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oslib/osc/est/C0001FuzzyModel.mqh

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<EFBFBD><EFBFBD>//+------------------------------------------------------------------+
//| C0001FuzzyModel.mqh|
//| Copyright 2020,oficina de software.|
//| http://www.metaquotes.net/marcoc.|
//| |
//| VARIAVEIS DE ENTRADA: |
//| - velLiq [velocidade do volume de compra menos a velocidade do |
//| volume de venda. eh a velocidade liquida do mercado] |
//| - TERMOS: |
//| -comprando de -40 a 1000 |
//| -neutro de -40 a 40 |
//| -vendendo de 40 a -1000 |
//| |
//| - acelCompra [aceleracao da velocidade de compra, ou compras] |
//| - TERMOS: |
//| -compraAcelerando de -2 a 30 |
//| -compraMantendo de -2 a 2 |
//| -compraFreiando de 2 a -30 |
//| |
//| - acelVenda [aceleracao da velocidade de venda, ou vendas] |
//| - TERMOS: |
//| -vendaAcelerando de -2 a 30 |
//| -vendaMantendo de -2 a 2 |
//| -vendaFreiando de 2 a -30 |
//| |
//| VARIAVEL DE SAIDA: |
//| - risco [risco de abrir ou manter a posicao aberta] |
//| - TERMOS: |
//| -baixo de 0.0 a 0.3 |
//| -medio de 0.3 a 0.5 |
//| -alto de 0.5 a 1.0 |
//| --------------------------------------------|
//| REGRAS |
//| - C01 - if mercado estah comprador e compra estah acelerando e volVenda estah freiando then riscoCompra-01 |
//| - C02 - if mercado estah comprador e compra estah acelerando e volVenda estah acelerando then riscoCompra-02 |
//| - C03 - if mercado estah comprador e compra estah freiando e volVenda estah freiando then riscoCompra-02 |
//| - C04 - if mercado estah comprador e compra estah freiando e volVenda estah acelerando then riscoCompra-03 |
//| |
//| - V01 - if mercado estah vendedor e venda estah acelerando e volCompra estah freiando then riscoVenda-01 |
//| - V02 - if mercado estah vendedor e venda estah acelerando e volCompra estah acelerando then riscoVenda-02 |
//| - V03 - if mercado estah vendedor e venda estah freiando e volCompra estah freiando then riscoVenda-02 |
//| - V04 - if mercado estah vendedor e venda estah freiando e volCompra estah acelerando then riscoVenda-03 |
//| |
//+--------------------------------------------------------------------------------------------------------------+
#property copyright "2020, Oficina de Software."
#property link "http://www.os.net"
#include <Math\Fuzzy\mamdanifuzzySystem.mqh>
#include <oslib\osc-estatistic2.mqh>
class C0001FuzzyModel{
private:
double m_minVL;// = -500; // velocidade do volume minima
double m_maxVL;// = +500; // velocidade do volume maxima
double m_minA ;// = -15 ; // aceleracao de volume de compta ou venda minima
double m_maxA ;// = +15 ; // aceleracao de volume de compta ou venda maxima
CMamdaniFuzzySystem *m_fsMercado;
CFuzzyVariable *m_inputMercado ;
CFuzzyVariable *m_inputVolCompra ;
CFuzzyVariable *m_inputVolVenda ;
CFuzzyVariable *m_inputAcelLiq ;
CFuzzyVariable *m_outputRiscoCompra;
CFuzzyVariable *m_outputRiscoVenda ;
CDictionary_Obj_Double *m_dictMercado ;
CDictionary_Obj_Double *m_dictAcelCompra ;
CDictionary_Obj_Double *m_dictAcelVenda ;
CDictionary_Obj_Double *m_dictAcelLiq ;
CDictionary_Obj_Double *m_dictRiscoCompra;
CDictionary_Obj_Double *m_dictRiscoVenda ;
CList *m_inputs, *m_outputs;
CMamdaniFuzzyRule *m_ruleRiscoCompra1;
CMamdaniFuzzyRule *m_ruleRiscoCompra2;
CMamdaniFuzzyRule *m_ruleRiscoCompra3;
