562 lines
43 KiB
MQL5
562 lines
43 KiB
MQL5
//+------------------------------------------------------------------+
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//| Study.mq5 |
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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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//| |
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//+------------------------------------------------------------------+
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#define Study
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#define Critic
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#include "Trajectory.mqh"
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//+------------------------------------------------------------------+
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//| Input parameters |
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//+------------------------------------------------------------------+
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input int Iterations = 100000;
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input int Batch = 10;
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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STrajectory Buffer[];
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CNet cEncoder;
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CNet cActor;
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CNet cDirector;
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CNet cCritic;
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//---
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float dError;
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datetime dtStudied;
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//---
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CBufferFloat bState;
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CBufferFloat bTime;
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CBufferFloat bAccount;
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CBufferFloat bGradient;
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CBufferFloat bActions;
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CBufferFloat *Result;
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vector<float> check;
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vector<float> STD_Actor;
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vector<float> STD_Goal;
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//+------------------------------------------------------------------+
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//| Expert initialization function |
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//+------------------------------------------------------------------+
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int OnInit()
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{
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//---
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ResetLastError();
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if(!LoadTotalBase())
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{
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PrintFormat("Error of load study data: %d", GetLastError());
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return INIT_FAILED;
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}
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//--- load models
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float temp;
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CArrayObj *encoder = new CArrayObj();
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CArrayObj *actor = new CArrayObj();
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CArrayObj *director = new CArrayObj();
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CArrayObj *critic = new CArrayObj();
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if(!CreateDescriptions(encoder, actor, director, critic))
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{
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delete encoder;
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delete actor;
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delete director;
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delete critic;
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return INIT_FAILED;
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}
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if(!cEncoder.Load(FileName + "Enc.nnw", temp, temp, temp, dtStudied, true))
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{
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Print("Create new State Encoder");
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if(!cEncoder.Create(encoder))
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{
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delete encoder;
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delete actor;
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delete director;
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delete critic;
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return INIT_FAILED;
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}
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}
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if(!cActor.Load(FileName + "Act.nnw", temp, temp, temp, dtStudied, true))
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{
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Print("Create new Actor");
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if(!cActor.Create(actor))
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{
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delete encoder;
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delete actor;
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delete director;
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delete critic;
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return INIT_FAILED;
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}
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}
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if(!cDirector.Load(FileName + "Dir.nnw", temp, temp, temp, dtStudied, true))
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{
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Print("Create new Director model");
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if(!cDirector.Create(director))
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{
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delete encoder;
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delete actor;
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delete director;
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delete critic;
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return INIT_FAILED;
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}
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}
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if(!cCritic.Load(FileName + "Crt.nnw", temp, temp, temp, dtStudied, true))
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{
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Print("Create new Critic model");
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if(!cCritic.Create(critic))
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{
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delete encoder;
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delete actor;
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delete director;
