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NN_in_Trading/Experts/SAC/Test.mq5
DNG 4b12c7ebc4
2026-03-14 22:28:53 +02:00

416 lignes
28 Kio
MQL5
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//+------------------------------------------------------------------+
//| Research.mq5 |
//| Copyright DNG® |
//| https://www.mql5.com/ru/users/dng |
//+------------------------------------------------------------------+
#property copyright "Copyright DNG®"
#property link "https://www.mql5.com/ru/users/dng"
#property version "1.00"
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
#include "Trajectory.mqh"
#include <Trade\Trade.mqh>
#include <Trade\SymbolInfo.mqh>
#include <Indicators\Oscilators.mqh>
//+------------------------------------------------------------------+
//| Input parameters |
//+------------------------------------------------------------------+
input ENUM_TIMEFRAMES TimeFrame = PERIOD_H1;
//---
input group "---- RSI ----"
input int RSIPeriod = 14; //Period
input ENUM_APPLIED_PRICE RSIPrice = PRICE_CLOSE; //Applied price
//---
input group "---- CCI ----"
input int CCIPeriod = 14; //Period
input ENUM_APPLIED_PRICE CCIPrice = PRICE_TYPICAL; //Applied price
//---
input group "---- ATR ----"
input int ATRPeriod = 14; //Period
//---
input group "---- MACD ----"
input int FastPeriod = 12; //Fast
input int SlowPeriod = 26; //Slow
input int SignalPeriod = 9; //Signal
input ENUM_APPLIED_PRICE MACDPrice = PRICE_CLOSE; //Applied price
input int Agent = 1;
bool TrainMode = true;
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
SState sState;
STrajectory Base;
STrajectory Buffer[];
STrajectory Frame[1];
CNet Actor;
CNet Schedule;
int Models = 1;
vector<float> ModelsCount;
//---
float dError;
datetime dtStudied;
bool bEventStudy;
//---
CBufferFloat State1;
CBufferFloat *Result;
//---
CSymbolInfo Symb;
CTrade Trade;
//---
MqlRates Rates[];
CiRSI RSI;
CiCCI CCI;
CiATR ATR;
CiMACD MACD;
vector<float> prev_scheduler;
vector<float> prev_actor;
vector<float> prev_state;
//+------------------------------------------------------------------+
//| Expert initialization function |
//+------------------------------------------------------------------+
int OnInit()
{
//---
if(!Symb.Name(_Symbol))
return INIT_FAILED;
Symb.Refresh();
//---
if(!RSI.Create(Symb.Name(), TimeFrame, RSIPeriod, RSIPrice))
return INIT_FAILED;
//---
if(!CCI.Create(Symb.Name(), TimeFrame, CCIPeriod, CCIPrice))
return INIT_FAILED;
//---
if(!ATR.Create(Symb.Name(), TimeFrame, ATRPeriod))
return INIT_FAILED;
//---
if(!MACD.Create(Symb.Name(), TimeFrame, FastPeriod, SlowPeriod, SignalPeriod, MACDPrice))
return INIT_FAILED;
if(!RSI.BufferResize(HistoryBars) || !CCI.BufferResize(HistoryBars) ||
!ATR.BufferResize(HistoryBars) || !MACD.BufferResize(HistoryBars))
{
PrintFormat("%s -> %d", __FUNCTION__, __LINE__);
return INIT_FAILED;
}
//---
if(!Trade.SetTypeFillingBySymbol(Symb.Name()))
return INIT_FAILED;
float temp;
//--- load models
if(!Actor.Load(FileName + "Act.nnw", temp, temp, temp, dtStudied, true) ||
!Schedule.Load(FileName + "Sch.nnw", temp, temp, temp, dtStudied, true))
{
CArrayObj *actor = new CArrayObj();
CArrayObj *critic = new CArrayObj();
CArrayObj *schedule = new CArrayObj();
if(!CreateDescriptions(actor, critic, schedule))
{
delete actor;
delete critic;
delete schedule;
return INIT_FAILED;
}
if(!Actor.Create(actor) || !Schedule.Create(schedule))
{
delete actor;
delete critic;
delete schedule;
return INIT_FAILED;
}
delete actor;
delete critic;
delete schedule;
}
Schedule.getResults(Result);
Models = Result.Total();
Actor.getResults(Result);