CMamdaniFuzzyRule *m_ruleRiscoCompra4;
CMamdaniFuzzyRule *m_ruleRiscoCompra5;
CMamdaniFuzzyRule *m_ruleRiscoCompra6;
CMamdaniFuzzyRule *m_ruleRiscoVenda1 ;
CMamdaniFuzzyRule *m_ruleRiscoVenda2 ;
CMamdaniFuzzyRule *m_ruleRiscoVenda3 ;
CMamdaniFuzzyRule *m_ruleRiscoVenda4 ;
CMamdaniFuzzyRule *m_ruleRiscoVenda5 ;
CMamdaniFuzzyRule *m_ruleRiscoVenda6 ;
double m_topVelLiq , m_indVelLiq ,
m_topAcelVol, m_indAcelVol;
double normalizarVelLiq (double _velLiq);
double normalizarAcelVol(double _velLiq);
protected:
public:
~C0001FuzzyModel() {deletarModelo();};
void initialize();
void compilarModelo();
void deletarModelo();
void CalcularRisco( double _velLiq, double _acelCompra, double _acelVenda, double &_riscoVenda, double &_riscoCompra);
void CalcularRisco( osc_estatistic2 &_est2, double &_riscoVenda, double &_riscoCompra );
};
// -1000 +1000
// -1 +1
//
// ind = 1 -(-1 )
// -------------
// 1000 -(-1000)
double C0001FuzzyModel::normalizarVelLiq (double _velLiq){
if( _velLiq > m_maxVL ) return m_maxVL;
if( _velLiq < m_minVL ) return m_minVL;
double absVelLiq = MathAbs(_velLiq);
if( absVelLiq > m_topVelLiq ){
double indVelLiq = ( m_maxVL - m_minVL )
/
( absVelLiq - absVelLiq );
Print(__FUNCTION__, " Novo topo velLiq recebido!! Anterior=",m_topVelLiq, " novo=",absVelLiq);
Print(__FUNCTION__, " Recalculado indice normalizacao velLiq!! Anterior=",m_indVelLiq, " novo=",indVelLiq);
m_topVelLiq = absVelLiq;
m_indVelLiq = indVelLiq;
}
return _velLiq*m_indVelLiq;
}
double C0001FuzzyModel::normalizarAcelVol (double _acelVol){
if( _acelVol > m_maxA ) return m_maxA;
if( _acelVol < m_minA ) return m_minA;
double absAcelVol = MathAbs(_acelVol);
if( absAcelVol > m_topAcelVol ){
double indAcelVol = ( m_maxA - m_minA )
/
( absAcelVol - absAcelVol );
Print(__FUNCTION__, " Novo topo AcelVol recebido!! Anterior=",m_topAcelVol, " novo=",absAcelVol);
Print(__FUNCTION__, " Recalculado indice normalizacao AcelVol!! Anterior=",m_indAcelVol, " novo=",indAcelVol);
m_topAcelVol = absAcelVol;
m_indAcelVol = indAcelVol;
}
return _acelVol*m_indAcelVol;
}
void C0001FuzzyModel::initialize(){
m_minVL = -800;
m_maxVL = +800;
m_minA = -40 ;
m_maxA = +40 ;
m_topAcelVol = m_maxA ; m_indAcelVol = 1;
m_topVelLiq = m_maxVL; m_indVelLiq = 1;
compilarModelo();
}
void C0001FuzzyModel::deletarModelo(){
delete m_fsMercado;
delete m_inputMercado ;
delete m_inputVolCompra ;
delete m_inputVolVenda ;
delete m_inputAcelLiq ;
delete m_outputRiscoCompra;
delete m_outputRiscoVenda ;
delete m_dictMercado ;
delete m_dictAcelCompra ;
delete m_dictAcelVenda ;
delete m_dictAcelLiq ;
delete m_dictRiscoCompra;
delete m_dictRiscoVenda ;
delete m_inputs ;
delete m_outputs;
delete m_ruleRiscoCompra1;
delete m_ruleRiscoCompra2;
delete m_ruleRiscoCompra3;
delete m_ruleRiscoCompra4;
delete m_ruleRiscoCompra5;
delete m_ruleRiscoCompra6;
delete m_ruleRiscoVenda1 ;
delete m_ruleRiscoVenda2 ;
delete m_ruleRiscoVenda3 ;
delete m_ruleRiscoVenda4 ;
delete m_ruleRiscoVenda5 ;
delete m_ruleRiscoVenda6 ;
}
//+---------------------------------------------------------------------------------------+
//| |
//| Compila o modelo fuzzy para tratamento de volume de agressoes. |
//| |
//+---------------------------------------------------------------------------------------+
void C0001FuzzyModel::compilarModelo(){
m_inputs = new CList();
//1. criando o ponteiro para o modelo...