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delete critic;
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return INIT_FAILED;
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}
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}
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delete encoder;
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delete actor;
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delete director;
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delete critic;
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//---
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cEncoder.TrainMode(true);
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cActor.TrainMode(true);
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cDirector.TrainMode(true);
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cCritic.TrainMode(true);
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cEncoder.SetOpenCL(cActor.GetOpenCL());
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cDirector.SetOpenCL(cActor.GetOpenCL());
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cCritic.SetOpenCL(cActor.GetOpenCL());
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//---
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cActor.getResults(Result);
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if(Result.Total() != NActions)
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{
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PrintFormat("The scope of the actor does not match the actions count (%d <> %d)", NActions, Result.Total());
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return INIT_FAILED;
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}
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//---
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cEncoder.GetLayerOutput(0, Result);
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if(Result.Total() != (HistoryBars * BarDescr))
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{
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PrintFormat("Input size of Encoder doesn't match state description (%d <> %d)", Result.Total(), (HistoryBars * BarDescr));
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return INIT_FAILED;
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}
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//---
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if(!bGradient.BufferInit(MathMax(AccountDescr, NActions), 0) ||
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!bGradient.BufferCreate(cActor.GetOpenCL()))
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{
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PrintFormat("Error of create buffers: %d", GetLastError());
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return INIT_FAILED;
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}
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//---
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if(!EventChartCustom(ChartID(), 1, 0, 0, "Init"))
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{
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PrintFormat("Error of create study event: %d", GetLastError());
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return INIT_FAILED;
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}
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//---
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return(INIT_SUCCEEDED);
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}
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//+------------------------------------------------------------------+
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//| Expert deinitialization function |
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//+------------------------------------------------------------------+
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void OnDeinit(const int reason)
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{
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//---
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if(!(reason == REASON_INITFAILED || reason == REASON_RECOMPILE))
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{
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if(!cEncoder.Save(FileName + "Enc.nnw", 0, 0, 0, TimeCurrent(), true))
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PrintFormat("Error of save model: %s", "Encoder");
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if(!cActor.Save(FileName + "Act.nnw", 0, 0, 0, TimeCurrent(), true))
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PrintFormat("Error of save model: %s", "Actor");
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if(!cDirector.Save(FileName + "Dir.nnw", 0, 0, 0, TimeCurrent(), true))
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PrintFormat("Error of save model: %s", "Direcctor");
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if(!cCritic.Save(FileName + "Crt.nnw", 0, 0, 0, TimeCurrent(), true))
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PrintFormat("Error of save model: %s", "Critic");
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}
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delete Result;
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}
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//+------------------------------------------------------------------+
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//| ChartEvent function |
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//+------------------------------------------------------------------+
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void OnChartEvent(const int id,
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const long &lparam,
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const double &dparam,
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const string &sparam)
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{
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//---
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switch(id)
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{
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case 1001:
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Train();
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break;
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case 1007:
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PrintFormat("Wrong event: %d", id);
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ExpertRemove();
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break;
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}
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}
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//+------------------------------------------------------------------+
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//| Train function |
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//+------------------------------------------------------------------+
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void Train(void)
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{
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//---
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vector<float> probability = vector<float>::Full(Buffer.Size(), 1.0f / Buffer.Size());
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//---
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vector<float> result, target, state;
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matrix<float> fstate = matrix<float>::Zeros(1, NForecast * BarDescr);
