Original_NNB/MQL5/Scripts/NeuroNetworksBook/rnn/lstm_test.mq5

<EFBFBD><EFBFBD>//+------------------------------------------------------------------+
//|                                                    LSTM_test.mq5 |
//|                                  Copyright 2021, MetaQuotes Ltd. |
//|                                             https://www.mql5.com |
//+------------------------------------------------------------------+
#property copyright "Copyright 2021, MetaQuotes Ltd."
#property link      "https://www.mql5.com"
#property version   "1.00"
#property script_show_inputs
//+------------------------------------------------------------------+
//| =5H=85 ?0@0<5B@K 4;O @01>BK A:@8?B0                             |
//+------------------------------------------------------------------+
input string   StudyFileName  = "study_data.csv";// <O D09;0 A >1CG0NI59 2K1>@:>9
input string   OutputFileName = "loss_study_lstm.csv";// <O D09;0 4;O 70?8A8 48=0<8:8 >H81:8
input int      BarsToLine     = 40;             // >;8G5AB2> 8AB>@8G5A:8E 10@>2 2 >4=>< ?0BB5@=5
input int      NeuronsToBar   = 4;              // >;8G5AB2> =59@>=>2 2E>4=>3> A;>O =0 1 10@
input bool     UseOpenCL      = false;          // A?>;L7>20BL OpenCL
input int      BatchSize      = 10000;          //  07<5@ ?0:5B0 4;O >1=>2;5=8O <0B@8FK 25A>2
input double   LearningRate   = 0.0001;         // >MDD8F85=B >1CG5=8O
input int      HiddenLayers   = 3;              // >;8G5AB2> A:@KBKE A;>Q2
input int      HiddenLayer    = 40;             // >;8G5AB2> =59@>=>2 2 >4=>< A:@KB>< A;>5
input int      Epochs         = 1000;           // >;8G5AB2> F8:;>2 >1=>2;5=88O <<0B@8FK 25A>2
//+------------------------------------------------------------------+
//| >4:;NG05< 181;8>B5:C =59@>==>9 A5B8                             |
//+------------------------------------------------------------------+
#include <NeuroNetworksBook\realization\neuronnet.mqh>
CNet *net;
//+------------------------------------------------------------------+
//| 0G0;> ?@>3@0<<K A:@8?B0                                         |
//+------------------------------------------------------------------+
void OnStart()
  {
//---
   CArrayObj *layers = new CArrayObj();
   if(CheckPointer(layers) == POINTER_INVALID)
     {
      PrintFormat("Error of create CArrayObj: %d", GetLastError());
      return;
     }
//--- !;>9 8AE>4=KE 40==KE
   CLayerDescription *descr = new CLayerDescription();
   if(CheckPointer(descr) == POINTER_INVALID)
     {
      PrintFormat("Error of create CLayerDescription: %d", GetLastError());
      delete layers;
      return;
     }
   descr.type = defNeuronBase;
   int prev_count = descr.count = NeuronsToBar * BarsToLine;
   descr.window = 0;
   descr.activation = ACT_None;
   descr.optimization = None;
   if(!layers.Add(descr))
     {
      PrintFormat("Error of add layer: %d", GetLastError());
      delete descr;
      delete layers;
      return;
     }
//---  5:C@@5=B=K9 A;>9
   descr = new CLayerDescription();
   if(CheckPointer(descr) == POINTER_INVALID)
     {
      PrintFormat("Error of create CLayerDescription: %d", GetLastError());
      delete layers;
      return;
     }
   descr.type = defNeuronLSTM;
   descr.count = BarsToLine;
   descr.window_out = 5;
   descr.activation = ACT_None;
   descr.optimization = Adam;
   descr.activation_params[0] = 1;
   if(!layers.Add(descr))
     {
      PrintFormat("Error of add layer: %d", GetLastError());
      delete layers;
      delete descr;
      return;
     }
//--- !:@KBK5 A;>8
   descr = new CLayerDescription();
   if(CheckPointer(descr) == POINTER_INVALID)
     {
      PrintFormat("Error of create CLayerDescription: %d", GetLastError());
      delete layers;
      return;
     }
   descr.type = defNeuronBase;
   descr.count = HiddenLayer;
   descr.activation = ACT_SWISH;
   descr.optimization = Adam;
   descr.activation_params[0] = 1;
   for(int i = 0; i < HiddenLayers; i++)
     {
      if(!layers.Add(descr))
        {
         PrintFormat("Error of add layer: %d", GetLastError());
         delete layers;
         delete descr;
         return;
        }
     }
//---  !;>9 @57C;LB0B>2
   descr = new CLayerDescription();
   if(CheckPointer(descr) == POINTER_INVALID)
     {
      PrintFormat("Error of create CLayerDescription: %d", GetLastError());
      delete layers;
      return;
     }
   descr.type = defNeuronBase;
   descr.count = 2;
   descr.activation = ACT_LINE;
   descr.optimization = Adam;
   descr.activation_params[0] = 1;
   if(!layers.Add(descr))
     {
      PrintFormat("Error of add layer: %d", GetLastError());
      delete layers;
      delete descr;
      return;
     }
