1295 lines
91 KiB
MQL5
1295 lines
91 KiB
MQL5
//+------------------------------------------------------------------+
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//| Trajectory.mqh |
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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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#include "..\NeuroNet_DNG\NeuroNet.mqh"
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#include <Trade\Trade.mqh>
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#include <Trade\SymbolInfo.mqh>
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#include <Indicators\Oscilators.mqh>
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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input group "---- Indicators ----"
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input ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
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//---
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input group "---- RSI ----"
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input int RSIPeriod = 14; //Period
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input ENUM_APPLIED_PRICE RSIPrice = PRICE_CLOSE; //Applied price
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//---
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input group "---- CCI ----"
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input int CCIPeriod = 14; //Period
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input ENUM_APPLIED_PRICE CCIPrice = PRICE_TYPICAL; //Applied price
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//---
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input group "---- ATR ----"
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input int ATRPeriod = 14; //Period
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//---
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input group "---- MACD ----"
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input int FastPeriod = 12; //Fast
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input int SlowPeriod = 26; //Slow
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input int SignalPeriod = 9; //Signal
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input ENUM_APPLIED_PRICE MACDPrice = PRICE_CLOSE; //Applied price
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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int iLatentLayer = -1;
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//---
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#define HistoryBars 5
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#define BarDescr 9 //Elements for 1 bar description
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#define AccountDescr 13 //Account description
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#define NActions 6 //Number of possible Actions
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#define NRewards 1 //Number of rewards
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#define NForecast 12 //Number of forecast
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#define EtalonBalance 1e4
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#define BatchSize 1e+5
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#define EmbeddingSize 8
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#define Buffer_Size 31000
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#define DiscFactor 0.8f
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#define FileName "OneTrans"
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#define LatentCount 64
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#define LatentLayer iLatentLayer
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#define MaxSL 1000
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#define MaxTP 1000
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#define ActorUpdate 5
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#define TargetUpdate 21*24
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#define tau 0.9f
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#define NExperts 8
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#define TopK 3
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#define NHeads 8
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#define StackSize 24*5
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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CSymbolInfo Symb;
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CTrade Trade;
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MqlRates Rates[];
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//---
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CiRSI RSI;
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CiCCI CCI;
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CiATR ATR;
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CiMACD MACD;
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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struct SState
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{
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float state[HistoryBars * BarDescr];
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float account[AccountDescr - 4];
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float action[NActions];
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float rewards[NRewards];
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//---
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SState(void);
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//---
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bool Save(int file_handle);
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bool Load(int file_handle);
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//--- overloading
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void operator=(const SState &obj)
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{
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ArrayCopy(state, obj.state);
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ArrayCopy(account, obj.account);
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ArrayCopy(action, obj.action);
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ArrayCopy(rewards, obj.rewards);
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}
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};
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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SState::SState(void)
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{
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ArrayInitialize(state, 0);
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ArrayInitialize(account, 0);
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ArrayInitialize(action, 0);
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ArrayInitialize(rewards, 0);
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool SState::Save(int file_handle)
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{
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if(file_handle == INVALID_HANDLE)
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return false;
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//---