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matrix<float> hstate = matrix<float>::Zeros(1, HistoryBars * BarDescr);
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bool Stop = false;
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int average = 5;
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//---
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uint ticks = GetTickCount();
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//---
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for(int iter = 0; (iter < Iterations && !IsStopped() && !Stop); iter += Batch)
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{
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int tr = SampleTrajectory(probability);
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int start = (int)((MathRand() * MathRand() / MathPow(32767, 2)) * (Buffer[tr].Total - 2 - NForecast - Batch));
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if(start <= 0)
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{
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iter -= Batch;
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continue;
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}
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if(
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!cEncoder.Clear()
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|| !cActor.Clear()
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|| !cDirector.Clear()
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|| !cCritic.Clear()
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)
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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result = vector<float>::Zeros(NActions);
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for(int i = start; i < MathMin(Buffer[tr].Total, start + Batch); i++)
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{
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if(!hstate.Assign(Buffer[tr].States[i].state) ||
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MathAbs(hstate).Sum() == 0 ||
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!hstate.Reshape(HistoryBars, BarDescr))
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{
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iter -= Batch + start - i;
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break;
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}
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//---
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for(int h = HistoryBars - 1; h > 0; h--)
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{
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state = vector<float>::Zeros(BarDescr);
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for(int a = MathMax(h - average + 1, 0); a <= h; a++)
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state += hstate.Row(a);
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if(!hstate.Row(state / MathMin(average, h + 1), h))
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{
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iter -= Batch + start - i;
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break;
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}
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}
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//---
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if(!hstate.Reshape(1, HistoryBars * BarDescr) ||
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!bState.AssignArray(hstate.Row(0)))
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{
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iter -= Batch + start - i;
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break;
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}
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//---
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bTime.Clear();
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bTime.Reserve(HistoryBars);
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double time = (double)Buffer[tr].States[i].account[7];
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for(int t = i; t >= MathMax(0, i - HistoryBars + 1); t--)
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if(!bTime.Add((float)(double)Buffer[tr].States[t].account[7]))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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if(bTime.Total() < HistoryBars)
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{
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float period = MathMin(Buffer[tr].States[i + 1].account[7] - Buffer[tr].States[i].account[7],
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Buffer[tr].States[i + 2].account[7] - Buffer[tr].States[i + 1].account[7]);
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do
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{
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if(!bTime.Add(bTime[-1] - period))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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}
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while(bTime.Total() < HistoryBars);
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}
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if(bTime.GetIndex() >= 0)
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if(!bTime.BufferWrite())
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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//--- Account
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float PrevBalance = Buffer[tr].States[MathMax(i - 1, 0)].account[0];
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float PrevEquity = Buffer[tr].States[MathMax(i - 1, 0)].account[1];
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float profit = float(bState[0] / _Point * (result[0] - result[3]));
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bAccount.Clear();
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bAccount.Add(1);
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bAccount.Add((PrevEquity + profit) / PrevEquity);
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bAccount.Add(profit / PrevEquity);
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bAccount.Add(MathMax(result[0] - result[3], 0));
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bAccount.Add(MathMax(result[3] - result[0], 0));
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bAccount.Add((bAccount[3] > 0 ? profit / PrevEquity : 0));
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bAccount.Add((bAccount[4] > 0 ? profit / PrevEquity : 0));
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bAccount.Add(0);
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double x = time / (double)(D'2024.01.01' - D'2023.01.01');
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bAccount.Add((float)MathSin(x != 0 ? 2.0 * M_PI * x : 0));
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x = time / (double)PeriodSeconds(PERIOD_MN1);
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bAccount.Add((float)MathCos(x != 0 ? 2.0 * M_PI * x : 0));
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x = time / (double)PeriodSeconds(PERIOD_W1);
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bAccount.Add((float)MathSin(x != 0 ? 2.0 * M_PI * x : 0));
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x = time / (double)PeriodSeconds(PERIOD_D1);
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bAccount.Add((float)MathSin(x != 0 ? 2.0 * M_PI * x : 0));
