341 lignes
25 Kio
MQL5
341 lignes
25 Kio
MQL5
//+------------------------------------------------------------------+
|
|
//| Test.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"
|
|
//+------------------------------------------------------------------+
|
|
//| Includes |
|
|
//+------------------------------------------------------------------+
|
|
#define StudyOnline
|
|
#include "Trajectory.mqh"
|
|
#include <Trade\Trade.mqh>
|
|
#include <Trade\SymbolInfo.mqh>
|
|
#include <Indicators\Oscilators.mqh>
|
|
//+------------------------------------------------------------------+
|
|
//| Input parameters |
|
|
//+------------------------------------------------------------------+
|
|
input group "---- Other ----"
|
|
input int Agent = 1;
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
CNet cActor;
|
|
//---
|
|
float dError;
|
|
datetime dtStudied;
|
|
//---
|
|
CBufferFloat bState;
|
|
CBufferFloat bTime;
|
|
CBufferFloat *bAction;
|
|
CBufferFloat *Result;
|
|
double PrevBalance = 0;
|
|
double PrevEquity = 0;
|
|
bool bFillStack = true;
|
|
//+------------------------------------------------------------------+
|
|
//| 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(StackSize + HistoryBars) || !CCI.BufferResize(StackSize + HistoryBars) ||
|
|
!ATR.BufferResize(StackSize + HistoryBars) || !MACD.BufferResize(StackSize + HistoryBars))
|
|
{
|
|
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
|
return INIT_FAILED;
|
|
}
|
|
//---
|
|
if(!Trade.SetTypeFillingBySymbol(Symb.Name()))
|
|
return INIT_FAILED;
|
|
//--- load models
|
|
float temp;
|
|
if(!cActor.Load(FileName + "Act.nnw", temp, temp, temp, dtStudied, true))
|
|
{
|
|
Print("Error load pretrained Actor");
|
|
return INIT_FAILED;
|
|
}
|
|
//---
|
|
cActor.TrainMode(false);
|
|
//---
|
|
cActor.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;
|
|
}
|
|
//---
|
|
cActor.GetLayerOutput(0, Result);
|
|
if(Result.Total() != (HistoryBars * BarDescr + AccountDescr))
|
|
{
|
|
PrintFormat("Input size of Actor doesn't match state description (%d <> %d)", Result.Total(), (HistoryBars * BarDescr + AccountDescr));
|
|
return INIT_FAILED;
|
|
}
|
|
//---
|
|
PrevBalance = AccountInfoDouble(ACCOUNT_BALANCE);
|
|
PrevEquity = AccountInfoDouble(ACCOUNT_EQUITY);
|
|
bFillStack = true;
|
|
//---
|
|
return(INIT_SUCCEEDED);
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| Expert deinitialization function |
|
|
//+------------------------------------------------------------------+
|
|
void OnDeinit(const int reason)
|
|
{
|
|
//---
|
|
DeleteObj(Result);
|
|
DeleteObj(bAction);
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| Expert tick function |
|
|
//+------------------------------------------------------------------+
|
|
void OnTick()
|
|
{
|
|
if(bFillStack)
|
|
{
|
|
if(!FillStack())
|
|
{
|
|
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
|
return;
|
|
}
|
|
bFillStack = false;
|
|
}
|
|
//---
|
|
if(!IsNewBar())
|
|
return;
|
|
//---
|
|
int bars = CopyRates(Symb.Name(), TimeFrame, iTime(Symb.Name(), TimeFrame, 1), HistoryBars, Rates);
|
|
if(!ArraySetAsSeries(Rates, true))
|
|
{
|
|
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
|
return;
|
|
}
|
|
//---
|
|
RSI.Refresh();
|
|
CCI.Refresh();
|
|
ATR.Refresh();
|
|
MACD.Refresh();
|
|
Symb.Refresh();
|
|
Symb.RefreshRates();
|
|
bTime.Clear();
|
|
bTime.Reserve(HistoryBars);
|
|
//---
|
|
if(!CreateBuffers(0, GetPointer(bState), GetPointer(bTime), (CBufferFloat*)NULL))
|
|
{
|
|
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