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int total = ArraySize(state);
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if(FileWriteInteger(file_handle, total) < sizeof(int))
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return false;
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for(int i = 0; i < total; i++)
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if(FileWriteFloat(file_handle, state[i]) < sizeof(float))
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return false;
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//---
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total = ArraySize(account);
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if(FileWriteInteger(file_handle, total) < sizeof(int))
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return false;
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for(int i = 0; i < total; i++)
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if(FileWriteFloat(file_handle, account[i]) < sizeof(float))
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return false;
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//---
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total = ArraySize(action);
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if(FileWriteInteger(file_handle, total) < sizeof(int))
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return false;
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for(int i = 0; i < total; i++)
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if(FileWriteFloat(file_handle, action[i]) < sizeof(float))
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return false;
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total = ArraySize(rewards);
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if(FileWriteInteger(file_handle, total) < sizeof(int))
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return false;
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for(int i = 0; i < total; i++)
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if(FileWriteFloat(file_handle, rewards[i]) < sizeof(float))
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return false;
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//---
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool SState::Load(int file_handle)
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{
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if(file_handle == INVALID_HANDLE)
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return false;
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if(FileIsEnding(file_handle))
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return false;
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//---
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int total = FileReadInteger(file_handle);
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if(total != ArraySize(state))
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return false;
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//---
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for(int i = 0; i < total; i++)
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{
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if(FileIsEnding(file_handle))
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return false;
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state[i] = FileReadFloat(file_handle);
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}
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//---
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total = FileReadInteger(file_handle);
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if(total != ArraySize(account))
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return false;
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//---
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for(int i = 0; i < total; i++)
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{
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if(FileIsEnding(file_handle))
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return false;
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account[i] = FileReadFloat(file_handle);
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}
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//---
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total = FileReadInteger(file_handle);
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if(total != ArraySize(action))
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return false;
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//---
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for(int i = 0; i < total; i++)
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{
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if(FileIsEnding(file_handle))
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return false;
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action[i] = MathMin(MathMax(FileReadFloat(file_handle), 0), 1);
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}
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//---
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total = FileReadInteger(file_handle);
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if(total != ArraySize(rewards))
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return false;
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//---
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for(int i = 0; i < total; i++)
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{
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if(FileIsEnding(file_handle))
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return false;
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rewards[i] = FileReadFloat(file_handle);
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}
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//---
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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struct STrajectory
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{
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SState States[Buffer_Size];
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int Total;
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float DiscountFactor;
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bool CumCounted;
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//---
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STrajectory(void);
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//---
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bool Add(SState &state);
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void CumRevards(void);
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//---
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bool Save(int file_handle);
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bool Load(int file_handle);
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};
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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STrajectory::STrajectory(void) : Total(0),
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DiscountFactor(DiscFactor),
