//+------------------------------------------------------------------+ //| kmeans_net.mq5 | //| Copyright 2021, 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 "kmeans.mqh" #include <Trade\SymbolInfo.mqh> #include <Indicators\Oscilators.mqh> //--- #define FileName Symb.Name()+"_"+EnumToString((ENUM_TIMEFRAMES)Period())+"_"+IntegerToString(Clusters,3)+StringSubstr(__FILE__,0,StringFind(__FILE__,".",0)) #define CSV __FILE__+".csv" //--- enum ENUM_SIGNAL { Sell = -1, Undefine = 0, Buy = 1 }; //+------------------------------------------------------------------+ //| input parameters | //+------------------------------------------------------------------+ input int StudyPeriod = 2; //Study period, years input uint HistoryBars = 20; //Depth of history input int Clusters = 500; //Clusters 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[]; CNet *Net; CBufferFloat *TempData; CiRSI *RSI; CiCCI *CCI; CiATR *ATR; CiMACD *MACD; CKmeans *Kmeans; //--- float dError; float dUndefine; float dForecast; float dPrevSignal; 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; //--- Kmeans = new CKmeans(); if(CheckPointer(Kmeans) == POINTER_INVALID) return INIT_FAILED; //--- Net = new CNet(NULL); ResetLastError(); if(CheckPointer(Net) == POINTER_INVALID || !Net.Load(FileName + ".nnw", dError, dUndefine, dForecast, 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; desc.count = (int)Clusters; 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 = 300; desc.type = defNeuron; desc.activation = LReLU; desc.optimization = ADAM; if(!Topology.Add(desc)) return INIT_FAILED; //--- 2 desc = new CLayerDescription(); if(CheckPointer(desc) == POINTER_INVALID) return INIT_FAILED; desc.count = 300; desc.type = defNeuron; 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; desc.count = 300; desc.type = defNeuron; 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; desc.count = 3; desc.type = defNeuron; desc.activation = SIGMOID; 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 = -1; dUndefine = 0; dForecast = 0; dtStudied = 0; } //--- TempData = new CArrayFloat(); 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 * (dForecast >= 70 ? 1 : 10))), dtStudied)), 0, "Init"); //--- return(INIT_SUCCEEDED); } //+------------------------------------------------------------------+ //| Expert deinitialization function | //+------------------------------------------------------------------+ void OnDeinit(const int reason) { //--- if(CheckPointer(Symb) != POINTER_INVALID) delete Symb; //--- if(CheckPointer(Kmeans) != POINTER_INVALID) delete Kmeans; //--- 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 && (dPrevSignal == -2 || dtStudied < SeriesInfoInteger(Symb.Name(), TimeFrame, SERIES_LASTBAR_DATE))) bEventStudy = EventChartCustom(ChartID(), 1, (long)MathMax(0, MathMin(iTime(Symb.Name(), PERIOD_CURRENT, (int)(100 * Net.recentAverageSmoothingFactor * (dForecast >= 70 ? 