|
return;
|
|
}
|
|
//---
|
|
double buy_value = 0, sell_value = 0, buy_profit = 0, sell_profit = 0;
|
|
double position_discount = 0;
|
|
double multiplyer = 1.0 / (60.0 * 60.0 * 10.0);
|
|
int total = PositionsTotal();
|
|
datetime current = TimeCurrent();
|
|
for(int i = 0; i < total; i++)
|
|
{
|
|
if(PositionGetSymbol(i) != Symb.Name())
|
|
continue;
|
|
double profit = PositionGetDouble(POSITION_PROFIT);
|
|
switch((int)PositionGetInteger(POSITION_TYPE))
|
|
{
|
|
case POSITION_TYPE_BUY:
|
|
buy_value += PositionGetDouble(POSITION_VOLUME);
|
|
buy_profit += profit;
|
|
break;
|
|
case POSITION_TYPE_SELL:
|
|
sell_value += PositionGetDouble(POSITION_VOLUME);
|
|
sell_profit += profit;
|
|
break;
|
|
}
|
|
position_discount += (current - PositionGetInteger(POSITION_TIME)) * multiplyer * MathAbs(profit);
|
|
}
|
|
//---
|
|
vector<float> account = vector<float>::Zeros(AccountDescr);
|
|
account[0] = float(AccountInfoDouble(ACCOUNT_BALANCE) / EtalonBalance);
|
|
account[1] = float((AccountInfoDouble(ACCOUNT_BALANCE) - PrevBalance) / PrevBalance);
|
|
account[2] = float(AccountInfoDouble(ACCOUNT_EQUITY) / PrevBalance);
|
|
account[3] = float((AccountInfoDouble(ACCOUNT_EQUITY) - PrevEquity) / PrevEquity);
|
|
account[4] = (float)buy_value;
|
|
account[5] = (float)sell_value;
|
|
account[6] = float(buy_profit / PrevBalance);
|
|
account[7] = float(sell_profit / PrevBalance);
|
|
account[8] = float(position_discount / PrevBalance);
|
|
double time = (double)Rates[0].time;
|
|
double x = time / (double)(D'2024.01.01' - D'2023.01.01');
|
|
account[9] = (float)MathSin(x != 0 ? 2.0 * M_PI * x : 0);
|
|
x = time / (double)PeriodSeconds(PERIOD_MN1);
|
|
account[10] = (float)MathCos(x != 0 ? 2.0 * M_PI * x : 0);
|
|
x = time / (double)PeriodSeconds(PERIOD_W1);
|
|
account[11] = (float)MathSin(x != 0 ? 2.0 * M_PI * x : 0);
|
|
x = time / (double)PeriodSeconds(PERIOD_D1);
|
|
account[12] = (float)MathSin(x != 0 ? 2.0 * M_PI * x : 0);
|
|
//---
|
|
if(!bState.AddArray(account))
|
|
{
|
|
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
|
return;
|
|
}
|
|
if(!cActor.feedForward((CBufferFloat*)GetPointer(bState), 1, false, (CBufferFloat*)(CBufferFloat*)GetPointer(bTime)))
|
|
{
|
|
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
|
|
return;
|
|
}
|
|
//---
|
|
PrevBalance = AccountInfoDouble(ACCOUNT_BALANCE);
|
|
PrevEquity = AccountInfoDouble(ACCOUNT_EQUITY);
|
|
//---
|
|
cActor.getResults(bAction);
|
|
//---
|
|
if(bAction.Total() < NActions)
|
|
bAction.BufferInit(NActions, 0);
|
|
//---
|
|
double min_lot = Symb.LotsMin();
|
|
double step_lot = Symb.LotsStep();
|
|
double stops = (MathMax(Symb.StopsLevel(), 1) + Symb.Spread()) * Symb.Point();
|
|
if(bAction[0] >= bAction[3])
|
|
{
|
|
bAction.Update(0, bAction[0] - bAction[3]);
|
|
bAction.Update(3, 0);
|
|
}
|
|
else
|
|
{
|
|
bAction.Update(3, bAction[3] - bAction[0]);
|
|
bAction.Update(0, 0);
|
|
}
|
|
//--- buy control
|
|
if(bAction[0] < min_lot ||
|
|
(bAction[1] * MaxTP * Symb.Point()) <= 2 * stops ||
|
|
(bAction[2] * MaxSL * Symb.Point()) <= stops
|
|
)
|
|
{
|
|
if(buy_value > 0)
|
|
CloseByDirection(POSITION_TYPE_BUY);
|
|
}
|
|
else
|
|
{
|
|
double buy_lot = min_lot + MathRound((double)(bAction[0] - min_lot) / step_lot) * step_lot;
|
|
double buy_tp = NormalizeDouble(Symb.Ask() + bAction[1] * MaxTP * Symb.Point(), Symb.Digits());
|
|
double buy_sl = NormalizeDouble(Symb.Ask() - bAction[2] * MaxSL * Symb.Point(), Symb.Digits());
|
|
if(buy_value > 0)
|
|
