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

542 lignes
30 Kio
MQL5
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//+------------------------------------------------------------------+
//| Trajectory.mqh |
//| 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 "..\RL\FQF.mqh"
//---
#define HistoryBars 20 //Depth of history
#define Buffer_Size 2112
#define FileName "SAC"
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
struct SState
{
float state[HistoryBars * 12];
float account[9];
//---
SState(void);
//---
bool Save(int file_handle);
bool Load(int file_handle);
//--- overloading
void operator=(const SState &obj) { ArrayCopy(state, obj.state); ArrayCopy(account, obj.account); }
};
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
SState::SState(void)
{
ArrayInitialize(state, 0);
ArrayInitialize(account, 0);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool SState::Save(int file_handle)
{
if(file_handle == INVALID_HANDLE)
return false;
//---
int total = ArraySize(state);
if(FileWriteInteger(file_handle, total) < sizeof(int))
return false;
for(int i = 0; i < total; i++)
if(FileWriteFloat(file_handle, state[i]) < sizeof(float))
return false;
//---
total = ArraySize(account);
if(FileWriteInteger(file_handle, total) < sizeof(int))
return false;
for(int i = 0; i < total; i++)
if(FileWriteFloat(file_handle, account[i]) < sizeof(float))
return false;
//---
return true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool SState::Load(int file_handle)
{
if(file_handle == INVALID_HANDLE)
return false;
if(FileIsEnding(file_handle))
return false;
//---
int total = FileReadInteger(file_handle);
if(total != ArraySize(state))
return false;
//---
for(int i = 0; i < total; i++)
{
if(FileIsEnding(file_handle))
return false;
state[i] = FileReadFloat(file_handle);
}
//---
total = FileReadInteger(file_handle);
if(total != ArraySize(account))
return false;
//---
for(int i = 0; i < total; i++)
{
if(FileIsEnding(file_handle))
return false;
account[i] = FileReadFloat(file_handle);
}
//---
return true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
struct STrajectory
{
SState States[Buffer_Size];
int Actions[Buffer_Size];
float Revards[Buffer_Size];
int Total;
float DiscountFactor;
bool CumCounted;
//---
STrajectory(void);
//---
bool Add(SState &state, int action, float reward);
void CumRevards(void);
//---
bool Save(int file_handle);
bool Load(int file_handle);
};
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
STrajectory::STrajectory(void) : Total(0),
DiscountFactor(0.9f),
CumCounted(false)
{
ArrayInitialize(Actions, -1);
ArrayInitialize(Revards, 0);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool STrajectory::Save(int file_handle)
{
if(file_handle == INVALID_HANDLE)
return false;
//---
if(!CumCounted)
CumRevards();
if(FileWriteInteger(file_handle, Total) < sizeof(int))
return false;
for(int i = 0; i < Total; i++)
{
if(!States[i].Save(file_handle))
return false;
if(FileWriteInteger(file_handle, Actions[i]) < sizeof(int))
return false;
if(FileWriteFloat(file_handle, Revards[i]) < sizeof(float))
return false;
}
//---
return true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool STrajectory::Load(int file_handle)
{
if(file_handle == INVALID_HANDLE)
return false;
//---
Total = FileReadInteger(file_handle);
if(Total >= ArraySize(Actions))
return false;
//---
for(int i = 0; i < Total; i++)
{
if(!States[i].Load(file_handle))
return false;
Actions[i] = FileReadInteger(file_handle);
Revards[i] = FileReadFloat(file_handle);
}
CumCounted = true;