if(Result.Total() % Models != 0)
{
PrintFormat("The scope of the scheduler does not match the scope of the Agent (%d <> %d)", Models, Result.Total());
return INIT_FAILED;
}
//---
ModelsCount = vector<float>::Zeros(Models);
prev_scheduler.Init(Models);
prev_actor.Init(Result.Total());
prev_state.Init(9 + Result.Total());
//---
return(INIT_SUCCEEDED);
}
//+------------------------------------------------------------------+
//| Expert deinitialization function |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
//---
Print(ModelsCount);
delete Result;
}
//+------------------------------------------------------------------+
//| Expert tick function |
//+------------------------------------------------------------------+
void OnTick()
{
//---
if(!IsNewBar())
return;
//---
int bars = CopyRates(Symb.Name(), TimeFrame, iTime(Symb.Name(), TimeFrame, 1), HistoryBars, Rates);
if(!ArraySetAsSeries(Rates, true))
return;
//---
RSI.Refresh();
CCI.Refresh();
ATR.Refresh();
MACD.Refresh();
//---
MqlDateTime sTime;
for(int b = 0; b < (int)HistoryBars; b++)
{
float open = (float)Rates[b].open;
TimeToStruct(Rates[b].time, sTime);
float rsi = (float)RSI.Main(b);
float cci = (float)CCI.Main(b);
float atr = (float)ATR.Main(b);
float macd = (float)MACD.Main(b);
float sign = (float)MACD.Signal(b);
if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE)
continue;
//---
sState.state[b * 12] = (float)Rates[b].close - open;
sState.state[b * 12 + 1] = (float)Rates[b].high - open;
sState.state[b * 12 + 2] = (float)Rates[b].low - open;
sState.state[b * 12 + 3] = (float)Rates[b].tick_volume / 1000.0f;
sState.state[b * 12 + 4] = (float)sTime.hour;
sState.state[b * 12 + 5] = (float)sTime.day_of_week;
sState.state[b * 12 + 6] = (float)sTime.mon;
sState.state[b * 12 + 7] = rsi;
sState.state[b * 12 + 8] = cci;
sState.state[b * 12 + 9] = atr;
sState.state[b * 12 + 10] = macd;
sState.state[b * 12 + 11] = sign;
}
//---
sState.account[0] = (float)AccountInfoDouble(ACCOUNT_BALANCE);
sState.account[1] = (float)AccountInfoDouble(ACCOUNT_EQUITY);
sState.account[2] = (float)AccountInfoDouble(ACCOUNT_MARGIN_FREE);
sState.account[3] = (float)AccountInfoDouble(ACCOUNT_MARGIN_LEVEL);
sState.account[4] = (float)AccountInfoDouble(ACCOUNT_PROFIT);
//---
double buy_value = 0, sell_value = 0, buy_profit = 0, sell_profit = 0;
int total = PositionsTotal();
for(int i = 0; i < total; i++)
{
if(PositionGetSymbol(i) != Symb.Name())
continue;
switch((int)PositionGetInteger(POSITION_TYPE))
{
case POSITION_TYPE_BUY:
buy_value += PositionGetDouble(POSITION_VOLUME);
buy_profit += PositionGetDouble(POSITION_PROFIT);
break;
case POSITION_TYPE_SELL:
sell_value += PositionGetDouble(POSITION_VOLUME);
sell_profit += PositionGetDouble(POSITION_PROFIT);
break;
}
}
sState.account[5] = (float)buy_value;
sState.account[6] = (float)sell_value;
sState.account[7] = (float)buy_profit;
sState.account[8] = (float)sell_profit;
//---
State1.AssignArray(sState.state);
if(!Actor.feedForward(GetPointer(State1), 12, false, (CBufferFloat*)NULL))
return;
Actor.getResults(Result);
State1.AssignArray(sState.account);
State1.AddArray(Result);
if(!Schedule.feedForward(GetPointer(State1), 12, false, (CBufferFloat*)NULL))
return;
vector<float> temp;
State1.GetData(temp);
float delta = (prev_state - temp).Sum();
prev_state = temp;
Schedule.getResults(Result);
Result.GetData(temp);
delta = MathAbs(prev_scheduler - temp).Sum();
int model = GetAction(Result, 0, 1);
prev_scheduler = temp;
Actor.getResults(Result);
Result.GetData(temp);
delta = MathAbs(prev_actor - temp).Sum();
prev_actor = temp;
ModelsCount[model]++;
int act = GetAction(Result, model, Models);