TrailPosition(POSITION_TYPE_BUY, buy_sl, buy_tp);
|
|
if(buy_value != buy_lot)
|
|
{
|
|
if((buy_value - buy_lot) >= min_lot)
|
|
ClosePartial(POSITION_TYPE_BUY, buy_value - buy_lot);
|
|
else
|
|
if((buy_lot - buy_value) >= min_lot)
|
|
Trade.Buy(buy_lot - buy_value, Symb.Name(), Symb.Ask(), buy_sl, buy_tp);
|
|
}
|
|
}
|
|
//--- sell control
|
|
if(bAction[3] < min_lot ||
|
|
(bAction[4] * MaxTP * Symb.Point()) <= 2 * stops ||
|
|
(bAction[5] * MaxSL * Symb.Point()) <= stops
|
|
)
|
|
{
|
|
if(sell_value > 0)
|
|
CloseByDirection(POSITION_TYPE_SELL);
|
|
}
|
|
else
|
|
{
|
|
double sell_lot = min_lot + MathRound((double)(bAction[3] - min_lot) / step_lot) * step_lot;;
|
|
double sell_tp = NormalizeDouble(Symb.Bid() - bAction[4] * MaxTP * Symb.Point(), Symb.Digits());
|
|
double sell_sl = NormalizeDouble(Symb.Bid() + bAction[5] * MaxSL * Symb.Point(), Symb.Digits());
|
|
if(sell_value > 0)
|
|
TrailPosition(POSITION_TYPE_SELL, sell_sl, sell_tp);
|
|
if(sell_value != sell_lot)
|
|
{
|
|
if((sell_value - sell_lot) >= min_lot)
|
|
ClosePartial(POSITION_TYPE_SELL, sell_value - sell_lot);
|
|
else
|
|
if((sell_lot - sell_value) >= min_lot)
|
|
Trade.Sell(sell_lot - sell_value, Symb.Name(), Symb.Bid(), sell_sl, sell_tp);
|
|
}
|
|
}
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
bool FillStack(void)
|
|
{
|
|
int start = StackSize + HistoryBars;
|
|
int end = 0;
|
|
int bars = CopyRates(Symb.Name(), TimeFrame, 2, start, Rates);
|
|
//---
|
|
if(!RSI.BufferResize(bars) || !CCI.BufferResize(bars) ||
|
|
!ATR.BufferResize(bars) || !MACD.BufferResize(bars))
|
|
ReturnFalse;
|
|
//---
|
|
if(RSI.BarsCalculated() < bars ||
|
|
CCI.BarsCalculated() < bars ||
|
|
ATR.BarsCalculated() < bars ||
|
|
MACD.BarsCalculated() < bars)
|
|
ReturnFalse;
|
|
RSI.Refresh();
|
|
CCI.Refresh();
|
|
ATR.Refresh();
|
|
MACD.Refresh();
|
|
//---
|
|
if(!ArraySetAsSeries(Rates, true))
|
|
ReturnFalse;
|
|
bars -= end + HistoryBars;
|
|
if(bars < 0)
|
|
ReturnFalse;
|
|
//---
|
|
vector<float> result, target, neg_target;
|
|
//---
|
|
uint ticks = GetTickCount();
|
|
if(!cActor.Clear())
|
|
ReturnFalse;
|
|
for(int posit = start - HistoryBars - 1; posit >= end; posit--)
|
|
{
|
|
if(!CreateBuffers(posit, GetPointer(bState), GetPointer(bTime), NULL))
|
|
ReturnFalse;
|
|
vector<float> account = vector<float>::Zeros(AccountDescr);
|
|
account[0] = float(AccountInfoDouble(ACCOUNT_BALANCE) / EtalonBalance);
|
|
account[2] = 1;
|
|
double time = (double)bTime[0];
|
|
double x = time / (double)(D'2024.01.01' - D'2023.01.01');
|
|
account[9] = (float)MathSin(x != 0 ? 2.0 * M_PI * x : 0);
|
|
x = time / (double)PeriodSeconds(PERIOD_MN1);
|
|
account[10] = (float)MathCos(x != 0 ? 2.0 * M_PI * x : 0);
|
|
x = time / (double)PeriodSeconds(PERIOD_W1);
|
|
account[11] = (float)MathSin(x != 0 ? 2.0 * M_PI * x : 0);
|
|
x = time / (double)PeriodSeconds(PERIOD_D1);
|
|
account[12] = (float)MathSin(x != 0 ? 2.0 * M_PI * x : 0);
|
|
//---
|
|
if(!bState.AddArray(account))
|
|
ReturnFalse;
|
|
//--- Feed Forward
|
|
if(!cActor.feedForward((CBufferFloat*)GetPointer(bState), 1, false, (CBufferFloat*)GetPointer(bTime)))
|
|
ReturnFalse;
|
|
if(GetTickCount() - ticks > 500)
|
|
{
|
|
double percent = (1.0 - double(posit - end) / (start - end - HistoryBars - NForecast)) * 100.0;
|
|
string str = StringFormat("%-12s %6.2f%%", "Fill stack", percent);
|
|
Comment(str);
|
|
ticks = GetTickCount();
|
|
}
|
|
}
|
|
Comment("");
|
|
//---
|
|
return true;
|
|
}
|
|
//+------------------------------------------------------------------+
|