//---
return true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void STrajectory::CumRevards(void)
{
if(CumCounted)
return;
//---
for(int i = Buffer_Size - 2; i >= 0; i--)
Revards[i] += Revards[i + 1] * DiscountFactor;
CumCounted = true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool STrajectory::Add(SState &state, int action, float reward)
{
if(Total + 1 >= ArraySize(Actions))
return false;
States[Total] = state;
Actions[Total] = action;
if(Total > 0)
Revards[Total - 1] = reward;
Total++;
//---
return true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool CreateDescriptions(CArrayObj *actor, CArrayObj *critic, CArrayObj *scheduler)
{
//---
if(!actor)
{
actor = new CArrayObj();
if(!actor)
return false;
}
//---
if(!critic)
{
critic = new CArrayObj();
if(!critic)
return false;
}
//---
if(!scheduler)
{
scheduler = new CArrayObj();
if(!scheduler)
return false;
}
//--- Actor
actor.Clear();
CLayerDescription *descr;
//--- Input layer
if(!(descr = new CLayerDescription()))
return false;
descr.type = defNeuronBaseOCL;
uint prev_count = descr.count = (int)(HistoryBars * 12);
descr.window = 0;
descr.activation = None;
descr.optimization = ADAM;
if(!actor.Add(descr))
{
delete descr;
return false;
}
//--- layer 1
if(!(descr = new CLayerDescription()))
return false;
descr.type = defNeuronBatchNormOCL;
descr.count = prev_count;
descr.batch = 1000;
descr.activation = None;
descr.optimization = ADAM;
if(!actor.Add(descr))
{
delete descr;
return false;
}
//--- layer 2
if(!(descr = new CLayerDescription()))
return false;
descr.type = defNeuronConvOCL;
prev_count=descr.count = prev_count-2;
descr.window = 3;
descr.step = 1;
descr.window_out = 2;
prev_count*=descr.window_out;
descr.activation = LReLU;
descr.optimization = ADAM;
if(!actor.Add(descr))
{
delete descr;
return false;
}
//--- layer 3
if(!(descr = new CLayerDescription()))
return false;
descr.type = defNeuronConvOCL;
descr.count = (prev_count+1)/2;
descr.window = 2;
descr.step = 2;
descr.window_out = 4;
descr.activation = SIGMOID;
descr.optimization = ADAM;
if(!actor.Add(descr))
{
delete descr;
return false;
}
//--- layer 4
if(!(descr = new CLayerDescription()))
return false;
descr.type = defNeuronBaseOCL;
descr.count = 1000;
descr.optimization = ADAM;
descr.activation = TANH;
if(!actor.Add(descr))
{
delete descr;
return false;
}
//--- layer 5
if(!(descr = new CLayerDescription()))
return false;
descr.type = defNeuronMultiModels;
descr.count = 200;
descr.window = 100;
descr.step = 10;
descr.activation = TANH;
descr.optimization = ADAM;
if(!actor.Add(descr))
{
delete descr;
return false;
}
//--- layer 6
if(!(descr = new CLayerDescription()))
return false;
descr.type = defNeuronMultiModels;
descr.count = 50;
descr.window = 200;
descr.step = 10;
descr.activation = TANH;
descr.optimization = ADAM;
if(!actor.Add(descr))
{
delete descr;
return false;
}
//--- layer 7
if(!(descr = new CLayerDescription()))
return false;
descr.type = defNeuronMultiModels;
descr.count = 4;
descr.window = 50;
descr.step = 10;
descr.activation = None;
descr.optimization = ADAM;
if(!actor.Add(descr))
{
delete descr;
return false;
}
//--- layer 8
if(!(descr = new CLayerDescription()))
return false;
descr.type = defNeuronSoftMaxOCL;
descr.count = 4;
descr.step = 10;
descr.optimization = ADAM;
if(!actor.Add(descr))
{
delete descr;
return false;
}
//--- Critic
critic.Clear();
//--- Input layer
if(!(descr = new CLayerDescription()))
return false;
descr.type = defNeuronBaseOCL;
prev_count = descr.count = (int)(HistoryBars * 12 + 9);