switch(act)
{
case 0:
if(!Trade.Buy(Symb.LotsMin(), Symb.Name()))
act = 3;
break;
case 1:
if(!Trade.Sell(Symb.LotsMin(), Symb.Name()))
act = 3;
break;
case 2:
for(int i = PositionsTotal() - 1; i >= 0; i--)
if(PositionGetSymbol(i) == Symb.Name())
if(!Trade.PositionClose(PositionGetInteger(POSITION_IDENTIFIER)))
{
act = 3;
break;
}
break;
}
//---
float reward = 0;
if(Base.Total > 0)
reward = (sState.account[0] - Base.States[Base.Total - 1].account[0]) / 10;
if(!Base.Add(sState, act, reward))
ExpertRemove();
//---
}
//+------------------------------------------------------------------+
//| Tester function |
//+------------------------------------------------------------------+
double OnTester()
{
//---
double ret = 0.0;
//---
//LoadTotalBase();
//double profit = TesterStatistics(STAT_PROFIT);
//int total = ArraySize(Buffer);
//if(ArrayResize(Buffer, total + 1, 0) < 0)
// return(ret);
//Buffer[total] = Base;
//SaveTotalBase();
//---
return(ret);
}
//+------------------------------------------------------------------+
//| TesterInit function |
//+------------------------------------------------------------------+
void OnTesterInit()
{
//---
}
//+------------------------------------------------------------------+
//| TesterPass function |
//+------------------------------------------------------------------+
void OnTesterPass()
{
//---
ulong pass;
string name;
long id;
double value;
STrajectory array[];
while(FrameNext(pass, name, id, value, array))
{
int total = ArraySize(Buffer);
if(name != MQLInfoString(MQL_PROGRAM_NAME))
continue;
if(id <= 0)
continue;
}
}
//+------------------------------------------------------------------+
//| TesterDeinit function |
//+------------------------------------------------------------------+
void OnTesterDeinit()
{
//---
int total = ArraySize(Buffer);
printf("total %d", total);
Print("Saving...");
SaveTotalBase();
Print("Saved");
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
int GetAction(CBufferFloat *results, int model, int total_models)
{
if(!results)
return -1;
int actions = results.Total() / total_models;
vectorf temp;
temp.Init(actions);
int start = model * actions;
for(int i = 0; i < actions; i++)
temp[i] = results.At(start + i);
//---
return (int)temp.ArgMax();
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool IsNewBar(void)
{
static datetime last_bar = 0;
if(last_bar >= iTime(Symb.Name(), TimeFrame, 0))
return false;
//---
last_bar = iTime(Symb.Name(), TimeFrame, 0);
return true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool SaveTotalBase(void)
{
int total = ArraySize(Buffer);
if(total < 0)
return true;
int handle = FileOpen(FileName + ".bd", FILE_WRITE | FILE_BIN | FILE_COMMON);
if(handle < 0)
return false;
if(FileWriteInteger(handle, total) < INT_VALUE)
{
FileClose(handle);
return false;
}
for(int i = 0; i < total; i++)
if(!Buffer[i].Save(handle))
{
FileClose(handle);
return false;
}
FileFlush(handle);
FileClose(handle);
//---
return true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool LoadTotalBase(void)
{
int handle = FileOpen(FileName + ".bd", FILE_READ | FILE_BIN | FILE_COMMON | FILE_SHARE_READ);
if(handle < 0)
return false;
int total = FileReadInteger(handle);
if(total <= 0)
{
FileClose(handle);
return false;
}
if(ArrayResize(Buffer, total) < total)
{
FileClose(handle);
return false;
}
for(int i = 0; i < total; i++)
if(!Buffer[i].Load(handle))
{
FileClose(handle);
return false;
}
FileClose(handle);
//---
return true;
}
//+------------------------------------------------------------------+
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