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CumCounted(false)
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{
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool STrajectory::Save(int file_handle)
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{
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if(file_handle == INVALID_HANDLE)
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return false;
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if(Total <= 0)
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return true;
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//---
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if(!CumCounted)
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CumRevards();
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Total = MathMin((int)States.Size(), Total);
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if(FileWriteInteger(file_handle, Total) < sizeof(int))
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return false;
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if(FileWriteFloat(file_handle, DiscountFactor) < sizeof(float))
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return false;
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for(int i = 0; i < Total; i++)
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if(!States[i].Save(file_handle))
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return false;
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//---
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool STrajectory::Load(int file_handle)
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{
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if(file_handle == INVALID_HANDLE)
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return false;
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//---
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Total = FileReadInteger(file_handle);
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if(FileIsEnding(file_handle) || Total >= ArraySize(States))
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return false;
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DiscountFactor = FileReadFloat(file_handle);
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CumCounted = true;
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//---
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for(int i = 0; i < Total; i++)
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if(!States[i].Load(file_handle))
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return false;
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//---
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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void STrajectory::CumRevards(void)
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{
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if(CumCounted)
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return;
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//---
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for(int i = Total - 2; i >= 0; i--)
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for(int r = 0; r < NRewards; r++)
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States[i].rewards[r] += States[i + 1].rewards[r] * DiscountFactor;
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CumCounted = true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool STrajectory::Add(SState &state)
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{
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if(Total + 1 >= ArraySize(States))
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return false;
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States[Total] = state;
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Total++;
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//---
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool CreateDescriptions(CArrayObj *&actor,
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CArrayObj *&critic
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)
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{
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//---
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CLayerDescription *descr;
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//---
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if(!actor)
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{
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actor = new CArrayObj();
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if(!actor)
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return false;
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}
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if(!critic)
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{
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critic = new CArrayObj();
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if(!critic)
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return false;
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}
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//--- Actor
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actor.Clear();
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//--- Input layer
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if(!(descr = new CLayerDescription()))
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DeleteObjAndFalse(descr);
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descr.type = defNeuronBaseOCL;
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uint prev_count = descr.count = (HistoryBars * BarDescr) + AccountDescr;
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descr.activation = None;
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descr.optimization = ADAM;
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if(!actor.Add(descr))
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DeleteObjAndFalse(descr);
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iLatentLayer = 0;
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//--- layer 1
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if(!(descr = new CLayerDescription()))
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DeleteObjAndFalse(descr);
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descr.type = defNeuronOneTrans;
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{
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if(ArrayResize(descr.windows, BarDescr + 4) < (BarDescr + 4))
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ReturnFalse;
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ArrayFill(descr.windows, 0, BarDescr, HistoryBars);
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descr.windows[BarDescr] = 4; // Account
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descr.windows[BarDescr + 1] = 5; // Position
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descr.windows[BarDescr + 2] = 4; // Time
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descr.windows[BarDescr + 3] = EmbeddingSize; // Output dimension
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}
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{