descr.window = 0;
descr.activation = None;
descr.optimization = ADAM;
if(!critic.Add(descr))
{
delete descr;
return false;
}
//--- layer 1
if(!(descr = new CLayerDescription()))
return false;
descr.type = defNeuronBatchNormOCL;
descr.count = prev_count;
descr.batch = 1000;
descr.activation = None;
descr.optimization = ADAM;
if(!critic.Add(descr))
{
delete descr;
return false;
}
//--- layer 2
if(!(descr = new CLayerDescription()))
return false;
descr.type = defNeuronConvOCL;
prev_count=descr.count = prev_count-2;
descr.window = 3;
descr.step = 1;
descr.window_out = 2;
prev_count*=descr.window_out;
descr.activation = LReLU;
descr.optimization = ADAM;
if(!critic.Add(descr))
{
delete descr;
return false;
}
//--- layer 3
if(!(descr = new CLayerDescription()))
return false;
descr.type = defNeuronConvOCL;
descr.count = (prev_count+1)/2;
descr.window = 2;
descr.step = 2;
descr.window_out = 4;
descr.activation = SIGMOID;
descr.optimization = ADAM;
if(!critic.Add(descr))
{
delete descr;
return false;
}
//--- layer 4
if(!(descr = new CLayerDescription()))
return false;
descr.type = defNeuronConvOCL;
descr.count = 150;
descr.window = 2;
descr.step = 2;
descr.window_out = 4;
descr.activation = SIGMOID;
descr.optimization = ADAM;
if(!critic.Add(descr))
{
delete descr;
return false;
}
//--- layer 5
if(!(descr = new CLayerDescription()))
return false;
descr.type = defNeuronBaseOCL;
descr.count = 500;
descr.optimization = ADAM;
descr.activation = TANH;
if(!critic.Add(descr))
{
delete descr;
return false;
}
//--- layer 6
if(!(descr = new CLayerDescription()))
return false;
descr.type = defNeuronBaseOCL;
descr.count = 500;
descr.activation = TANH;
descr.optimization = ADAM;
if(!critic.Add(descr))
{
delete descr;
return false;
}
//--- layer 7
if(!(descr = new CLayerDescription()))
return false;
descr.type = defNeuronFQF;
descr.count = 4;
descr.window_out = 32;
descr.optimization = ADAM;
if(!critic.Add(descr))
{
delete descr;
return false;
}
//--- Scheduler
scheduler.Clear();
//--- Input layer
if(!(descr = new CLayerDescription()))
return false;
descr.type = defNeuronBaseOCL;
prev_count = descr.count = (9 + 40);
descr.window = 0;
descr.activation = None;
descr.optimization = ADAM;
if(!scheduler.Add(descr))
{
delete descr;
return false;
}
//--- layer 1
if(!(descr = new CLayerDescription()))
return false;
descr.type = defNeuronBatchNormOCL;
descr.count = prev_count;
descr.batch = 1000;
descr.activation = None;
descr.optimization = ADAM;
if(!scheduler.Add(descr))
{
delete descr;
return false;
}
//--- layer 2
if(!(descr = new CLayerDescription()))
return false;
descr.type = defNeuronBaseOCL;
descr.count = 256;
descr.optimization = ADAM;
descr.activation = TANH;
if(!scheduler.Add(descr))
{
delete descr;
return false;
}
//--- layer 3
if(!(descr = new CLayerDescription()))
return false;
descr.type = defNeuronBaseOCL;
descr.count = 256;
descr.optimization = ADAM;
descr.activation = TANH;
if(!scheduler.Add(descr))
{
delete descr;
return false;
}
//--- layer 4
if(!(descr = new CLayerDescription()))
return false;
descr.type = defNeuronBaseOCL;
descr.count = 10;
descr.optimization = ADAM;
if(!scheduler.Add(descr))
{
delete descr;
return false;
}
//--- layer 5
if(!(descr = new CLayerDescription()))
return false;
descr.type = defNeuronSoftMaxOCL;
descr.count = 10;
descr.step = 1;
descr.optimization = ADAM;
if(!scheduler.Add(descr))
{
delete descr;
return false;
}
//---
return true;
}
//+------------------------------------------------------------------+
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