374 Zeilen
27 KiB
MQL5
374 Zeilen
27 KiB
MQL5
//+------------------------------------------------------------------+
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//| Faza1.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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#include "Trajectory.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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//| Input parameters |
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//+------------------------------------------------------------------+
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input ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
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input double MinProfit = 10;
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input int MaxSteps = 48;
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input int MinBars = 300;
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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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input group "---- Optimization ----"
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input int OptimizationAgents = 1;
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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SState sState;
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STrajectory Base;
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STrajectory Buffer[];
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STrajectory Frame[1];
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STrajectory Loaded;
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int StartBar = 0;
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int CurrentBar = 0;
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//---
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CSymbolInfo Symb;
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CTrade Trade;
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//---
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MqlRates Rates[];
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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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vector<float> AgentResult;
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double PrevBalance = 0;
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double PrevEquity = 0;
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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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if(!Symb.Name(_Symbol))
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return INIT_FAILED;
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Symb.Refresh();
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//---
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if(!RSI.Create(Symb.Name(), TimeFrame, RSIPeriod, RSIPrice))
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return INIT_FAILED;
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//---
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if(!CCI.Create(Symb.Name(), TimeFrame, CCIPeriod, CCIPrice))
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return INIT_FAILED;
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//---
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if(!ATR.Create(Symb.Name(), TimeFrame, ATRPeriod))
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return INIT_FAILED;
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//---
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if(!MACD.Create(Symb.Name(), TimeFrame, FastPeriod, SlowPeriod, SignalPeriod, MACDPrice))
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return INIT_FAILED;
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if(!RSI.BufferResize(NBarInPattern) || !CCI.BufferResize(NBarInPattern) ||
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!ATR.BufferResize(NBarInPattern) || !MACD.BufferResize(NBarInPattern))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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return INIT_FAILED;
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}
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//---
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if(!Trade.SetTypeFillingBySymbol(Symb.Name()))
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return INIT_FAILED;
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//---
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PrevBalance = AccountInfoDouble(ACCOUNT_BALANCE);
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PrevEquity = AccountInfoDouble(ACCOUNT_EQUITY);
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AgentResult = vector<float>::Zeros(NActions);
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//---
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int error_code;
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if(Buffer.Size() > 0 || LoadTotalBase())
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{
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int tr = int(MathRand() / 32767.0 * Buffer.Size());
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Loaded = Buffer[tr];
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StartBar = MathMax(0,Loaded.Total - int(MathMax(MathRandomNormal(0.5, 0.5, error_code), 0) * MaxSteps));
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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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}
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//+------------------------------------------------------------------+
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//| Expert tick function |
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//+------------------------------------------------------------------+
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void OnTick()
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{
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//---
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if(!IsNewBar())
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return;
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//---
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CurrentBar++;
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int bars = CopyRates(Symb.Name(), TimeFrame, iTime(Symb.Name(), TimeFrame, 1), NBarInPattern, Rates);
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if(!ArraySetAsSeries(Rates, true))
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return;
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//---
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RSI.Refresh();
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CCI.Refresh();
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ATR.Refresh();
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MACD.Refresh();
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Symb.Refresh();
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Symb.RefreshRates();
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//--- History data
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float atr = 0;
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for(int b = 0; b < (int)NBarInPattern; b++)
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{
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float open = (float)Rates[b].open;
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float rsi = (float)RSI.Main(b);
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float cci = (float)CCI.Main(b);
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atr = (float)ATR.Main(b);
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float macd = (float)MACD.Main(b);
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float sign = (float)MACD.Signal(b);
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if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
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continue;
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//---
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int shift = b * BarDescr;
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sState.state[shift] = (float)(Rates[b].close - open);
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sState.state[shift + 1] = (float)(Rates[b].high - open);
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sState.state[shift + 2] = (float)(Rates[b].low - open);
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sState.state[shift + 3] = (float)(Rates[b].tick_volume / 1000.0f);