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if(bAccount.GetIndex() >= 0)
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if(!bAccount.BufferWrite())
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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//--- Feed Forward
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if(!cEncoder.feedForward((CBufferFloat*)GetPointer(bState), 1, false, (CBufferFloat*)GetPointer(bTime)))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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if(!cActor.feedForward((CBufferFloat*)GetPointer(bAccount), 1, false, GetPointer(cEncoder), LatentLayer))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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//--- Look for target
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target = vector<float>::Zeros(NActions);
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bActions.AssignArray(target);
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if(!state.Assign(Buffer[tr].States[i + NForecast].state) ||
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!state.Resize(NForecast * BarDescr) ||
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MathAbs(state).Sum() == 0)
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{
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iter -= Batch + start - i;
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break;
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}
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if(!fstate.Resize(1, NForecast * BarDescr) ||
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!fstate.Row(state, 0) ||
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!fstate.Reshape(NForecast, BarDescr))
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{
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iter -= Batch + start - i;
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break;
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}
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for(int j = 0; j < NForecast / 2; j++)
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{
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if(!fstate.SwapRows(j, NForecast - j - 1))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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}
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//--- State Encoder
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Result.AssignArray(fstate);
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if(!cEncoder.backProp(Result, (CBufferFloat*)NULL, NULL))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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Stop = true;
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break;
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}
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//---
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target = fstate.Col(0).CumSum();
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if(result[0] > result[3])
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{
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float tp = 0;
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float sl = 0;
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float cur_sl = float(-(result[2] > 0 ? result[2] : 1) * MaxSL * Point());
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int pos = 0;
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for(int j = 0; j < NForecast; j++)
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{
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tp = MathMax(tp, target[j] + fstate[j, 1] - fstate[j, 0]);
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pos = j;
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if(cur_sl >= target[j] + fstate[j, 2] - fstate[j, 0])
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break;
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sl = MathMin(sl, target[j] + fstate[j, 2] - fstate[j, 0]);
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}
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if(pos > 0 && tp > 0)
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{
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sl = (float)MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01);
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tp = float(MathMin(tp / (MaxTP * Point()), 1));
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result[0] = MathMax(result[0] - result[3], 0.011f);
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result[5] = result[1] = tp;
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result[4] = result[2] = sl;
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result[3] = 0;
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bActions.AssignArray(result);
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}
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}
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else
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{
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if(result[0] < result[3])
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{
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float tp = 0;
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float sl = 0;
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float cur_sl = float((result[5] > 0 ? result[5] : 1) * MaxSL * Point());
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int pos = 0;
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for(int j = 0; j < NForecast; j++)
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{
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tp = MathMin(tp, target[j] + fstate[j, 2] - fstate[j, 0]);
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pos = j;
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if(cur_sl <= target[j] + fstate[j, 1] - fstate[j, 0])
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break;
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sl = MathMax(sl, target[j] + fstate[j, 1] - fstate[j, 0]);
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}
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if(pos > 0 && tp < 0)
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{
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sl = (float)MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01);
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tp = float(MathMin(-tp / (MaxTP * Point()), 1));
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result[3] = MathMax(result[3] - result[0], 0.011f);
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result[2] = result[4] = tp;
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result[1] = result[5] = sl;
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result[0] = 0;
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bActions.AssignArray(result);
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}
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}
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else
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{
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ulong argmin = target.ArgMin();
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ulong argmax = target.ArgMax();
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float max_sl = float(MaxSL * Point());
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while(argmax > 0 && argmin > 0)
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{
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if(argmax < argmin && target[argmax] / 2 > MathAbs(target[argmin]) && MathAbs(target[argmin]) < max_sl)
