184 satır
15 KiB
MQL5
184 satır
15 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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#include "Trajectory.mqh"
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//+------------------------------------------------------------------+
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//| Input parameters |
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//+------------------------------------------------------------------+
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input int Iterations = 1e3;
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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STrajectory Buffer[];
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CNet Agent;
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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 State;
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CBufferFloat *Result;
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vector<float> Actions;
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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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if(!Agent.Load(FileName + "Act.nnw", temp, temp, temp, dtStudied, true))
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{
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Print("Init new models");
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CArrayObj *agent = new CArrayObj();
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if(!CreateAgentDescriptions(agent))
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{
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delete agent;
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return INIT_FAILED;
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}
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if(!Agent.Create(agent))
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{
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delete agent;
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return INIT_FAILED;
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}
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delete agent;
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}
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//---
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Agent.getResults(Result);
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if(Result.Total() != NActions)
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{
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PrintFormat("The scope of the Agent 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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Agent.GetLayerOutput(0, Result);
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if(Result.Total() != (BarDescr * NBarInPattern + AccountDescr + TimeDescription + NActions + EmbeddingSize))
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{
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PrintFormat("Input size of Agent doesn't match state description (%d <> %d)", Result.Total(), (BarDescr * NBarInPattern + AccountDescr + TimeDescription + NActions + EmbeddingSize));
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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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Agent.Save(FileName + "Act.nnw", 0, 0, 0, TimeCurrent(), true);
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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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if(id == 1001)
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Train();
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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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vector<double> probability = GetProbTrajectories(Buffer, 0.1f);
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uint ticks = GetTickCount();
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//---
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bool StopFlag = false;
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for(int iter = 0; (iter < Iterations && !IsStopped() && !StopFlag); iter ++)
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{
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int tr = SampleTrajectory(probability);
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int i = (int)((MathRand() * MathRand() / MathPow(32767, 2)) * MathMax(Buffer[tr].Total - 2 * HistoryBars - NBarInPattern, MathMin(Buffer[tr].Total, 20)));
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if(i < 0)
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{
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iter--;
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continue;
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}
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Agent.Clear();
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for(int state = i; state < MathMin(Buffer[tr].Total - 1 - NBarInPattern, i + HistoryBars * 2); state++)
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{
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//--- History data
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State.AssignArray(Buffer[tr].States[state].state);
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//--- Account description
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float PrevBalance = (state == 0 ? Buffer[tr].States[state].account[0] : Buffer[tr].States[state - 1].account[0]);
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float PrevEquity = (state == 0 ? Buffer[tr].States[state].account[1] : Buffer[tr].States[state - 1].account[1]);
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State.Add((Buffer[tr].States[state].account[0] - PrevBalance) / PrevBalance);
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State.Add(Buffer[tr].States[state].account[1] / PrevBalance);
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State.Add((Buffer[tr].States[state].account[1] - PrevEquity) / PrevEquity);
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State.Add(Buffer[tr].States[state].account[2]);
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State.Add(Buffer[tr].States[state].account[3]);
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State.Add(Buffer[tr].States[state].account[4] / PrevBalance);
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State.Add(Buffer[tr].States[state].account[5] / PrevBalance);
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State.Add(Buffer[tr].States[state].account[6] / PrevBalance);
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//--- Time label
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double x = (double)Buffer[tr].States[state].account[7] / (double)(D'2024.01.01' - D'2023.01.01');
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State.Add((float)MathSin(2.0 * M_PI * x));
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x = (double)Buffer[tr].States[state].account[7] / (double)PeriodSeconds(PERIOD_MN1);
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State.Add((float)MathCos(2.0 * M_PI * x));
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x = (double)Buffer[tr].States[state].account[7] / (double)PeriodSeconds(PERIOD_W1);
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State.Add((float)MathSin(2.0 * M_PI * x));
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x = (double)Buffer[tr].States[state].account[7] / (double)PeriodSeconds(PERIOD_D1);
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State.Add((float)MathSin(2.0 * M_PI * x));
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//--- Prev action
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if(state > 0)
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State.AddArray(Buffer[tr].States[state - 1].action);
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else
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State.AddArray(vector<float>::Zeros(NActions));
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//--- Scheduler
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State.AddArray(Buffer[tr].States[state].scheduler);
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//--- Feed Forward
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if(!Agent.feedForward(GetPointer(State), 1, false, (CBufferFloat*)NULL))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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StopFlag = true;
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break;
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}
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//--- Policy study
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Result.AssignArray(Buffer[tr].States[state].action);
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if(!Agent.backProp(Result, (CBufferFloat*)NULL))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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StopFlag = true;
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break;
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}
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//---
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if(GetTickCount() - ticks > 500)
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{
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string str = StringFormat("%-15s %5.2f%% -> Error %15.8f\n", "Agent", iter * 100.0 / (double)(Iterations), Agent.getRecentAverageError());
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Comment(str);
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ticks = GetTickCount();
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}
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}
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}
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Comment("");
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//---
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PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Agent", Agent.getRecentAverageError());
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ExpertRemove();
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//---
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}
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//+------------------------------------------------------------------+
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