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sState.state[shift + 4] = rsi;
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sState.state[shift + 5] = cci;
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sState.state[shift + 6] = atr;
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sState.state[shift + 7] = macd;
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sState.state[shift + 8] = sign;
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}
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//--- Account description
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sState.account[0] = (float)AccountInfoDouble(ACCOUNT_BALANCE);
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sState.account[1] = (float)AccountInfoDouble(ACCOUNT_EQUITY);
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//---
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double buy_value = 0, sell_value = 0, buy_profit = 0, sell_profit = 0;
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double position_discount = 0;
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double multiplyer = 1.0 / (60.0 * 60.0 * 10.0);
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int total = PositionsTotal();
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datetime current = TimeCurrent();
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for(int i = 0; i < total; i++)
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{
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if(PositionGetSymbol(i) != Symb.Name())
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continue;
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double profit = PositionGetDouble(POSITION_PROFIT);
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switch((int)PositionGetInteger(POSITION_TYPE))
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{
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case POSITION_TYPE_BUY:
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buy_value += PositionGetDouble(POSITION_VOLUME);
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buy_profit += profit;
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break;
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case POSITION_TYPE_SELL:
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sell_value += PositionGetDouble(POSITION_VOLUME);
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sell_profit += profit;
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break;
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}
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position_discount += profit - (current - PositionGetInteger(POSITION_TIME)) * multiplyer * MathAbs(profit);
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}
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sState.account[2] = (float)buy_value;
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sState.account[3] = (float)sell_value;
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sState.account[4] = (float)buy_profit;
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sState.account[5] = (float)sell_profit;
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sState.account[6] = (float)position_discount;
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sState.account[7] = (float)Rates[0].time;
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//---
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sState.rewards[0] = float((sState.account[0] - PrevBalance) / PrevBalance);
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sState.rewards[1] = float(sState.account[1] / PrevBalance - 1.0);
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//---
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PrevBalance = sState.account[0];
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PrevEquity = sState.account[1];
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//---
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vector<float> temp = vector<float>::Zeros(NActions);
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if((CurrentBar - StartBar) < MaxSteps)
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if(CurrentBar < StartBar)
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temp.Assign(Loaded.States[CurrentBar].action);
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else
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temp = SampleAction(NActions);
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//---
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double min_lot = Symb.LotsMin();
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double step_lot = Symb.LotsStep();
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double stops = MathMax(Symb.StopsLevel(), 1) * Symb.Point();
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if(temp[0] >= temp[3])
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{
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temp[0] -= temp[3];
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temp[3] = 0;
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}
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else
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{
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temp[3] -= temp[0];
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temp[0] = 0;
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}
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float delta = MathAbs(AgentResult - temp).Sum();
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AgentResult = temp;
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//--- buy control
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if(temp[0] < min_lot || (temp[1] * MaxTP * Symb.Point()) <= stops || (temp[2] * MaxSL * Symb.Point()) <= stops)
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{
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if(buy_value > 0)
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CloseByDirection(POSITION_TYPE_BUY);
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}
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else
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{
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double buy_lot = min_lot + MathRound((double)(temp[0] - min_lot) / step_lot) * step_lot;
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double buy_tp = Symb.NormalizePrice(Symb.Ask() + temp[1] * MaxTP * Symb.Point());
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double buy_sl = Symb.NormalizePrice(Symb.Ask() - temp[2] * MaxSL * Symb.Point());
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if(buy_value > 0)
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TrailPosition(POSITION_TYPE_BUY, buy_sl, buy_tp);
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if(buy_value != buy_lot)
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{
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if(buy_value > buy_lot)
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ClosePartial(POSITION_TYPE_BUY, buy_value - buy_lot);
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else
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Trade.Buy(buy_lot - buy_value, Symb.Name(), Symb.Ask(), buy_sl, buy_tp);
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}
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}
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//--- sell control
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if(temp[3] < min_lot || (temp[4] * MaxTP * Symb.Point()) <= stops || (temp[5] * MaxSL * Symb.Point()) <= stops)
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{
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if(sell_value > 0)
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CloseByDirection(POSITION_TYPE_SELL);
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}
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else
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{
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double sell_lot = min_lot + MathRound((double)(temp[3] - min_lot) / step_lot) * step_lot;;
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double sell_tp = Symb.NormalizePrice(Symb.Bid() - temp[4] * MaxTP * Symb.Point());
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double sell_sl = Symb.NormalizePrice(Symb.Bid() + temp[5] * MaxSL * Symb.Point());
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if(sell_value > 0)
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TrailPosition(POSITION_TYPE_SELL, sell_sl, sell_tp);
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if(sell_value != sell_lot)