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uint temp[] = {BarDescr, NActions / 3};
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if(ArrayCopy(descr.units, temp, 0, 0, temp.Size()) < int(temp.Size()))
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ReturnFalse;
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}
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descr.step = NHeads;
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descr.count = StackSize;
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descr.layers = 6;
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descr.window_out = EmbeddingSize;
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descr.variables = NExperts; //Candidates
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descr.probability = TopK;
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descr.batch = BatchSize;
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descr.activation = None;
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descr.optimization = ADAM;
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if(!actor.Add(descr))
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DeleteObjAndFalse(descr);
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iLatentLayer++;
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uint count = prev_count = descr.units[1];
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uint prev_out = descr.windows[BarDescr + 3];
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uint window = prev_out;
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//--- layer 2
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if(!(descr = new CLayerDescription()))
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DeleteObjAndFalse(descr);
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descr.type = defNeuronSpikeConvBlock;
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descr.count = prev_count;
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descr.window = prev_out;
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descr.step = prev_out;
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descr.window_out = (LatentCount + prev_count-1) / prev_count;
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descr.variables = 1;
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descr.batch = BatchSize;
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descr.optimization = ADAM;
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if(!actor.Add(descr))
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DeleteObjAndFalse(descr);
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//--- layer 3
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if(!(descr = new CLayerDescription()))
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DeleteObjAndFalse(descr);
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descr.type = defNeuronBaseOCL;
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descr.count = LatentCount;
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descr.activation = SIGMOID;
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descr.optimization = ADAM;
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if(!actor.Add(descr))
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DeleteObjAndFalse(descr);
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//--- layer 4
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if(!(descr = new CLayerDescription()))
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DeleteObjAndFalse(descr);
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descr.type = defNeuronBaseOCL;
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descr.count = 2 * NActions;
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descr.activation = SIGMOID;
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descr.optimization = ADAM;
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if(!actor.Add(descr))
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DeleteObjAndFalse(descr);
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//--- layer 5
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if(!(descr = new CLayerDescription()))
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DeleteObjAndFalse(descr);
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descr.type = defNeuronVAEOCL;
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descr.count = NActions;
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descr.optimization = ADAM;
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if(!actor.Add(descr))
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DeleteObjAndFalse(descr);
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//--- layer 6
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if(!(descr = new CLayerDescription()))
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DeleteObjAndFalse(descr);
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descr.type = defNeuronConvOCL;
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descr.count = NActions / 3;
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descr.window = 3;
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descr.step = 3;
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descr.window_out = 3;
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descr.activation = SIGMOID;
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descr.optimization = ADAM;
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if(!actor.Add(descr))
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DeleteObjAndFalse(descr);
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//--- Critic
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critic.Clear();
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//--- Input layer
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if(!(descr = new CLayerDescription()))
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DeleteObjAndFalse(descr);
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descr.type = defNeuronBaseOCL;
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descr.count = NActions;
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descr.activation = None;
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descr.optimization = ADAM;
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if(!critic.Add(descr))
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DeleteObjAndFalse(descr);
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//--- layer 1
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if(!(descr = new CLayerDescription()))
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DeleteObjAndFalse(descr);
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descr.type = defNeuronMHCrossFAT;
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{
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uint temp[] = {3, // Inputs window
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EmbeddingSize, // Key Dimension
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window, // Cross window
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EmbeddingSize // Embedding size
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};
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if(ArrayCopy(descr.windows, temp) < (int)temp.Size())