1 : 10))), dtStudied)), 0, "New Bar"); //--- Comment(StringFormat("K7>2 A>1KB8O %s; PrevSignal %.5f; >45;L >1CG5=0 %s -> %s", (string)bEventStudy, dPrevSignal, TimeToString(dtStudied), TimeToString(SeriesInfoInteger(Symb.Name(), TimeFrame, SERIES_LASTBAR_DATE)))); } //+------------------------------------------------------------------+ //| 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) { Net.TrainMode(true); Train(lparam); bEventStudy = false; OnTick(); } } //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ void Train(datetime StartTrainBar = 0) { COpenCLMy *opencl = OpenCLCreate(cl_unsupervised); if(CheckPointer(opencl) == POINTER_INVALID) { ExpertRemove(); return; } if(!Kmeans.SetOpenCL(opencl)) { delete opencl; ExpertRemove(); return; } //--- 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); //--- int bars = CopyRates(Symb.Name(), TimeFrame, st_time, TimeCurrent(), Rates); if(!RSI.BufferResize(bars) || !CCI.BufferResize(bars) || !ATR.BufferResize(bars) || !MACD.BufferResize(bars)) { ExpertRemove(); return; } if(!ArraySetAsSeries(Rates, true)) { ExpertRemove(); return; } //--- RSI.Refresh(); CCI.Refresh(); ATR.Refresh(); MACD.Refresh(); //--- int handl = FileOpen(StringFormat("kmeans_%d.net", Clusters), FILE_READ | FILE_BIN); if(handl == INVALID_HANDLE) { ExpertRemove(); return; } if(FileReadInteger(handl) != Kmeans.Type()) { ExpertRemove(); return; } bool result = Kmeans.Load(handl); FileClose(handl); if(!result) { ExpertRemove(); return; } //--- int total = bars - (int)HistoryBars - 1; double data[], fractals[]; if(ArrayResize(data, total * 8 * HistoryBars) <= 0 || ArrayResize(fractals, total * 3) <= 0) { ExpertRemove(); return; } //--- for(int i = 0; (i < total && !IsStopped()); i++) { Comment(StringFormat("Create data: %d of %d", i, total)); for(int b = 0; b < (int)HistoryBars; b++) { int bar = i + b; int shift = (i * (int)HistoryBars + b) * 8; double open = Rates[bar].open; data[shift] = open - Rates[bar].low; data[shift + 1] = Rates[bar].high - open; data[shift + 2] = Rates[bar].close - open; data[shift + 3] = RSI.GetData(MAIN_LINE, bar); data[shift + 4] = CCI.GetData(MAIN_LINE, bar); data[shift + 5] = ATR.GetData(MAIN_LINE, bar); data[shift + 6] = MACD.GetData(MAIN_LINE, bar); data[shift + 7] = MACD.GetData(SIGNAL_LINE, bar); } int shift = i * 3; int bar = i + 1; fractals[shift] = (int)(Rates[bar - 1].high <= Rates[bar].high && Rates[bar + 1].high < Rates[bar].high); fractals[shift + 1] = (int)(Rates[bar - 1].low >= Rates[bar].low && Rates[bar + 1].low > Rates[bar].low); fractals[shift + 2] = (int)((fractals[shift] + fractals[shift]) == 0); } if(IsStopped()) { ExpertRemove(); return; } CBufferFloat *Data = new CBufferFloat(); if(CheckPointer(Data) == POINTER_INVALID || !Data.AssignArray(data)) return; CBufferFloat *Fractals = new CBufferFloat(); if(CheckPointer(Fractals) == POINTER_INVALID || !Fractals.AssignArray(fractals)) return; //--- ResetLastError(); CBufferFloat *softmax = Kmeans.SoftMax(Data); if(CheckPointer(softmax) == POINTER_INVALID) { printf("H81:0 2K?>;=5=8O %d", GetLastError()); ExpertRemove(); return; } //--- if(CheckPointer(TempData) == POINTER_INVALID) { TempData = new CArrayFloat(); if(CheckPointer(TempData) == POINTER_INVALID) { ExpertRemove(); return; } } delete opencl; double prev_un, prev_for, prev_er; dUndefine = 0; dForecast = 0; dError = -1; dPrevSignal = 0; bool stop = false; int count = 0; do { prev_un = dUndefine; prev_for = dForecast; prev_er = dError; ENUM_SIGNAL bar = Undefine; //--- stop = IsStopped(); for(int it = 0; (it < total - 300 && !IsStopped()); it++) { int i = (int)((MathRand() * MathRand() / MathPow(32767, 2)) * (total - 300)) + 300; TempData.Clear(); int shift = i * Clusters; if(!TempData.Reserve(Clusters)) { if(CheckPointer(Data) == POINTER_DYNAMIC) delete Data; if(CheckPointer(Fractals) == POINTER_DYNAMIC) delete