//Print(__FUNCSIG__," criando o ponteiro para o modelo...");
m_fsMercado=new CMamdaniFuzzySystem();
//2. criando as variaveis
//Print(__FUNCSIG__," criando variaveis...");
m_inputMercado =new CFuzzyVariable("mercado" ,m_minVL,m_maxVL );
m_inputVolCompra =new CFuzzyVariable("volCompra" ,m_minA ,m_maxA );
m_inputVolVenda =new CFuzzyVariable("volVenda" ,m_minA ,m_maxA );
m_inputAcelLiq =new CFuzzyVariable("acelLiq" ,m_minA ,m_maxA );
m_outputRiscoCompra=new CFuzzyVariable("riscoCompra",0 ,1 );
m_outputRiscoVenda =new CFuzzyVariable("riscoVenda" ,0 ,1 );
//Print(__FUNCSIG__," criando termos para usar posteriormente no calculo...");
m_dictMercado =new CDictionary_Obj_Double;
m_dictAcelCompra =new CDictionary_Obj_Double;
m_dictAcelVenda =new CDictionary_Obj_Double;
m_dictAcelLiq =new CDictionary_Obj_Double;
//m_dictRiscoCompra=new CDictionary_Obj_Double;
//m_dictRiscoVenda =new CDictionary_Obj_Double;
//Print(__FUNCSIG__," criando termos e adicionando a variavel input m_inputMercado...");
m_inputMercado.Terms().Add(new CFuzzyTerm ("vendedor" , new CZ_ShapedMembershipFunction(m_minVL ,m_maxVL*0.1)));
m_inputMercado.Terms().Add(new CFuzzyTerm ("neutro" , new CNormalMembershipFunction ( 0 ,m_maxVL*0.1)));
m_inputMercado.Terms().Add(new CFuzzyTerm ("comprador", new CS_ShapedMembershipFunction(m_minVL*0.1,m_maxVL )));
m_fsMercado.Input().Add(m_inputMercado);
//Print(__FUNCSIG__," criando termos e adicionando a variavel input m_inputVolCompra...");
m_inputVolCompra.Terms().Add(new CFuzzyTerm("freiando" , new CZ_ShapedMembershipFunction(m_minA , m_maxA*0.1)));
m_inputVolCompra.Terms().Add(new CFuzzyTerm("mantendo" , new CNormalMembershipFunction ( 0 , m_maxA*0.1)));
m_inputVolCompra.Terms().Add(new CFuzzyTerm("acelerando", new CS_ShapedMembershipFunction(m_minA*0.1, m_maxA )));
m_fsMercado.Input().Add(m_inputVolCompra);
//Print(__FUNCSIG__," criando termos e adicionando a variavel input m_inputVolVenda...");
m_inputVolVenda.Terms().Add(new CFuzzyTerm ("freiando" , new CZ_ShapedMembershipFunction(m_minA , m_maxA*0.1)));
m_inputVolVenda.Terms().Add(new CFuzzyTerm ("mantendo" , new CNormalMembershipFunction ( 0 , m_maxA*0.1)));
m_inputVolVenda.Terms().Add(new CFuzzyTerm ("acelerando", new CS_ShapedMembershipFunction(m_minA*0.1, m_maxA )));
m_fsMercado.Input().Add(m_inputVolVenda);
//Print(__FUNCSIG__," criando termos e adicionando a variavel input m_inputAcelLiq...");
m_inputAcelLiq.Terms().Add(new CFuzzyTerm ("positiva", new CZ_ShapedMembershipFunction (m_minA ,m_maxA*0.1)));
m_inputAcelLiq.Terms().Add(new CFuzzyTerm ("neutra" , new CNormalMembershipFunction ( 0 ,m_maxA*0.1)));
m_inputAcelLiq.Terms().Add(new CFuzzyTerm ("negativa", new CS_ShapedMembershipFunction (m_minA*0.1,m_maxA )));
m_fsMercado.Input().Add(m_inputAcelLiq);
//m_outputRiscoCompra.Terms().Add(new CFuzzyTerm ("baixo", new CZ_ShapedMembershipFunction(0.0, 0.6)));//0-1-2-3-4-5-6
//m_outputRiscoCompra.Terms().Add(new CFuzzyTerm ("medio", new CNormalMembershipFunction (0.5, 0.1)));// 4-5-6