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return false;
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}
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{
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uint temp[] = {NActions / 3, // Query units
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count // Cross units
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};
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if(ArrayCopy(descr.units, temp) < (int)temp.Size())
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return false;
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}
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descr.step = NHeads; // Heads
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descr.batch = 1e4;
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descr.layers = NExperts; // Candidates
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descr.variables = TopK; // Top-K
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descr.activation = None;
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descr.optimization = ADAM;
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if(!critic.Add(descr))
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DeleteObjAndFalse(descr);
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//--- layer 2
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if(!(descr = new CLayerDescription()))
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DeleteObjAndFalse(descr);
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descr.type = defNeuronSpikeConvBlock;
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descr.count = NActions / 3;
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descr.window = 3;
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descr.step = 3;
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descr.window_out = EmbeddingSize;
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descr.variables = 1;
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descr.batch = BatchSize;
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descr.optimization = ADAM;
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if(!critic.Add(descr))
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DeleteObjAndFalse(descr);
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//--- layer 4
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if(!(descr = new CLayerDescription()))
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DeleteObjAndFalse(descr);
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descr.type = defNeuronSpikeConvBlock;
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descr.count = NActions / 3;
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descr.window = EmbeddingSize;
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descr.step = EmbeddingSize;
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descr.window_out = EmbeddingSize;
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descr.variables = 1;
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descr.batch = BatchSize;
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descr.optimization = ADAM;
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if(!critic.Add(descr))
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DeleteObjAndFalse(descr);
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//--- layer 5
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if(!(descr = new CLayerDescription()))
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DeleteObjAndFalse(descr);
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descr.type = defNeuronBaseOCL;
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prev_count = descr.count = LatentCount;
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descr.activation = SIGMOID;
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descr.batch = BatchSize;
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descr.optimization = ADAM;
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if(!critic.Add(descr))
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DeleteObjAndFalse(descr);
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//--- layer 6
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if(!(descr = new CLayerDescription()))
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DeleteObjAndFalse(descr);
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descr.type = defNeuronBaseOCL;
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prev_count = descr.count = NRewards;
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descr.activation = None;
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descr.batch = BatchSize;
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descr.optimization = ADAM;
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if(!critic.Add(descr))
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DeleteObjAndFalse(descr);
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//---
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return true;
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}
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#ifndef Study
|
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//+------------------------------------------------------------------+
|
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//| |
|
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//+------------------------------------------------------------------+
|
|
bool IsNewBar(void)
|
|
{
|
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static datetime last_bar = 0;
|
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if(last_bar >= iTime(Symb.Name(), TimeFrame, 0))
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return false;
|
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//---
|
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last_bar = iTime(Symb.Name(), TimeFrame, 0);
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return true;
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}
|
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//+------------------------------------------------------------------+
|
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//| |
|
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//+------------------------------------------------------------------+
|
|
bool CloseByDirection(ENUM_POSITION_TYPE type)
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|
{
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int total = PositionsTotal();
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bool result = true;
|
|
for(int i = total - 1; i >= 0; i--)
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{
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if(PositionGetSymbol(i) != Symb.Name())
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continue;
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if(PositionGetInteger(POSITION_TYPE) != type)
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continue;
|
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result = (Trade.PositionClose(PositionGetInteger(POSITION_TICKET)) && result);
|
|
}
|
|
//---
|
|
return result;
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
bool TrailPosition(ENUM_POSITION_TYPE type, double sl, double tp)