Fractals; if(CheckPointer(softmax) == POINTER_DYNAMIC) delete softmax; if(CheckPointer(opencl) == POINTER_DYNAMIC) delete opencl; Comment(""); //--- ExpertRemove(); return; } for(int c = 0; c < Clusters; c++) if(!TempData.Add(softmax.At(shift + c))) { if(CheckPointer(Data) == POINTER_DYNAMIC) delete Data; if(CheckPointer(Fractals) == POINTER_DYNAMIC) delete Fractals; if(CheckPointer(softmax) == POINTER_DYNAMIC) delete softmax; if(CheckPointer(opencl) == POINTER_DYNAMIC) delete opencl; Comment(""); //--- ExpertRemove(); return; } if(!Net.feedForward(TempData, 1, false, (CBufferFloat*)NULL)) { if(CheckPointer(Data) == POINTER_DYNAMIC) delete Data; if(CheckPointer(Fractals) == POINTER_DYNAMIC) delete Fractals; if(CheckPointer(softmax) == POINTER_DYNAMIC) delete softmax; if(CheckPointer(opencl) == POINTER_DYNAMIC) delete opencl; Comment(""); //--- ExpertRemove(); return; } Net.getResults(TempData); //--- float sum = 0; for(int res = 0; res < 3; res++) { float temp = exp(TempData.At(res)); sum += temp; TempData.Update(res, temp); } for(int res = 0; (res < 3 && sum > 0); res++) TempData.Update(res, TempData.At(res) / sum); //--- switch(TempData.Argmax()) { case 1: dPrevSignal = (TempData[1] != TempData[2] ? TempData[1] : 0); break; case 2: dPrevSignal = -TempData[2]; break; default: dPrevSignal = 0; break; } string s = StringFormat("Study -> Era %d -> %.2f -> Undefine %.2f%% foracast %.2f%%\n %d of %d -> %.2f%% \nError %.2f\n%s -> %.2f ->> Buy %.5f - Sell %.5f - Undef %.5f", count, dError, dUndefine, dForecast, it + 1, total - 300, (double)(it + 1.0) / (total - 300) * 100, Net.getRecentAverageError(), EnumToString(DoubleToSignal(dPrevSignal)), dPrevSignal, TempData[1], TempData[2], TempData[0]); Comment(s); stop = IsStopped(); if(!stop) { shift = i * 3; TempData.Clear(); TempData.Add(Fractals.At(shift + 2)); TempData.Add(Fractals.At(shift)); TempData.Add(Fractals.At(shift + 1)); Net.backProp(TempData, NULL, NULL); ENUM_SIGNAL signal = DoubleToSignal(dPrevSignal); if(signal != Undefine) { if((signal == Sell && Fractals.At(shift + 1) == 1) || (signal == Buy && Fractals.At(shift) == 1)) dForecast += (100 - dForecast) / Net.recentAverageSmoothingFactor; else dForecast -= dForecast / Net.recentAverageSmoothingFactor; dUndefine -= dUndefine / Net.recentAverageSmoothingFactor; } else { if(Fractals.At(shift + 2) == 1) dUndefine += (100 - dUndefine) / Net.recentAverageSmoothingFactor; } } } count++; for(int i = 0; i < 300; i++) { TempData.Clear(); int shift = i * Clusters; if(!TempData.Reserve(Clusters)) { if(CheckPointer(Data) == POINTER_DYNAMIC) delete Data; if(CheckPointer(Fractals) == POINTER_DYNAMIC) delete Fractals; if(CheckPointer(softmax) == POINTER_DYNAMIC) delete softmax; if(CheckPointer(opencl) == POINTER_DYNAMIC) delete opencl; Comment(""); //--- ExpertRemove(); return; } for(int c = 0; c < Clusters; c++) if(!TempData.Add(softmax.At(shift + c))) { if(CheckPointer(Data) == POINTER_DYNAMIC) delete Data; if(CheckPointer(Fractals) == POINTER_DYNAMIC) delete Fractals; if(CheckPointer(softmax) == POINTER_DYNAMIC) delete softmax; if(CheckPointer(opencl) == POINTER_DYNAMIC) delete opencl; Comment(""); //--- ExpertRemove(); return; } if(!Net.feedForward(TempData, 1, false, (CBufferFloat*)NULL)) { if(CheckPointer(Data) == POINTER_DYNAMIC) delete Data; if(CheckPointer(Fractals) == POINTER_DYNAMIC) delete