NN_in_Trading/Experts/Unsupervised/AssocRules/assocrules_pca.mq5

//+------------------------------------------------------------------+

//|                                                      pca_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 "AssocRules.mqh"

#include "..\\PCA\\pca.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 =  20;            //Depth of history

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[];

CArrayDouble        *TempData;

CiRSI               *RSI;

CiCCI               *CCI;

CiATR               *ATR;

CiMACD              *MACD;

CAssocRules          *Rules;

CPCA                *PCA;

//---

double               dError;

double               dUndefine;

double               dForecast;

double               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;

//---

   Rules = new CAssocRules();

   if(!Rules)

      return INIT_FAILED;

//---

   PCA = new CPCA();

   if(CheckPointer(PCA) == POINTER_INVALID)

      return INIT_FAILED;

   int handl = FileOpen("pca.net", FILE_READ | FILE_BIN);

   if(handl == INVALID_HANDLE)

      return INIT_FAILED;

   if(!PCA.Load(handl))

     {

      FileClose(handl);

      return INVALID_HANDLE;

     }

   FileClose(handl);

//---

   bEventStudy = EventChartCustom(ChartID(), 1, 0, 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(Rules) != POINTER_INVALID)

      delete Rules;

//---

   if(CheckPointer(PCA) != POINTER_INVALID)

      delete PCA;

  }

//+------------------------------------------------------------------+

//| Expert tick function                                             |

//+------------------------------------------------------------------+

void OnTick()

  {

//---

   if(!bEventStudy && (dPrevSignal == -2 || 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)

  {

//---

   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 total = bars - (int)HistoryBars - 1;

   matrixf fractals;

   matrixf data;

   if(!data.Init(total, 8 * HistoryBars) ||

      !fractals.Init(total, 3))

     {

      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 = b * 8;

         double open = Rates[bar].open;

         data[i, shift] = (float)(open - Rates[bar].low);

         data[i, shift + 1] = (float)(Rates[bar].high - open);

         data[i, shift + 2] = (float)(Rates[bar].close - open);

         data[i, shift + 3] = (float)RSI.GetData(MAIN_LINE, bar);

         data[i, shift + 4] = (float)CCI.GetData(MAIN_LINE, bar);

         data[i, shift + 5] = (float)ATR.GetData(MAIN_LINE, bar);

         data[i, shift + 6] = (float)MACD.GetData(MAIN_LINE, bar);

         data[i, shift + 7] = (float)MACD.GetData(SIGNAL_LINE, bar);

        }

      int bar = i + 1;

      fractals[i, 0] = (float)(Rates[bar - 1].high <= Rates[bar].high && Rates[bar + 1].high < Rates[bar].high);

      fractals[i, 1] = (float)(Rates[bar - 1].low >= Rates[bar].low && Rates[bar + 1].low > Rates[bar].low);

      fractals[i, 2] = (float)((fractals[i, 0] + fractals[i, 1]) == 0);

     }

   if(IsStopped())

     {

      ExpertRemove();

      return;

     }

//---

   data=PCA.ReduceM(data);

//---

   ulong array[] = {300};

   matrixf ar_data[], ar_fractals[];

   data.Hsplit(array, ar_data);

   fractals.Hsplit(array, ar_fractals);

//---

   Rules.CreateRules(ar_data[1], ar_fractals[1].Col(0), ar_fractals[1].Col(1), 5, 0.05f, 0.50f);

   float buy_prob, sell_prob;

   for(ulong i = 0; i < ar_data[0].Rows(); i++)

     {

      if(!Rules.Probability(ar_data[0].Row(i), buy_prob, sell_prob))

         return;

      if(DoubleToSignal(buy_prob - sell_prob) == Undefine)

         DeleteObject(Rates[i].time);

      else

         DrawObject(Rates[i].time, (buy_prob - sell_prob), Rates[i].high, Rates[i].low);

     }

   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;

        }

     }

//---

   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);

  }

//+------------------------------------------------------------------+