173 lines
13 KiB
MQL5
173 lines
13 KiB
MQL5
//+------------------------------------------------------------------+
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//| Study.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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#define Study
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#include "Trajectory.mqh"
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//+------------------------------------------------------------------+
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//| Input parameters |
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//+------------------------------------------------------------------+
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input int Iterations = 5e5;
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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STrajectory Buffer[];
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CNet Encoder;
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CNet Decoder;
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//---
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float dError;
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datetime dtStudied;
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//---
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CBufferFloat State;
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CBufferFloat Actions;
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CBufferFloat *Result;
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//---
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COpenCLMy *OpenCL;
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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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ResetLastError();
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if(!LoadTotalBase())
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{
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PrintFormat("Error of load study data: %d", GetLastError());
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return INIT_FAILED;
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}
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//--- load models
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float temp;
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if(!Encoder.Load(FileName + "Enc.nnw", temp, temp, temp, dtStudied, true) ||
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!Decoder.Load(FileName + "Dec.nnw", temp, temp, temp, dtStudied, true))
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{
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Print("Init new CVAE");
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CArrayObj *encoder = new CArrayObj();
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CArrayObj *decoder = new CArrayObj();
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if(!CreateCVAEDescriptions(encoder,decoder))
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{
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delete encoder;
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delete decoder;
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return INIT_FAILED;
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}
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if(!Encoder.Create(encoder) || !Decoder.Create(decoder))
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{
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delete encoder;
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delete decoder;
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return INIT_FAILED;
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}
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delete encoder;
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delete decoder;
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}
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//---
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OpenCL = Encoder.GetOpenCL();
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Decoder.SetOpenCL(OpenCL);
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//---
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Decoder.getResults(Result);
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if(Result.Total() != NActions)
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{
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PrintFormat("The scope of the Decoder does not match the actions count (%d <> %d)", NActions, Result.Total());
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return INIT_FAILED;
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}
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//---
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Encoder.GetLayerOutput(0, Result);
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if(Result.Total() != (HistoryBars * BarDescr))
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{
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PrintFormat("Input size of Encoder doesn't match state description (%d <> %d)", Result.Total(), (HistoryBars * BarDescr));
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return INIT_FAILED;
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}
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//---
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Encoder.getResults(Result);
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int latent_state = Result.Total();
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Decoder.GetLayerOutput(0, Result);
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if(Result.Total() != latent_state)
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{
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PrintFormat("Input size of Decoder doesn't match result of Encoder (%d <> %d)", Result.Total(), latent_state);
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return INIT_FAILED;
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}
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//---
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if(!EventChartCustom(ChartID(), 1, 0, 0, "Init"))
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{
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PrintFormat("Error of create study event: %d", GetLastError());
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return INIT_FAILED;
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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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Encoder.Save(FileName + "Enc.nnw", 0, 0, 0, TimeCurrent(), true);
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Decoder.Save(FileName + "Dec.nnw", Decoder.getRecentAverageError(), 0, 0, TimeCurrent(), true);
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delete Result;
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delete OpenCL;
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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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//| Train function |
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//+------------------------------------------------------------------+
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void Train(void)
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{
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int total_tr = ArraySize(Buffer);
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uint ticks = GetTickCount();
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int bar = (HistoryBars - 1) * BarDescr;
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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 tr = int((MathRand() * MathRand() / MathPow(32767, 2)) * (total_tr));
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int i = int((MathRand() * MathRand() / MathPow(32767, 2)) * (Buffer[tr].Total - 2));
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if(i < 0)
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continue;
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State.AssignArray(Buffer[tr].States[i].state);
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Actions.AssignArray(Buffer[tr].States[i].action);
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if(Actions.GetIndex() >= 0)
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Actions.BufferWrite();
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//---
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if(!Encoder.feedForward(GetPointer(State), 1,false, GetPointer(Actions)) ||
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!Decoder.feedForward(GetPointer(Encoder), -1, GetPointer(Encoder),1))
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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(!Decoder.backProp(GetPointer(Actions), GetPointer(Encoder), 1) ||
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!Encoder.backPropGradient(GetPointer(Actions), GetPointer(Actions)))
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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(GetTickCount() - ticks > 500)
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{
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string str = StringFormat("%-15s %5.2f%% -> Error %15.8f\n", "Decoder", iter * 100.0 / (double)(Iterations), Decoder.getRecentAverageError());
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Comment(str);
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ticks = GetTickCount();
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}
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}
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Comment("");
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//---
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PrintFormat("%s -> %d -> %-15s %10.7f", __FUNCTION__, __LINE__, "Decoder", Decoder.getRecentAverageError());
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ExpertRemove();
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//---
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}
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//+------------------------------------------------------------------+
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