|
|
{
|
|
int total = PositionsTotal();
|
|
bool result = true;
|
|
datetime time = TimeCurrent() - 5 * PeriodSeconds(TimeFrame);
|
|
//---
|
|
for(int i = 0; i < total; i++)
|
|
{
|
|
if(PositionGetSymbol(i) != Symb.Name())
|
|
continue;
|
|
if(PositionGetInteger(POSITION_TYPE) != type)
|
|
continue;
|
|
if(PositionGetInteger(POSITION_TIME_UPDATE) > time)
|
|
continue;
|
|
bool modify = false;
|
|
double psl = PositionGetDouble(POSITION_SL);
|
|
double ptp = PositionGetDouble(POSITION_TP);
|
|
switch(type)
|
|
{
|
|
case POSITION_TYPE_BUY:
|
|
if((sl - psl) >= Symb.Point())
|
|
{
|
|
psl = sl;
|
|
modify = true;
|
|
}
|
|
if(MathAbs(tp - ptp) >= Symb.Point())
|
|
{
|
|
ptp = tp;
|
|
modify = true;
|
|
}
|
|
break;
|
|
case POSITION_TYPE_SELL:
|
|
if((psl - sl) >= Symb.Point())
|
|
{
|
|
psl = sl;
|
|
modify = true;
|
|
}
|
|
if(MathAbs(tp - ptp) >= Symb.Point())
|
|
{
|
|
ptp = tp;
|
|
modify = true;
|
|
}
|
|
break;
|
|
}
|
|
if(modify)
|
|
result = (Trade.PositionModify(PositionGetInteger(POSITION_TICKET), psl, ptp) && result);
|
|
}
|
|
//---
|
|
return result;
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
bool ClosePartial(ENUM_POSITION_TYPE type, double value)
|
|
{
|
|
if(value <= 0)
|
|
return true;
|
|
//---
|
|
for(int i = 0; (i < PositionsTotal() && value > 0); i++)
|
|
{
|
|
if(PositionGetSymbol(i) != Symb.Name())
|
|
continue;
|
|
if(PositionGetInteger(POSITION_TYPE) != type)
|
|
continue;
|
|
double pvalue = PositionGetDouble(POSITION_VOLUME);
|
|
if(pvalue <= value)
|
|
{
|
|
if(Trade.PositionClose(PositionGetInteger(POSITION_TICKET)))
|
|
{
|
|
value -= pvalue;
|
|
i--;
|
|
}
|
|
}
|
|
else
|
|
{
|
|
if(Trade.PositionClosePartial(PositionGetInteger(POSITION_TICKET), value))
|
|
value = 0;
|
|
}
|
|
}
|
|
//---
|
|
return (value <= 0);
|
|
}
|
|
#endif
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
vector<float> GetProbTrajectories(STrajectory &buffer[], double lambda)
|
|
{
|
|
ulong total = buffer.Size();
|
|
vector<float> result = vector<float>::Zeros(total);
|
|
vector<float> temp;
|
|
for(ulong i = 0; i < total; i++)
|
|
{
|
|
temp.Assign(buffer[i].States[0].rewards);
|
|
result[i] = temp.Sum();
|
|
if(!MathIsValidNumber(result[i]))
|
|
result[i] = -FLT_MAX;
|
|
}
|
|
float max_reward = result.Max();
|
|
//---
|
|
vector<float> sorted = result;
|
|
bool sort = true;
|
|
int iter = 0;
|
|
while(sort)
|
|
{
|
|
sort = false;
|
|
for(ulong i = 0; i < sorted.Size() - 1; i++)
|
|
if(sorted[i] > sorted[i + 1])
|
|
{
|
|
float temp = sorted[i];
|
|
sorted[i] = sorted[i + 1];
|
|
sorted[i + 1] = temp;
|
|
sort = true;
|
|
}
|
|
iter++;
|
|
}
|
|
//---
|
|
float min = result.Min() - 0.1f * MathAbs(max_reward);
|
|
if(max_reward > min)
|
|
{
|
|
float k = sorted.Percentile(80) - max_reward;
|
|
vector<float> multipl = MathExp(MathAbs(result - max_reward) / (k == 0 ? -1 : k));
|
|
result = (result - min) / (max_reward - min);
|
|
result = result / (result + lambda) * multipl;
|
|
result.ReplaceNan(0);
|
|
}
|
|
else
|
|
result.Fill(1);
|
|
result = result / result.Sum();
|
|
result = result.CumSum();
|
|
//---
|
|
return result;
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
int SampleTrajectory(vector<float> &probability)
|
|
{
|
|
//--- check
|
|
ulong total = probability.Size();
|
|
if(total <= 0)
|
|
return -1;
|
|
//--- randomize
|
|
float rnd = float(MathRand() / 32767.0);
|
|
//--- search
|
|
if(rnd <= probability[0] || total == 1)
|
|
return 0;
|
|
if(rnd > probability[total - 2])
|
|
return int(total - 1);
|
|
int result = int(rnd * total);
|
|
if(probability[result] < rnd)
|
|
while(probability[result] < rnd)
|
|
result++;
|
|
else
|
|
{
|
|
if(result <= 0)
|
|
Sleep(0);
|
|
while(probability[result - 1] >= rnd)
|
|
result--;
|
|
}
|
|
//--- return result
|
|
return result;
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
class CDeal : public CObject
|
|
{
|
|
public:
|
|
datetime OpenTime;
|
|
datetime CloseTime;
|
|
ENUM_POSITION_TYPE Type;
|
|
double Volume;
|
|
double OpenPrice;
|
|
double StopLos;
|
|
double TakeProfit;
|
|
double point;
|
|
//---
|
|
CDeal(void);
|
|
~CDeal(void) {};
|
|
//---
|
|
vector<float> Action(datetime current, double ask, double bid, int period_seconds);
|
|
};
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
void CDeal::CDeal(void) : OpenTime(0),
|
|
CloseTime(0),
|
|
Type(POSITION_TYPE_BUY),
|
|
Volume(0),
|
|
OpenPrice(0),
|
|
StopLos(0),
|
|
TakeProfit(0),
|
|
point(1e-5)
|
|
{
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
vector<float> CDeal::Action(datetime current, double ask, double bid, int period_seconds)
|
|
{
|
|
vector<float> result = vector<float>::Zeros(NActions);
|
|
if((OpenTime - period_seconds) > current || CloseTime <= current)
|
|
return result;
|
|
//---
|
|
switch(Type)
|
|
{
|
|
case POSITION_TYPE_BUY:
|
|
result[0] = float(Volume);
|
|
if(TakeProfit > 0)
|
|
result[1] = float((TakeProfit - ask) / (MaxTP * point));
|
|
if(StopLos > 0)
|
|
result[2] = float((ask - StopLos) / (MaxSL * point));
|
|
break;
|
|
case POSITION_TYPE_SELL:
|
|
result[3] = float(Volume);
|
|
if(TakeProfit > 0)
|
|
result[4] = float((bid - TakeProfit) / (MaxTP * point));
|
|
if(StopLos > 0)
|
|
result[5] = float((StopLos - bid) / (MaxSL * point));
|
|
break;
|
|
}
|
|
//---
|
|
return result;
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
class CDeals
|
|
{
|
|
protected:
|
|
CArrayObj Deals;
|
|
public:
|
|
CDeals(void) { Deals.Clear(); }
|
|
~CDeals(void) { Deals.Clear(); }
|
|
//---
|
|
bool LoadDeals(string file_name, string symbol, double point);
|
|
vector<float> Action(datetime current, double ask, double bid, int period_seconds);
|
|
};
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
bool CDeals::LoadDeals(string file_name, string symbol, double point)
|
|
{
|
|
if(file_name == NULL || !FileIsExist(file_name, FILE_COMMON))
|
|
{
|
|
PrintFormat("File %s not exist", file_name);
|
|
return false;
|
|
}
|
|
if(symbol == NULL)
|
|
{
|
|
symbol = _Symbol;
|
|
point = _Point;
|
|
}
|
|
//---
|
|
ResetLastError();
|
|
int handle = FileOpen(file_name, FILE_READ | FILE_ANSI | FILE_CSV | FILE_COMMON, short(';'), CP_ACP);
|
|
if(handle == INVALID_HANDLE)
|
|
{
|
|
PrintFormat("Error of open file %s: %d", file_name, GetLastError());
|
|
return false;
|
|
}
|
|
FileSeek(handle, 0, SEEK_SET);
|
|
while(!FileIsEnding(handle))
|
|
{
|
|
string s = FileReadString(handle);
|
|
datetime open_time = StringToTime(s);
|
|
string type = FileReadString(handle);
|
|
double volume = StringToDouble(FileReadString(handle));
|
|
string deal_symbol = FileReadString(handle);
|
|
double open_price = StringToDouble(FileReadString(handle));
|
|
volume = MathMin(volume, StringToDouble(FileReadString(handle)));
|
|
datetime close_time = StringToTime(FileReadString(handle));
|
|
double close_price = StringToDouble(FileReadString(handle));
|
|
s = FileReadString(handle);
|
|
s = FileReadString(handle);
|
|
s = FileReadString(handle);
|
|
if(StringFind(deal_symbol, symbol, 0) < 0)
|
|
continue;
|
|
//---
|
|
ResetLastError();
|
|
CDeal *deal = new CDeal();
|
|
if(!deal)
|
|
{
|
|
PrintFormat("Error of create new deal object: %d", GetLastError());
|
|
return false;
|
|
}
|
|
deal.OpenTime = open_time;
|
|
deal.CloseTime = close_time;
|
|
deal.OpenPrice = open_price;
|
|
deal.Volume = volume;
|
|
