279 行
22 KiB
MQL5
279 行
22 KiB
MQL5
//+------------------------------------------------------------------+
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//| QR-DQN-Learning.mq5 |
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//| Copyright 2022, DNG |
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//| https://www.mql5.com/ru/users/dng |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2022, DNG"
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#property link "https://www.mql5.com/ru/users/dng"
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#property version "1.00"
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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#define FileName Symb.Name()+"_"+EnumToString(TimeFrame)+"_"+StringSubstr(__FILE__,0,StringFind(__FILE__,".",0))
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//+------------------------------------------------------------------+
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//| Includes |
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//+------------------------------------------------------------------+
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#include "QRDQN.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 int StudyPeriod = 2; //Study period, years
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uint HistoryBars = 20; //Depth of history
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input ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
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input int Batch = 100;
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input int UpdateTarget = 1000;
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input int Iterations = 1000;
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input float DiscountFactor = 0.3f;
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int Actions = 3;
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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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CSymbolInfo Symb;
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MqlRates Rates[];
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CQRDQN StudyNet;
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CBufferFloat *TempData;
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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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float dError;
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datetime dtStudied;
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bool bEventStudy;
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MqlDateTime sTime;
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//---
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CBufferFloat State1;
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CBufferFloat State2;
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CBufferFloat Rewards;
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float min_loss = FLT_MAX;
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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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//---
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if(!StudyNet.Load(FileName + ".nnw", dtStudied, false))
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return INIT_FAILED;
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if(!StudyNet.TrainMode(true))
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return INIT_FAILED;
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//---
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if(!StudyNet.GetLayerOutput(0, TempData))
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return INIT_FAILED;
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HistoryBars = TempData.Total() / 12;
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if(!StudyNet.SetActions(Actions))
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return INIT_PARAMETERS_INCORRECT;
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StudyNet.SetUpdateTarget(1000000);
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//---
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bEventStudy = EventChartCustom(ChartID(), 1, 0, 0, "Init");
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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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if(!!TempData)
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delete TempData;
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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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}
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//+------------------------------------------------------------------+
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//| ChartEvent function |
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//+------------------------------------------------------------------+
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void OnChartEvent(const int id,
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const long &lparam,
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const double &dparam,
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const string &sparam)
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{
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//---
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if(id == 1001)
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Train();
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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void Train(void)
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{
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//---
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MqlDateTime start_time;
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TimeCurrent(start_time);
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start_time.year -= StudyPeriod;
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if(start_time.year <= 0)
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start_time.year = 1900;
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datetime st_time = StructToTime(start_time);
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//---
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int bars = CopyRates(Symb.Name(), TimeFrame, st_time, TimeCurrent(), Rates);
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if(!RSI.BufferResize(bars) || !CCI.BufferResize(bars) || !ATR.BufferResize(bars) || !MACD.BufferResize(bars))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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ExpertRemove();
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return;
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}
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if(!ArraySetAsSeries(Rates, true))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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ExpertRemove();
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return;
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}
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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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//---
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int total = bars - (int)HistoryBars - 240;
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bool use_target = false;
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//---
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for(int iter = 0; (iter < Iterations && !IsStopped()); iter ++)
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{
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int i = 0;
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uint ticks = GetTickCount();
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int count = 0;
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int total_max = 0;
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for(int batch = 0; batch < (Batch * UpdateTarget); batch++)
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{
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i = (int)((MathRand() * MathRand() / MathPow(32767, 2)) * total + 240);
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State1.Clear();
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State2.Clear();
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int r = i + (int)HistoryBars;
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if(r > bars)
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continue;
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for(int b = 0; b < (int)HistoryBars; b++)
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{
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int bar_t = r - b;
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float open = (float)Rates[bar_t].open;
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TimeToStruct(Rates[bar_t].time, sTime);
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float rsi = (float)RSI.Main(bar_t);
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float cci = (float)CCI.Main(bar_t);
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float atr = (float)ATR.Main(bar_t);
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float macd = (float)MACD.Main(bar_t);
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float sign = (float)MACD.Signal(bar_t);
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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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if(!State1.Add((float)Rates[bar_t].close - open) || !State1.Add((float)Rates[bar_t].high - open) || !State1.Add((float)Rates[bar_t].low - open) || !State1.Add((float)Rates[bar_t].tick_volume / 1000.0f) ||
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!State1.Add(sTime.hour) || !State1.Add(sTime.day_of_week) || !State1.Add(sTime.mon) ||
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!State1.Add(rsi) || !State1.Add(cci) || !State1.Add(atr) || !State1.Add(macd) || !State1.Add(sign))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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break;
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}
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if(!use_target)
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continue;
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//---
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bar_t--;
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open = (float)Rates[bar_t].open;
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TimeToStruct(Rates[bar_t].time, sTime);
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rsi = (float)RSI.Main(bar_t);
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cci = (float)CCI.Main(bar_t);
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atr = (float)ATR.Main(bar_t);
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macd = (float)MACD.Main(bar_t);
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sign = (float)MACD.Signal(bar_t);
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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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if(!State2.Add((float)Rates[bar_t].close - open) || !State2.Add((float)Rates[bar_t].high - open) || !State2.Add((float)Rates[bar_t].low - open) || !State2.Add((float)Rates[bar_t].tick_volume / 1000.0f) ||
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!State2.Add(sTime.hour) || !State2.Add(sTime.day_of_week) || !State2.Add(sTime.mon) ||
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!State2.Add(rsi) || !State2.Add(cci) || !State2.Add(atr) || !State2.Add(macd) || !State2.Add(sign))
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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break;
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}
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}
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if(IsStopped())
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{
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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ExpertRemove();
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return;
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}
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if(State1.Total() < (int)HistoryBars * 12 ||
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(use_target && State2.Total() < (int)HistoryBars * 12))
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continue;
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if(!StudyNet.feedForward(GetPointer(State1), 12, true))
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return;
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Rewards.BufferInit(Actions, 0);
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double reward = Rates[i].close - Rates[i].open;
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if(reward >= 0)
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{
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if(!Rewards.Update(0, (float)(2 * reward)))
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return;
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if(!Rewards.Update(1, (float)(-5 * reward)))
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return;
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if(!Rewards.Update(2, (float) - reward))
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return;
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}
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else
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{
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if(!Rewards.Update(0, (float)(5 * reward)))
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return;
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if(!Rewards.Update(1, (float)(-2 * reward)))
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return;
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if(!Rewards.Update(2, (float)reward))
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return;
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}
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//---
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if(!StudyNet.backProp(GetPointer(Rewards), DiscountFactor, (use_target ? GetPointer(State2) : NULL), 12, true))
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return;
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if(GetTickCount() - ticks > 500)
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{
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Comment(StringFormat("%.2f%%", batch * 100.0 / (double)(Batch * UpdateTarget)));
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ticks = GetTickCount();
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}
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}
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if(StudyNet.getRecentAverageError() <= min_loss)
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{
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if(!StudyNet.UpdateTarget(FileName + ".nnw"))
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continue;
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use_target = true;
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min_loss = StudyNet.getRecentAverageError();
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}
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PrintFormat("Iteration %d, loss %.8f", iter, StudyNet.getRecentAverageError());
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}
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Comment("");
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//---
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PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
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ExpertRemove();
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}
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//+------------------------------------------------------------------+
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