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break;
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if(argmax > argmin && target[argmax] < MathAbs(target[argmin] / 2) && target[argmax] < max_sl)
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break;
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target.Resize(MathMin(argmax, argmin));
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argmin = target.ArgMin();
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argmax = target.ArgMax();
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}
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if(argmin == 0 || (argmax < argmin && argmax > 0))
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{
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float tp = 0;
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float sl = 0;
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float cur_sl = - float(MaxSL * Point());
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ulong pos = 0;
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for(ulong j = 0; j < argmax; j++)
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{
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tp = MathMax(tp, target[j] + fstate[j, 1] - fstate[j, 0]);
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pos = j;
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if(cur_sl >= target[j] + fstate[j, 2] - fstate[j, 0])
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break;
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sl = MathMin(sl, target[j] + fstate[j, 2] - fstate[j, 0]);
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}
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if(pos > 0 && tp > 0)
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{
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sl = (float)MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01);
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tp = (float)MathMin(tp / (MaxTP * Point()), 1);
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result[0] = float(MathMax(Buffer[tr].States[i].account[0] / 100 * 0.01, 0.011));
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result[5] = result[1] = tp;
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result[4] = result[2] = sl;
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result[3] = 0;
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bActions.AssignArray(result);
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}
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}
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else
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{
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if(argmax == 0 || argmax > argmin)
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{
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float tp = 0;
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float sl = 0;
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float cur_sl = float(MaxSL * Point());
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ulong pos = 0;
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for(ulong j = 0; j < argmin; j++)
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{
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tp = MathMin(tp, target[j] + fstate[j, 2] - fstate[j, 0]);
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pos = j;
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if(cur_sl <= target[j] + fstate[j, 1] - fstate[j, 0])
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break;
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sl = MathMax(sl, target[j] + fstate[j, 1] - fstate[j, 0]);
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}
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if(pos > 0 && tp < 0)
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{
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sl = (float)MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01);
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tp = (float)MathMin(-tp / (MaxTP * Point()), 1);
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result[3] = float(MathMax(Buffer[tr].States[i].account[0] / 100 * 0.01, 0.011));
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result[2] = result[4] = tp;
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result[1] = result[5] = sl;
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result[0] = 0;
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bActions.AssignArray(result);
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}
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}
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}
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}
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}
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//--- Actor Policy
|
|
bActions.GetData(result);
|
|
if(!cActor.backProp(GetPointer(bActions), (CNet*)GetPointer(cEncoder), LatentLayer))
|
|
{
|
|
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
|
Stop = true;
|
|
break;
|
|
}
|
|
//--- Critic
|
|
if(!cCritic.feedForward(GetPointer(bActions), 1, false, (CNet*)GetPointer(cEncoder), LatentLayer))
|
|
{
|
|
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
|
Stop = true;
|
|
break;
|
|
}
|
|
float reward = float((bActions[0] - bActions[3]) * fstate[0, 0] / Point());
|
|
Result.Clear();
|
|
if(!Result.Add(reward)
|
|
|| !cCritic.backProp(Result, (CNet*)GetPointer(cEncoder), LatentLayer)
|
|
|| !cEncoder.backPropGradient((CBufferFloat*)NULL, (CBufferFloat*)NULL, LatentLayer, true)
|
|
)
|
|
{
|
|
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
|
Stop = true;
|
|
break;
|
|
}
|
|
//--- Director
|
|
Result.Clear();
|
|
if((MathRand() / 32767.0) > 0.5)
|
|
Result.Add(1);
|
|
else
|
|
{
|
|
target = vector<float>::Zeros(NActions);
|
|
for(int i = 0; i < NActions; i++)
|
|
target[i] = float(MathRand() / 32767.0);
|
|
bActions.AssignArray(target);
|
|
Result.Add(0);
|
|
}
|
|
if(!cDirector.feedForward(GetPointer(bActions), 1, false, (CNet*)GetPointer(cEncoder), LatentLayer)
|
|
|| !cDirector.backProp(Result, (CNet*)GetPointer(cEncoder), LatentLayer)
|
|
//|| !cEncoder.backPropGradient((CBufferFloat*)NULL, (CBufferFloat*)NULL, LatentLayer, true)
|
|
)
|
|
{
|
|
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
|
Stop = true;
|
|
break;
|
|
}
|
|
//---
|
|
if(GetTickCount() - ticks > 500)
|
|
{
|
|
double percent = double(iter + i - start) * 100.0 / (Iterations);
|
|
string str = StringFormat("%-12s %6.2f%% -> Error %15.8f\n", "Encoder", percent, cEncoder.getRecentAverageError());
|
|
str += StringFormat("%-14s %6.2f%% -> Error %15.8f\n", "Actor", percent, cActor.getRecentAverageError());
|
|
str += StringFormat("%-14s %6.2f%% -> Error %15.8f\n", "Director", percent, cDirector.getRecentAverageError());
|
|
str += StringFormat("%-16s %6.2f%% -> Error %15.8f\n", "Critic", percent, cCritic.getRecentAverageError());
|
|
Comment(str);
|
|
ticks = GetTickCount();
|
|
}
|
|
}
|
|
}
|
|
Comment("");
|
|
//---
|
|
PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Encoder", cEncoder.getRecentAverageError());
|
|
PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Actor", cActor.getRecentAverageError());
|
|
PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Director", cDirector.getRecentAverageError());
|
|
PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Critic", cCritic.getRecentAverageError());
|
|
ExpertRemove();
|
|
//---
|
|
}
|
|
//+------------------------------------------------------------------+
|