deal.point = point;
|
|
if(type == "Sell")
|
|
{
|
|
deal.Type = POSITION_TYPE_SELL;
|
|
if(close_price < open_price)
|
|
{
|
|
deal.TakeProfit = close_price;
|
|
deal.StopLos = 0;
|
|
}
|
|
else
|
|
{
|
|
deal.TakeProfit = 0;
|
|
deal.StopLos = close_price;
|
|
}
|
|
}
|
|
else
|
|
{
|
|
deal.Type = POSITION_TYPE_BUY;
|
|
if(close_price > open_price)
|
|
{
|
|
deal.TakeProfit = close_price;
|
|
deal.StopLos = 0;
|
|
}
|
|
else
|
|
{
|
|
deal.TakeProfit = 0;
|
|
deal.StopLos = close_price;
|
|
}
|
|
}
|
|
//---
|
|
ResetLastError();
|
|
if(!Deals.Add(deal))
|
|
{
|
|
PrintFormat("Error of add new deal: %d", GetLastError());
|
|
return false;
|
|
}
|
|
}
|
|
//---
|
|
FileClose(handle);
|
|
//---
|
|
return true;
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
vector<float> CDeals::Action(datetime current, double ask, double bid, int period_seconds)
|
|
{
|
|
vector<float> result = vector<float>::Zeros(NActions);
|
|
for(int i = 0; i < Deals.Total(); i++)
|
|
{
|
|
CDeal *deal = Deals.At(i);
|
|
if(!deal)
|
|
continue;
|
|
vector<float> action = deal.Action(current, ask, bid, period_seconds);
|
|
result[0] += action[0];
|
|
result[3] += action[3];
|
|
result[1] = MathMax(result[1], action[1]);
|
|
result[2] = MathMax(result[2], action[2]);
|
|
result[4] = MathMax(result[4], action[4]);
|
|
result[5] = MathMax(result[5], action[5]);
|
|
}
|
|
//---
|
|
return result;
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
bool CreateBuffers(const int start_bar, CBufferFloat* state, CBufferFloat *time, CBufferFloat* forecast)
|
|
{
|
|
int total_bars=(start_bar + HistoryBars + (!!forecast ? NForecast : 0));
|
|
if(!state || !time || start_bar < 0 ||
|
|
total_bars > int(Rates.Size()))
|
|
return false;
|
|
//---
|
|
matrix<float> mState = matrix<float>::Zeros(BarDescr,HistoryBars);
|
|
vector<float> vForecast = vector<float>::Zeros(NForecast * BarDescr);
|
|
time.Clear();
|
|
time.Reserve(HistoryBars);
|
|
int bar = start_bar + (!!forecast ? NForecast : 0);
|
|
for(int b = 0; b < (int)HistoryBars; b++)
|
|
{
|
|
float open = (float)Rates[b + bar].open;
|
|
float rsi = (float)RSI.Main(b + bar);
|
|
float cci = (float)CCI.Main(b + bar);
|
|
float atr = (float)ATR.Main(b + bar);
|
|
float macd = (float)MACD.Main(b + bar);
|
|
float sign = (float)MACD.Signal(b + bar);
|
|
if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
|
|
return false;
|
|
//---
|
|
mState[0,b] = (float)(Rates[b + bar].close - open);
|
|
mState[1,b] = (float)(Rates[b + bar].high - open);
|
|
mState[2,b] = (float)(Rates[b + bar].low - open);
|
|
mState[3,b] = (float)(Rates[b + bar].tick_volume / 1000.0f);
|
|
mState[4,b] = rsi;
|
|
mState[5,b] = cci;
|
|
mState[6,b] = atr;
|
|
mState[7,b] = macd;
|
|
mState[8,b] = sign;
|
|
if(!time.Add(float(Rates[b + bar].time)))
|
|
return false;
|
|
}
|
|
if(!state.AssignArray(mState))
|
|
return false;
|
|
if(time.GetIndex() >= 0)
|
|
if(!time.BufferWrite())
|
|
return false;
|
|
if(!forecast)
|
|
return true;
|
|
//---
|
|
for(int b = 1; b <= (int)NForecast; b++)
|
|
{
|
|
float open = (float)Rates[bar - b].open;
|
|
float rsi = (float)RSI.Main(bar - b);
|
|
float cci = (float)CCI.Main(bar - b);
|
|
float atr = (float)ATR.Main(bar - b);
|
|
float macd = (float)MACD.Main(bar - b);
|
|
float sign = (float)MACD.Signal(bar - b);
|
|
if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
|
|
return false;
|
|
//---
|
|
int shift = (NForecast - b) * BarDescr;
|
|
vForecast[shift] = (float)(Rates[bar - b].close - open);
|
|
vForecast[shift + 1] = (float)(Rates[bar - b].high - open);
|
|
vForecast[shift + 2] = (float)(Rates[bar - b].low - open);
|
|
vForecast[shift + 3] = (float)(Rates[bar - b].tick_volume / 1000.0f);
|
|
vForecast[shift + 4] = rsi;
|
|
vForecast[shift + 5] = cci;
|
|
vForecast[shift + 6] = atr;
|
|
vForecast[shift + 7] = macd;
|
|
vForecast[shift + 8] = sign;
|
|
}
|
|
//---
|
|
if(!forecast.AssignArray(vForecast))
|
|
return false;
|
|
//---
|
|
return true;
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
const vector<float> SampleAccount(CBufferFloat *state, datetime time, double max_balance, double min_balance=0)
|
|
{
|
|
vector<float> result = vector<float>::Zeros(AccountDescr);
|
|
if(!state)
|
|
return result;
|
|
//---
|
|
double marg = 0;
|
|
if(!Symb.RefreshRates() || !OrderCalcMargin(ORDER_TYPE_BUY, Symb.Name(), 1, Symb.Ask(), marg))
|
|
return result;
|
|
double buy_lot = 0, sell_lot = 0, profit = 0;
|
|
double deal = 0;//MathRand() / (32767 * 0.5) - 1;
|
|
double multiplyer = 1.0 / (60.0 * 60.0 * 10.0);
|
|
//---
|
|
double balance = (max_balance - min_balance) * MathRand() / 32767.0 + min_balance;
|
|
double prev_balance = balance;
|
|
double equity = balance;
|
|
double prev_equity = balance;
|
|
double position_discount = 0;
|
|
//---
|
|
if(deal > 0)
|
|
{
|
|
double lot = balance / (2.0 * marg) * deal;
|
|
if(lot >= Symb.LotsMin())
|
|
buy_lot = MathMin(int((lot - Symb.LotsMin()) / Symb.LotsStep()) * Symb.LotsStep() + Symb.LotsMin(), 1.0);
|
|
}
|
|
else
|
|
if(deal < 0)
|
|
{
|
|
double lot = MathAbs(balance / (2.0 * marg) * deal);
|
|
if(lot >= Symb.LotsMin())
|
|
sell_lot = MathMin(int((lot - Symb.LotsMin()) / Symb.LotsStep()) * Symb.LotsStep() + Symb.LotsMin(), 1.0);
|
|
}
|
|
else
|
|
prev_balance += (MathRand() / (2.0 * 32767.0) - 0.25) * balance;
|
|
//---
|
|
if(sell_lot > 0 || buy_lot > 0)
|
|
{
|
|
int pos_open = int(MathRand() / 32767.0 * (state.Total() / BarDescr - 1));
|
|
for(int i = 0; i <= pos_open; i++)
|
|
{
|
|
profit += state.At(i * BarDescr) / Symb.TickSize() * Symb.TickValue();
|
|
if(((buy_lot > 0 && profit < 0) ||
|
|
(sell_lot > 0 && profit > 0))
|
|
&& MathAbs(profit * (buy_lot - sell_lot)) > balance / 2)
|
|
{
|
|
pos_open = i;
|
|
break;
|
|
}
|
|
}
|
|
profit *= buy_lot - sell_lot;
|
|
equity += profit;
|
|
prev_equity = equity - state.At(0) / Symb.TickSize() * Symb.TickValue() * (buy_lot - sell_lot);
|
|
position_discount = pos_open * PeriodSeconds(TimeFrame) * multiplyer * MathAbs(profit);
|
|
}
|
|
//---
|
|
result[0] = float(balance / EtalonBalance);
|
|
result[1] = float((balance - prev_balance) / prev_balance);
|
|
result[2] = float(equity / prev_balance);
|
|
result[3] = float((equity - prev_equity) / prev_equity);
|
|
result[4] = float(buy_lot);
|
|
result[5] = float(sell_lot);
|
|
result[6] = float(buy_lot * profit / prev_balance);
|
|
result[7] = float(sell_lot * profit / prev_balance);
|
|
result[8] = float(position_discount / prev_balance);
|
|
double x = time / (double)(D'2024.01.01' - D'2023.01.01');
|
|
result[9] = float(MathSin(x != 0 ? 2.0 * M_PI * x : 0));
|
|
x = time / (double)PeriodSeconds(PERIOD_MN1);
|
|
result[10] = float(MathCos(x != 0 ? 2.0 * M_PI * x : 0));
|
|
x = time / (double)PeriodSeconds(PERIOD_W1);
|
|
result[11] = float(MathSin(x != 0 ? 2.0 * M_PI * x : 0));
|
|
x = time / (double)PeriodSeconds(PERIOD_D1);
|
|
result[12] = float(MathSin(x != 0 ? 2.0 * M_PI * x : 0));
|
|
//---
|
|
return result;
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
double CheckAction(CBufferFloat *action, double equity, uint start_position)
|
|
{
|
|
if(!action || start_position >= Rates.Size())
|
|
return 0;
|
|
//---
|
|
double buy_lot = MathMax(double(action[0] - action[3]), 0);
|
|
double sell_lot = MathMax(double(action[3] - action[0]), 0);
|
|
double marg = 0;
|
|