Fractals; if(CheckPointer(softmax) == POINTER_DYNAMIC) delete softmax; if(CheckPointer(opencl) == POINTER_DYNAMIC) delete opencl; Comment(""); //--- ExpertRemove(); return; } Net.getResults(TempData); //--- float sum = 0; for(int res = 0; res < 3; res++) { float temp = exp(TempData.At(res)); sum += temp; TempData.Update(res, temp); } for(int res = 0; (res < 3 && sum > 0); res++) TempData.Update(res, TempData.At(res) / sum); //--- switch(TempData.Argmax()) { case 1: dPrevSignal = (TempData[1] != TempData[2] ? TempData[1] : 0); break; case 2: dPrevSignal = -TempData[2]; break; default: dPrevSignal = 0; break; } if(DoubleToSignal(dPrevSignal) == Undefine) DeleteObject(Rates[i + 2].time); else DrawObject(Rates[i + 2].time, dPrevSignal, Rates[i + 2].high, Rates[i + 2].low); } if(!stop) { dError = Net.getRecentAverageError(); Net.Save(FileName + ".nnw", dError, dUndefine, dForecast, Rates[0].time, false); printf("Era %d -> error %.2f %% forecast %.2f", count, dError, dForecast); ChartScreenShot(0, FileName + IntegerToString(count) + ".png", 750, 400); int h = FileOpen(FileName + ".csv", FILE_READ | FILE_WRITE | FILE_CSV); if(h != INVALID_HANDLE) { FileSeek(h, 0, SEEK_END); FileWrite(h, lr, count, dError, dUndefine, dForecast); FileFlush(h); FileClose(h); } } } while((!(DoubleToSignal(dPrevSignal) != Undefine || dForecast > 70) || !(dError < 0.1 && MathAbs(dError - prev_er) < 0.01 && MathAbs(dUndefine - prev_un) < 0.1 && MathAbs(dForecast - prev_for) < 0.1)) && !stop); //--- if(CheckPointer(Data) == POINTER_DYNAMIC) delete Data; if(CheckPointer(Fractals) == POINTER_DYNAMIC) delete Fractals; if(CheckPointer(softmax) == POINTER_DYNAMIC) delete softmax; if(CheckPointer(TempData) == POINTER_DYNAMIC) delete TempData; if(CheckPointer(opencl) == POINTER_DYNAMIC) delete opencl; Comment(""); //--- ExpertRemove(); } //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ ENUM_SIGNAL DoubleToSignal(double value) { value = NormalizeDouble(value, 1); if(MathAbs(value) > 1 || MathAbs(value) <= 0) return Undefine; if(value > 0) return Buy; else return Sell; //--- return Undefine; } //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ void DrawObject(datetime time, double signal, double high, double low) { double price = 0; int arrow = 0; color clr = 0; ENUM_ARROW_ANCHOR anch = ANCHOR_BOTTOM; switch(DoubleToSignal(signal)) { case Buy: price = low; arrow = 217; clr = clrBlue; anch = ANCHOR_TOP; break; case Sell: price = high; arrow = 218; clr = clrRed; anch = ANCHOR_BOTTOM; break; } if(price == 0 || arrow == 0) return; //--- string name = TimeToString(time); if(ObjectFind(0, name) < 0) { ResetLastError(); if(!ObjectCreate(0, name, OBJ_ARROW, 0, time, 0)) { printf("Error of creating object %d", GetLastError()); return; } } //printf("%s - %d -> %s",__FUNCTION__,__LINE__,name); ObjectSetDouble(0, name, OBJPROP_PRICE, price); ObjectSetInteger(0, name, OBJPROP_ARROWCODE, arrow); ObjectSetInteger(0, name, OBJPROP_COLOR, clr); ObjectSetInteger(0, name, OBJPROP_ANCHOR, anch); ObjectSetString(0, name, OBJPROP_TOOLTIP, EnumToString(DoubleToSignal(signal)) + " " + DoubleToString(signal, 5)); } //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ void DeleteObject(datetime time) { string name = TimeToString(time); if(ObjectFind(0, name) >= 0) ObjectDelete(0, name); } //+------------------------------------------------------------------+