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{
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if(sell_value > sell_lot)
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ClosePartial(POSITION_TYPE_SELL, sell_value - sell_lot);
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else
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Trade.Sell(sell_lot - sell_value, Symb.Name(), Symb.Bid(), sell_sl, sell_tp);
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}
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}
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//---
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int shift = BarDescr * (NBarInPattern - 1);
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if((buy_value + sell_value) == 0)
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sState.rewards[2] -= (float)(atr / PrevBalance);
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else
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sState.rewards[2] = 0;
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for(ulong i = 0; i < NActions; i++)
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sState.action[i] = temp[i];
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if(!Base.Add(sState) || (CurrentBar - StartBar) >= MaxSteps)
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ExpertRemove();
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//---
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}
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//+------------------------------------------------------------------+
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//| Tester function |
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//+------------------------------------------------------------------+
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double OnTester()
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{
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//---
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double ret = 0.0;
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//---
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double profit = TesterStatistics(STAT_PROFIT);
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if(profit >= MinProfit)
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{
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Frame[0] = Base;
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FrameAdd(MQLInfoString(MQL_PROGRAM_NAME), 1, profit, Frame);
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}
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//---
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return(ret);
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}
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//+------------------------------------------------------------------+
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//| TesterInit function |
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//+------------------------------------------------------------------+
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void OnTesterInit()
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{
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//---
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LoadTotalBase();
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}
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//+------------------------------------------------------------------+
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//| TesterPass function |
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//+------------------------------------------------------------------+
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void OnTesterPass()
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{
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//---
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ulong pass;
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string name;
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long id;
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double value;
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STrajectory array[];
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while(FrameNext(pass, name, id, value, array))
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{
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int total = ArraySize(Buffer);
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if(name != MQLInfoString(MQL_PROGRAM_NAME))
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continue;
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if(id <= 0)
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continue;
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if(total >= MaxReplayBuffer)
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{
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for(int a = 0; a < id; a++)
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{
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float min = FLT_MAX;
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int min_tr = 0;
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for(int i = 0; i < total; i++)
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{
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float prof = Buffer[i].States[Buffer[i].Total - 1].account[1];
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if(prof < min)
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{
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min = MathMin(prof, min);
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min_tr = i;
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}
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}
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float prof = array[a].States[array[a].Total - 1].account[1];
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if(min <= prof)
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{
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Buffer[min_tr] = array[a];
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PrintFormat("Replace %.2f to %.2f -> bars %d", min, prof, array[a].Total);
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}
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}
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}
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else
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{
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if(ArrayResize(Buffer, total + (int)id, 10) < 0)
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return;
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ArrayCopy(Buffer, array, total, 0, (int)id);
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}
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}
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}
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//+------------------------------------------------------------------+
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//| TesterDeinit function |
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//+------------------------------------------------------------------+
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void OnTesterDeinit()
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{
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//---
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int total = ArraySize(Buffer);
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Print("Saving...");
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printf("total %d", SaveTotalBase(MinBars));
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Print("Saved");
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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vector<float> SampleAction(int actions_space)
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{
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vectorf temp = vector<float>::Zeros(actions_space);
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for(int i = 0; i < actions_space; i++)
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temp[i] = float(MathRand() / 32767.0);
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//---
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return temp;
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}
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//+------------------------------------------------------------------+
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