//--- =8F80;878@C5< <>45;L =59@>==>9 A5B8
   net = new CNet();
   if(CheckPointer(net) == POINTER_INVALID)
     {
      PrintFormat("Error of create Net: %d", GetLastError());
      return;
     }
//---
   if(!net.Create(layers, LearningRate, 0.9, 0.999, ENUM_LOSS_MSE, 0, 0))
     {
      PrintFormat("Error of init Net: %d", GetLastError());
      return;
     }
   delete layers;
   net.UseOpenCL(UseOpenCL);
   net.LossSmoothFactor(BatchSize);
//--- ;>: 703@C7:8 >1CG0NI59 2K1>@:8
   CArrayObj *data = new CArrayObj();
   if(CheckPointer(data) == POINTER_INVALID)
     {
      PrintFormat("Error of create Historical data array: %d", GetLastError());
      return;
     }
//---
   CArrayObj *result = new CArrayObj();
   if(CheckPointer(result) == POINTER_INVALID)
     {
      PrintFormat("Error of create Target data array: %d", GetLastError());
      return;
     }
   CBufferDouble *pattern;
//---
   CBufferDouble *target;
//--- B:@K205< D09; 8 AG8BK205< 8AE>4=K5 40==KE
   int handle = FileOpen(StudyFileName, FILE_READ | FILE_CSV | FILE_ANSI | FILE_SHARE_READ, ",", CP_UTF8);
   if(handle == INVALID_HANDLE)
     {
      PrintFormat("Error of open study data file: %d", GetLastError());
      return;
     }
   while(!FileIsEnding(handle) && !IsStopped())
     {
      pattern = new CBufferDouble();
      if(CheckPointer(pattern) == POINTER_INVALID)
        {
         PrintFormat("Error of create Pattern data array: %d", GetLastError());
         return;
        }
      target = new CBufferDouble();
      if(CheckPointer(target) == POINTER_INVALID)
        {
         PrintFormat("Error of create Pattern Target array: %d", GetLastError());
         return;
        }
      for(int i = 0; i < NeuronsToBar * BarsToLine; i++)
        {
         if(!pattern.Add(FileReadNumber(handle)))
           {
            PrintFormat("Error of read study data from file: %d", GetLastError());
            return;
           }
        }
      for(int i = 0; i < 2; i++)
         if(!target.Add(FileReadNumber(handle)))
           {
            PrintFormat("Error of read study data from file: %d", GetLastError());
            return;
           }
      if(!data.Add(pattern))
        {
         PrintFormat("Error of add study data to array: %d", GetLastError());
         return;
        }
      if(!result.Add(target))
        {
         PrintFormat("Error of add study data to array: %d", GetLastError());
         return;
        }
      int total = data.Total();
      Comment(StringFormat("Read %d patterns", total));
     }
   FileClose(handle);
//--- ;>: >1CG5=8O <>45;8
   const int patterns = data.Total();
   CArrayDouble *loss = new CArrayDouble();
   if(CheckPointer(loss) == POINTER_INVALID)
     {
      PrintFormat("Error of create loss array: %d", GetLastError());
      return;
     }
   int i = -1;
   for(int epoch = 0; epoch < Epochs && !IsStopped(); epoch++)
     {
      for(int k = 0; k < patterns && !IsStopped(); k++)
        {
         i++;
         pattern = data.At(k);
         target = result.At(k);
         if(CheckPointer(pattern) == POINTER_INVALID || CheckPointer(target) == POINTER_INVALID)
           {
            i--;
            continue;
           }
         if(!net.FeedForward(pattern))
           {
            PrintFormat("Error in FeedForward: %d", GetLastError());
            return;
           }
         if(!net.Backpropagation(target))
           {
            PrintFormat("Error in Backpropagation: %d", GetLastError());
            return;
           }
         if(i>=BatchSize)
           {
            net.UpdateWeights(BatchSize);
            i=0;
           }
        }
      if(!loss.Add(net.GetRecentAverageLoss()))
        {
         PrintFormat("Error of add loss to array: %d", GetLastError());
         return;
        }
      string s;
      Comment(s = StringFormat("Studied %d epoch, error %.5f", epoch, net.GetRecentAverageLoss()));
     }
//--- !>E@0=5=85 @57C;LB0B>2 >1CG5=8O
   handle = FileOpen(OutputFileName, FILE_WRITE | FILE_CSV | FILE_ANSI, ",", CP_UTF8);
   if(handle == INVALID_HANDLE)
     {
      PrintFormat("Error of open loss file: %d", GetLastError());
      return;
     }
   for(i = 0; i < loss.Total(); i++)
     {
      FileWrite(handle, loss.At(i));
     }
   FileClose(handle);
   PrintFormat("The dynamics of the error change is saved to a file %s\\%s",
               TerminalInfoString(TERMINAL_DATA_PATH), OutputFileName);
   net.Save("Study.net");
//--- G8AB:0 ?0<OB8
   delete net;
   delete loss;
   delete data;
   delete result;
   delete pattern;
   delete target;
   Comment("");
  }
//+------------------------------------------------------------------+