if(!OrderCalcMargin(ORDER_TYPE_BUY, Symb.Name(), 1, Symb.Ask(), marg))
|
|
return 0;
|
|
double point_cost = Symb.TickValue() / Symb.TickSize();
|
|
if(MathMax(buy_lot, sell_lot) < Symb.LotsMin())
|
|
{
|
|
double loss = -MathMax(Rates[start_position].high - Rates[start_position].open,
|
|
Rates[start_position].open - Rates[start_position].low) *
|
|
point_cost * equity / (2 * marg);
|
|
return loss;
|
|
}
|
|
if((marg * MathMax(buy_lot, sell_lot)) >= equity)
|
|
{
|
|
double loss = -MathMax(Rates[start_position].high - Rates[start_position].open,
|
|
Rates[start_position].open - Rates[start_position].low) *
|
|
point_cost * MathMax(buy_lot, sell_lot);
|
|
return loss;
|
|
}
|
|
point_cost *= MathAbs(buy_lot - sell_lot);
|
|
//---
|
|
double tp = 0, sl = 0, profit = 0, reward = 0;
|
|
int stops = MathMax(Symb.StopsLevel(), 10);
|
|
int spread = Symb.Spread();
|
|
if(buy_lot > 0)
|
|
{
|
|
tp = action[1] * MaxTP;
|
|
sl = action[2] * MaxSL;
|
|
if(int(tp) < stops || int(sl) < (stops + spread))
|
|
{
|
|
double loss = -MathMax(Rates[start_position].high - Rates[start_position].open,
|
|
Rates[start_position].open - Rates[start_position].low) *
|
|
point_cost * buy_lot;
|
|
return loss;
|
|
}
|
|
tp = (tp + spread) * Symb.Point() + Rates[start_position].open;
|
|
sl = Rates[start_position].open - (sl + spread) * Symb.Point();
|
|
reward = profit = -spread * Symb.Point() * point_cost;
|
|
for(uint i = start_position; i > 0; i--)
|
|
{
|
|
if(sl >= Rates[i].low)
|
|
{
|
|
double p = (Rates[i].open - sl) * point_cost;
|
|
profit -= p;
|
|
reward -= p * MathPow(DiscFactor, float(i - start_position));
|
|
break;
|
|
}
|
|
if(tp <= Rates[i].high)
|
|
{
|
|
double p = (tp - Rates[i].open) * point_cost;
|
|
profit += p;
|
|
reward += p * MathPow(DiscFactor, float(i - start_position));
|
|
break;
|
|
}
|
|
double p = (Rates[i - 1].open - Rates[i].open) * point_cost;
|
|
profit += p;
|
|
reward += p * MathPow(DiscFactor, float(i - start_position));
|
|
if(-profit >= equity)
|
|
{
|
|
reward -= 1000;
|
|
break;
|
|
}
|
|
}
|
|
}
|
|
//---
|
|
if(sell_lot > 0)
|
|
{
|
|
tp = action[4] * MaxTP;
|
|
sl = action[5] * MaxSL;
|
|
if(int(tp) < stops || int(sl) < (stops + spread))
|
|
{
|
|
double loss = -MathMax(Rates[start_position].high - Rates[start_position].open,
|
|
Rates[start_position].open - Rates[start_position].low) *
|
|
point_cost * sell_lot;
|
|
return loss;
|
|
}
|
|
tp = Rates[start_position].open - (tp + spread) * Symb.Point();
|
|
sl = Rates[start_position].open + (sl - spread) * Symb.Point();
|
|
for(uint i = start_position; i > 0; i--)
|
|
{
|
|
if(sl <= Rates[i].high)
|
|
{
|
|
double p = (sl - Rates[i].open) * point_cost;
|
|
profit -= p;
|
|
reward -= p * MathPow(DiscFactor, float(i - start_position));
|
|
break;
|
|
}
|
|
if(tp >= Rates[i].low)
|
|
{
|
|
double p = (Rates[i].open - tp) * point_cost;
|
|
profit += p;
|
|
reward += p * MathPow(DiscFactor, float(i - start_position));
|
|
break;
|
|
}
|
|
double p = (Rates[i - 1].open - Rates[i].open) * point_cost;
|
|
profit -= p;
|
|
reward -= p * MathPow(DiscFactor, float(i - start_position));
|
|
if(-profit >= equity)
|
|
{
|
|
reward -= 1000;
|
|
break;
|
|
}
|
|
}
|
|
}
|
|
//---
|
|
return reward;
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
vector<float> OraculAction(const vector<float> &account, CBufferFloat *forecat)
|
|
{
|
|
//--- Look for target
|
|
vector<float> result = vector<float>::Zeros(NActions);
|
|
matrix<float> fstate = matrix<float>::Zeros(NForecast, BarDescr);
|
|
if(!forecat.GetData(fstate))
|
|
return result;
|
|
//---
|
|
vector<float> target = fstate.Col(0).CumSum();
|
|
if(account[4] > account[5])
|
|
{
|
|
float tp = 0;
|
|
float sl = 0;
|
|
float cur_sl = float(MathMax(MathRand() / 32767.0, 0.01) * MaxSL * Point());
|
|
int pos = 0;
|
|
for(int j = 0; j < NForecast; j++)
|
|
{
|
|
tp = MathMax(tp, target[j] + fstate[j, 1] - fstate[j, 0]);
|
|
pos = j;
|
|
if(cur_sl >= -(target[j] + fstate[j, 2] - fstate[j, 0]))
|
|
break;
|
|
sl = MathMin(sl, target[j] + fstate[j, 2] - fstate[j, 0]);
|
|
}
|
|
if(pos > 0 && tp > 0)
|
|
{
|
|
sl = float(MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01));
|
|
tp = float(MathMax(MathMin(tp / (MaxTP * Point()), 1), 0.01));
|
|
result[0] = MathMax(result[0] - result[3], 0.011f);
|
|
result[5] = result[1] = tp;
|
|
result[4] = result[2] = sl;
|
|
result[3] = 0;
|
|
}
|
|
}
|
|
else
|
|
{
|
|
if(account[4] < account[5])
|
|
{
|
|
float tp = 0;
|
|
float sl = 0;
|
|
float cur_sl = float(MathMax(MathRand() / 32767.0, 0.01) * MaxSL * Point());
|
|
int pos = 0;
|
|
for(int j = 0; j < NForecast; j++)
|
|
{
|
|
tp = MathMin(tp, target[j] + fstate[j, 2] - fstate[j, 0]);
|
|
pos = j;
|
|
if(cur_sl <= target[j] + fstate[j, 1] - fstate[j, 0])
|
|
break;
|
|
sl = MathMax(sl, target[j] + fstate[j, 1] - fstate[j, 0]);
|
|
}
|
|
if(pos > 0 && tp < 0)
|
|
{
|
|
sl = float(MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01));
|
|
tp = float(MathMax(MathMin(-tp / (MaxTP * Point()), 1), 0.01));
|
|
result[3] = MathMax(result[3] - result[0], 0.011f);
|
|
result[2] = result[4] = tp;
|
|
result[1] = result[5] = sl;
|
|
result[0] = 0;
|
|
}
|
|
}
|
|
else
|
|
{
|
|
ulong argmin = target.ArgMin();
|
|
ulong argmax = target.ArgMax();
|
|
float max_sl = float(MaxSL * Point());
|
|
double equity = account[2] * account[0] * EtalonBalance / (1 + account[1]);
|
|
while(argmax > 0 && argmin > 0)
|
|
{
|
|
if(argmax < argmin && target[argmax] / 2 > MathAbs(target[argmin]) && MathAbs(target[argmin]) < max_sl)
|
|
break;
|
|
if(argmax > argmin && target[argmax] < MathAbs(target[argmin] / 2) && target[argmax] < max_sl)
|
|
break;
|
|
target.Resize(MathMin(argmax, argmin));
|
|
argmin = target.ArgMin();
|
|
argmax = target.ArgMax();
|
|
}
|
|
if(argmin == 0 || (argmax < argmin && argmax > 0))
|
|
{
|
|
float tp = 0;
|
|
float sl = 0;
|
|
float cur_sl = - float(MaxSL * Point());
|
|
ulong pos = 0;
|
|
for(ulong j = 0; j < argmax; j++)
|
|
{
|
|
tp = MathMax(tp, target[j] + fstate[j, 1] - fstate[j, 0]);
|
|
pos = j;
|
|
if(cur_sl >= -(target[j] + fstate[j, 2] - fstate[j, 0]))
|
|
break;
|
|
sl = MathMin(sl, target[j] + fstate[j, 2] - fstate[j, 0]);
|
|
}
|
|
if(pos > 0 && tp > 0)
|
|
{
|
|
sl = (float)MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01);
|
|
tp = (float)MathMin(tp / (MaxTP * Point()), 1);
|
|
result[0] = float(MathMax(equity / 100 * 0.01, 0.011));
|
|
result[5] = result[1] = tp;
|
|
result[4] = result[2] = sl;
|
|
result[3] = 0;
|
|
}
|
|
}
|
|
else
|
|
{
|
|
if(argmax == 0 || argmax > argmin)
|
|
{
|
|
float tp = 0;
|
|
float sl = 0;
|
|
float cur_sl = float(MaxSL * Point());
|
|
ulong pos = 0;
|
|
for(ulong j = 0; j < argmin; j++)
|
|
{
|
|
tp = MathMin(tp, target[j] + fstate[j, 2] - fstate[j, 0]);
|
|
pos = j;
|
|
if(cur_sl <= target[j] + fstate[j, 1] - fstate[j, 0])
|
|
break;
|
|
sl = MathMax(sl, target[j] + fstate[j, 1] - fstate[j, 0]);
|
|
}
|
|
if(pos > 0 && tp < 0)
|
|
{
|
|
sl = (float)MathMax(MathMin(MathAbs(sl) / (MaxSL * Point()), 1), 0.01);
|
|
tp = (float)MathMin(-tp / (MaxTP * Point()), 1);
|
|
result[3] = float(MathMax(equity / 100 * 0.01, 0.011));
|
|
result[2] = result[4] = tp;
|
|
result[1] = result[5] = sl;
|
|
result[0] = 0;
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
//---
|
|
return result;
|
|
}
|
|
//+------------------------------------------------------------------+
|