::Zeros(NRewards);
int std_count = 0;
bool Stop = false;
//---
uint ticks = GetTickCount();
//---
for(int iter = 0; (iter < Iterations && !IsStopped() && !Stop); iter ++)
{
int tr = SampleTrajectory(probability);
int batch = GPTBars + 50;
int state = (int)((MathRand() * MathRand() / MathPow(32767, 2)) * (Buffer[tr].Total - 2 - PrecoderBars - batch));
if(state <= 0)
{
iter--;
continue;
}
Encoder.Clear();
bLastEncoder.BufferInit(EmbeddingSize, 0);
int end = MathMin(state + batch, Buffer[tr].Total - PrecoderBars);
for(int i = state; i < end; i++)
{
bState.AssignArray(Buffer[tr].States[i].state);
//---
if(!bLastEncoder.BufferWrite() ||
!Encoder.feedForward((CBufferFloat*)GetPointer(bState), 1, false, (CBufferFloat*)GetPointer(bLastEncoder)))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
//---
float PrevBalance = Buffer[tr].States[MathMax(i - 1, 0)].account[0];
float PrevEquity = Buffer[tr].States[MathMax(i - 1, 0)].account[1];
bAccount.Clear();
bAccount.Add((Buffer[tr].States[i].account[0] - PrevBalance) / PrevBalance);
bAccount.Add(Buffer[tr].States[i].account[1] / PrevBalance);
bAccount.Add((Buffer[tr].States[i].account[1] - PrevEquity) / PrevEquity);
bAccount.Add(Buffer[tr].States[i].account[2]);
bAccount.Add(Buffer[tr].States[i].account[3]);
bAccount.Add(Buffer[tr].States[i].account[4] / PrevBalance);
bAccount.Add(Buffer[tr].States[i].account[5] / PrevBalance);
bAccount.Add(Buffer[tr].States[i].account[6] / PrevBalance);
double time = (double)Buffer[tr].States[i].account[7];
double x = time / (double)(D'2024.01.01' - D'2023.01.01');
bAccount.Add((float)MathSin(x != 0 ? 2.0 * M_PI * x : 0));
x = time / (double)PeriodSeconds(PERIOD_MN1);
bAccount.Add((float)MathCos(x != 0 ? 2.0 * M_PI * x : 0));
x = time / (double)PeriodSeconds(PERIOD_W1);
bAccount.Add((float)MathSin(x != 0 ? 2.0 * M_PI * x : 0));
x = time / (double)PeriodSeconds(PERIOD_D1);
bAccount.Add((float)MathSin(x != 0 ? 2.0 * M_PI * x : 0));
if(bAccount.GetIndex() >= 0)
bAccount.BufferWrite();
//--- State embedding
if(!StateEncoder.feedForward((CNet *)GetPointer(Encoder), -1, (CBufferFloat*)GetPointer(bAccount)))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
//---
targets = matrix<float>::Zeros(PrecoderBars, NRewards);
result.Assign(Buffer[tr].States[i + 1].rewards);
for(int t = 0; t < PrecoderBars; t++)
{
target = result;
result.Assign(Buffer[tr].States[i + t + 2].rewards);
target = target - result * DiscFactor;
targets.Row(target, t);
}
for(int t = 1; t < PrecoderBars; t++)
{
target = targets.Row(t - 1) + targets.Row(t) * MathPow(DiscFactor, t);
targets.Row(target, t);
}
result = targets.Sum(1);
ulong row = result.ArgMax();
target = targets.Row(row);
bGoal.AssignArray(target);
//--- Actor
if(!Actor.feedForward((CNet *)GetPointer(StateEncoder), -1, (CBufferFloat*)GetPointer(bGoal)))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
target.Assign(Buffer[tr].States[i].action);
target.Clip(0, 1);
Actor.getResults(result);
vector<float> error = target - result;
std_count = MathMin(std_count, 999);
STD_Actor = MathSqrt((MathPow(STD_Actor, 2) * std_count + MathPow(error, 2)) / (std_count + 1));
check = MathAbs(error) - STD_Actor * STD_Multiplier;
if(check.Max() > 0)
{
Result.AssignArray(CAGrad(error) + result);
if(!Actor.backProp(Result, (CBufferFloat *)GetPointer(bGoal), (CBufferFloat *)GetPointer(bGradient)) ||
!StateEncoder.backPropGradient(GetPointer(bAccount), (CBufferFloat *)GetPointer(bGradient)))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
}
//--- Goal
if(!Goal.feedForward((CNet *)GetPointer(Encoder), -1, (CBufferFloat*)NULL))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
target=targets.Row(row);
result = target / (MathAbs(target) + FLT_EPSILON);
result = MathPow(vector<float>::Full(NRewards, 2), result);
target = target * result;
Goal.getResults(result);
error = target - result;
std_count = MathMin(std_count, 999);
STD_Goal = MathSqrt((MathPow(STD_Goal, 2) * std_count + MathPow(error, 2)) / (std_count + 1));
std_count++;
check = MathAbs(error) - STD_Goal * STD_Multiplier;
if(check.Max() > 0)
{
Result.AssignArray(CAGrad(error) + result);
if(!Goal.backProp(Result, (CBufferFloat *)NULL, (CBufferFloat *)NULL))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
Stop = true;
break;
}
}
//---
Encoder.getResults(result);
bLastEncoder.AssignArray(result);
//---
if(GetTickCount() - ticks > 500)
{
double percent = (double(i - state) / ((end - state)) + iter) * 100.0 / (Iterations);
string str = StringFormat("%-14s %6.2f%% -> Error %15.8f\n", "Actor", percent, Actor.getRecentAverageError());
str += StringFormat("%-14s %6.2f%% -> Error %15.8f\n", "Goal", percent, Goal.getRecentAverageError());
Comment(str);
ticks = GetTickCount();
}
}
}
Comment("");
//---
PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Actor", Actor.getRecentAverageError());
PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Goal", Goal.getRecentAverageError());
ExpertRemove();
//---
}
//+------------------------------------------------------------------+
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