//+------------------------------------------------------------------+ //| va5_net.mq5 | //| Copyright 2022, DNG | //| https://www.mql5.com/ru/users/dng | //+------------------------------------------------------------------+ #property copyright "Copyright 2022, DNG" #property link "https://www.mql5.com/ru/users/dng" #property version "1.00" //+------------------------------------------------------------------+ //| Includes | //+------------------------------------------------------------------+ #include "..\..\NeuroNet_DNG\NeuroNet.mqh" #include <Trade\SymbolInfo.mqh> #include <Indicators\Oscilators.mqh> //--- #define FileName Symb.Name()+"_"+EnumToString((ENUM_TIMEFRAMES)Period())+"_"+StringSubstr(__FILE__,0,StringFind(__FILE__,".",0)) #define CSV __FILE__+".csv" //--- enum ENUM_SIGNAL { Sell = -1, Undefine = 0, Buy = 1 }; //+------------------------------------------------------------------+ //| input parameters | //+------------------------------------------------------------------+ input int StudyPeriod = 15; //Study period, years input uint HistoryBars = 40; //Depth of history input ENUM_TIMEFRAMES TimeFrame = PERIOD_CURRENT; //--- 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 //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ CSymbolInfo *Symb; MqlRates Rates[]; CBufferFloat *TempData; CiRSI *RSI; CiCCI *CCI; CiATR *ATR; CiMACD *MACD; CNet *Net; //--- float dError; datetime dtStudied; bool bEventStudy; //+------------------------------------------------------------------+ //| Expert initialization function | //+------------------------------------------------------------------+ int OnInit() { //--- Symb = new CSymbolInfo(); if(CheckPointer(Symb) == POINTER_INVALID || !Symb.Name(_Symbol)) return INIT_FAILED; Symb.Refresh(); //--- RSI = new CiRSI(); if(CheckPointer(RSI) == POINTER_INVALID || !RSI.Create(Symb.Name(), TimeFrame, RSIPeriod, RSIPrice)) return INIT_FAILED; //--- CCI = new CiCCI(); if(CheckPointer(CCI) == POINTER_INVALID || !CCI.Create(Symb.Name(), TimeFrame, CCIPeriod, CCIPrice)) return INIT_FAILED; //--- ATR = new CiATR(); if(CheckPointer(ATR) == POINTER_INVALID || !ATR.Create(Symb.Name(), TimeFrame, ATRPeriod)) return INIT_FAILED; //--- MACD = new CiMACD(); if(CheckPointer(MACD) == POINTER_INVALID || !MACD.Create(Symb.Name(), TimeFrame, FastPeriod, SlowPeriod, SignalPeriod, MACDPrice)) return INIT_FAILED; //--- Net = new CNet(NULL); ResetLastError(); float temp1, temp2; if(!Net || !Net.Load(FileName + ".nnw", dError, temp1, temp2, dtStudied, false)) { printf("%s - %d -> Error of read %s prev Net %d", __FUNCTION__, __LINE__, FileName + ".nnw", GetLastError()); CArrayObj *Topology = new CArrayObj(); if(CheckPointer(Topology) == POINTER_INVALID) return INIT_FAILED; //--- 0 CLayerDescription *desc = new CLayerDescription(); if(CheckPointer(desc) == POINTER_INVALID) return INIT_FAILED; uint prev = desc.count = (int)HistoryBars * 12; desc.type = defNeuronBaseOCL; desc.optimization = ADAM; desc.activation = None; if(!Topology.Add(desc)) return INIT_FAILED; //--- 1 desc = new CLayerDescription(); if(CheckPointer(desc) == POINTER_INVALID) return INIT_FAILED; desc.count = prev; desc.batch = 1000; desc.type = defNeuronBatchNormOCL; desc.activation = None; desc.optimization = ADAM; if(!Topology.Add(desc)) return INIT_FAILED; //--- 2 desc = new CLayerDescription(); if(CheckPointer(desc) == POINTER_INVALID) return INIT_FAILED; prev = desc.count = (int)HistoryBars; desc.type = defNeuronBaseOCL; desc.activation = TANH; desc.optimization = ADAM; if(!Topology.Add(desc)) return INIT_FAILED; //--- 3 desc = new CLayerDescription(); if(CheckPointer(desc) == POINTER_INVALID) return INIT_FAILED; prev = desc.count = prev / 2; desc.type = defNeuronBaseOCL; desc.activation = TANH; desc.optimization = ADAM; if(!Topology.Add(desc)) return INIT_FAILED; //--- 4 desc = new CLayerDescription(); if(CheckPointer(desc) == POINTER_INVALID) return INIT_FAILED; prev = desc.count = prev / 2; desc.type = defNeuronBaseOCL; desc.activation = TANH; desc.optimization = ADAM; if(!Topology.Add(desc)) return INIT_FAILED; //--- 5 desc = new CLayerDescription(); if(CheckPointer(desc) == POINTER_INVALID) return INIT_FAILED; desc.count = 4; desc.type = defNeuronBaseOCL; desc.activation = TANH; desc.optimization = ADAM; if(!Topology.Add(desc)) return INIT_FAILED; //--- 6 desc = new CLayerDescription(); if(CheckPointer(desc) == POINTER_INVALID) return INIT_FAILED; desc.count = 2; desc.type = defNeuronVAEOCL; if(!Topology.Add(desc)) return INIT_FAILED; //--- 7 desc = new CLayerDescription(); if(CheckPointer(desc) == POINTER_INVALID) return INIT_FAILED; desc.count = (int) HistoryBars; desc.type = defNeuronBaseOCL; desc.activation = TANH; desc.optimization = ADAM; if(!Topology.Add(desc)) return INIT_FAILED; //--- 8 desc = new CLayerDescription(); if(CheckPointer(desc) == POINTER_INVALID) return INIT_FAILED; desc.count = (int) HistoryBars * 2; desc.type = defNeuronBaseOCL; desc.activation = TANH; desc.optimization = ADAM; if(!Topology.Add(desc)) return INIT_FAILED; //--- 9 desc = new CLayerDescription(); if(CheckPointer(desc) == POINTER_INVALID) return INIT_FAILED; desc.count = (int) HistoryBars * 4; desc.type = defNeuronBaseOCL; desc.activation = TANH; desc.optimization = ADAM; if(!Topology.Add(desc)) return INIT_FAILED; //--- 10 desc = new CLayerDescription(); if(CheckPointer(desc) == POINTER_INVALID) return INIT_FAILED; desc.count = (int) HistoryBars * 12; desc.type = defNeuronBaseOCL; desc.activation = TANH; desc.optimization = ADAM; if(!Topology.Add(desc)) return INIT_FAILED; delete Net; Net = new CNet(Topology); delete Topology; if(CheckPointer(Net) == POINTER_INVALID) return INIT_FAILED; dError = FLT_MAX; } //--- TempData = new CBufferFloat(); if(CheckPointer(TempData) == POINTER_INVALID) return INIT_FAILED; //--- bEventStudy = EventChartCustom(ChartID(), 1, (long)MathMax(0, MathMin(iTime(Symb.Name(), PERIOD_CURRENT, (int)(100 * Net.recentAverageSmoothingFactor * 10)), dtStudied)), 0, "Init"); //--- return(INIT_SUCCEEDED); } //+------------------------------------------------------------------+ //| Expert deinitialization function | //+------------------------------------------------------------------+ void OnDeinit(const int reason) { //--- if(CheckPointer(Symb) != POINTER_INVALID) delete Symb; //--- if(CheckPointer(RSI) != POINTER_INVALID) delete RSI; //--- if(CheckPointer(CCI) != POINTER_INVALID) delete CCI; //--- if(CheckPointer(ATR) != POINTER_INVALID) delete ATR; //--- if(CheckPointer(MACD) != POINTER_INVALID) delete MACD; //--- if(CheckPointer(Net) != POINTER_INVALID) delete Net; //--- if(CheckPointer(TempData) != POINTER_INVALID) delete TempData; } //+------------------------------------------------------------------+ //| Expert tick function | //+------------------------------------------------------------------+ void OnTick() { //--- if(!bEventStudy && (dtStudied < SeriesInfoInteger(Symb.Name(), TimeFrame, SERIES_LASTBAR_DATE))) bEventStudy = EventChartCustom(ChartID(), 1, (long)0, 0, "New Bar"); //--- } //+------------------------------------------------------------------+ //| Trade function | //+------------------------------------------------------------------+ void OnTrade() { //--- } //+------------------------------------------------------------------+ //| TradeTransaction function | //+------------------------------------------------------------------+ void OnTradeTransaction(const MqlTradeTransaction& trans, const MqlTradeRequest& request, const MqlTradeResult& result) { //--- } //+------------------------------------------------------------------+ //| ChartEvent function | //+------------------------------------------------------------------+ void OnChartEvent(const int id, const long &lparam, const double &dparam, const string &sparam) { //--- if(id == 1001) { Train(lparam); bEventStudy = false; OnTick(); } } //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ void Train(datetime StartTrainBar = 0) { int count = 0; //--- MqlDateTime start_time; TimeCurrent(start_time); start_time.year -= StudyPeriod; if(start_time.year <= 0) start_time.year = 1900; datetime st_time = StructToTime(start_time); dtStudied = MathMax(StartTrainBar, st_time); ulong last_tick = 0; //--- double prev_er = DBL_MAX; datetime bar_time = 0; bool stop = IsStopped(); CArrayDouble *loss = new CArrayDouble(); MqlDateTime sTime; //--- int bars = CopyRates(Symb.Name(), TimeFrame, st_time, TimeCurrent(), Rates); prev_er = dError; //--- if(!RSI.BufferResize(bars) || !CCI.BufferResize(bars) || !ATR.BufferResize(bars) || !MACD.BufferResize(bars)) { ExpertRemove(); return; } if(!ArraySetAsSeries(Rates, true)) { ExpertRemove(); return; } RSI.Refresh(OBJ_ALL_PERIODS); CCI.Refresh(OBJ_ALL_PERIODS); ATR.Refresh(OBJ_ALL_PERIODS); MACD.Refresh(OBJ_ALL_PERIODS); //--- int total = (int)(bars - MathMax(HistoryBars, 0)); do { //--- stop = IsStopped(); prev_er = dError; for(int it = total - 1; it >= 0 && !stop; it--) { int i = (int)((MathRand() * MathRand() / MathPow(32767, 2)) * (total)); if((GetTickCount64() - last_tick) >= 250) { string com = StringFormat("Study -> Era %d -> %.6f\n %d of %d -> %.2f%% \nError %.5f", count, prev_er, bars - it + 1, bars, (double)(bars - it + 1.0) / bars * 100, Net.getRecentAverageError()); Comment(com); last_tick = GetTickCount64(); } TempData.Clear(); int r = i + (int)HistoryBars; if(r > bars) continue; //--- for(int b = 0; b < (int)HistoryBars; b++) { int bar_t = r - b; double open = Rates[bar_t].open; TimeToStruct(Rates[bar_t].time, sTime); float rsi = (float)RSI.Main(bar_t); float cci = (float)CCI.Main(bar_t); float atr = (float)ATR.Main(bar_t); float macd = (float)MACD.Main(bar_t); float sign = (float)MACD.Signal(bar_t); if(rsi == EMPTY_VALUE || cci == EMPTY_VALUE || atr == EMPTY_VALUE || macd == EMPTY_VALUE || sign == EMPTY_VALUE) continue; //--- if(!TempData.Add((float)(Rates[bar_t].close - open)) || !TempData.Add((float)(Rates[bar_t].high - open)) || !TempData.Add((float)(Rates[bar_t].low - open)) || !TempData.Add((float)(Rates[bar_t].tick_volume / 1000.0)) || !TempData.Add(sTime.hour) || !TempData.Add(sTime.day_of_week) || !TempData.Add(sTime.mon) || !TempData.Add(rsi) || !TempData.Add(cci) || !TempData.Add(atr) || !TempData.Add(macd) || !TempData.Add(sign)) break; } if(TempData.Total() < (int)HistoryBars * 12) continue; Net.feedForward(TempData, 12, true, (CBufferFloat*)NULL); TempData.Clear(); if(!Net.GetLayerOutput(1, TempData)) break; Net.backProp(TempData, NULL, NULL); stop = IsStopped(); } if(!stop) { dError = Net.getRecentAverageError(); Net.Save(FileName + ".nnw", dError, 0, 0, dtStudied, false); printf("Era %d -> error %.5f %%", count, dError); loss.Add(dError); count++; } } while(!(dError < 0.01 && (prev_er - dError) < 0.01) && !stop); //--- Comment("Write dinamic of error"); int handle = FileOpen("ae_loss.csv", FILE_WRITE | FILE_CSV | FILE_ANSI, ",", CP_UTF8); if(handle == INVALID_HANDLE) { PrintFormat("Error of open loss file: %d", GetLastError()); delete loss; return; } for(int i = 0; i < loss.Total(); i++) if(FileWrite(handle, loss.At(i)) <= 0) break; FileClose(handle); PrintFormat("The dynamics of the error change is saved to a file %s\\%s", TerminalInfoString(TERMINAL_DATA_PATH), "ae_loss.csv"); delete loss; Comment(""); ExpertRemove(); } //+------------------------------------------------------------------+