//m_outputRiscoCompra.Terms().Add(new CFuzzyTerm ("alto" , new CS_ShapedMembershipFunction(0.4, 1.0)));// 4-5-6-7-8-9-10
m_outputRiscoCompra.Terms().Add(new CFuzzyTerm ("muitobaixo", new CZ_ShapedMembershipFunction(0.0, 0.3))); //0-1-2-3
m_outputRiscoCompra.Terms().Add(new CFuzzyTerm ("baixo" , new CNormalMembershipFunction (0.4, 0.1))); // 3-4-5
m_outputRiscoCompra.Terms().Add(new CFuzzyTerm ("medio" , new CNormalMembershipFunction (0.5, 0.1))); // 4-5-6
m_outputRiscoCompra.Terms().Add(new CFuzzyTerm ("alto" , new CS_ShapedMembershipFunction(0.6, 1.0))); // 6-7-8-9-10
m_fsMercado.Output().Add(m_outputRiscoCompra);
//m_outputRiscoVenda.Terms().Add(new CFuzzyTerm ("baixo", new CZ_ShapedMembershipFunction(0.0, 0.6)));//0-1-2-3-4-5-6
//m_outputRiscoVenda.Terms().Add(new CFuzzyTerm ("medio", new CNormalMembershipFunction (0.5, 0.1)));// 4-5-6
//m_outputRiscoVenda.Terms().Add(new CFuzzyTerm ("alto" , new CS_ShapedMembershipFunction(0.4, 1.0)));// 4-5-6-7-8-9-10
m_outputRiscoVenda.Terms().Add(new CFuzzyTerm ("muitobaixo", new CZ_ShapedMembershipFunction(0.0, 0.3))); //0-1-2-3
m_outputRiscoVenda.Terms().Add(new CFuzzyTerm ("baixo" , new CNormalMembershipFunction (0.4, 0.1))); // 3-4-5
m_outputRiscoVenda.Terms().Add(new CFuzzyTerm ("medio" , new CNormalMembershipFunction (0.5, 0.1))); // 4-5-6
m_outputRiscoVenda.Terms().Add(new CFuzzyTerm ("alto" , new CS_ShapedMembershipFunction(0.6, 1.0))); // 6-7-8-9-10
m_fsMercado.Output().Add(m_outputRiscoVenda);
//| - C01 - if mercado estah comprador e compra estah acelerando e volVenda estah freiando then riscoCompra-01 |
//| - C02 - if mercado estah comprador e compra estah acelerando e volVenda estah acelerando then riscoCompra-02 |
//| - C03 - if mercado estah comprador e compra estah freiando e volVenda estah freiando then riscoCompra-02 |
//| - C04 - if mercado estah comprador e compra estah freiando e volVenda estah acelerando then riscoCompra-03 |
//Print(__FUNCSIG__," criando regras para a variavel de saida riscoCompra...");
m_ruleRiscoCompra1 = m_fsMercado.ParseRule("if (mercado is comprador) and (volCompra is acelerando) and (volVenda is freiando ) then (riscoCompra is baixo)");
m_ruleRiscoCompra2 = m_fsMercado.ParseRule("if (mercado is comprador) and (volCompra is acelerando) and (volVenda is acelerando) then (riscoCompra is medio)");
m_ruleRiscoCompra3 = m_fsMercado.ParseRule("if (mercado is comprador) and (volCompra is freiando ) and (volVenda is freiando ) then (riscoCompra is medio)");
m_ruleRiscoCompra4 = m_fsMercado.ParseRule("if (mercado is comprador) and (volCompra is freiando ) and (volVenda is acelerando) then (riscoCompra is alto )");
m_ruleRiscoCompra5 = m_fsMercado.ParseRule("if (mercado is vendedor ) then (riscoCompra is alto )");
m_ruleRiscoCompra6 = m_fsMercado.ParseRule("if (mercado is comprador) and (volCompra is acelerando) and (volVenda is freiando ) and (acelLiq is positiva) then (riscoCompra is muitobaixo)");
//acelLiq
//| - V01 - if mercado estah vendedor e venda estah acelerando e volCompra estah freiando then riscoVenda-01 |
//| - V02 - if mercado estah vendedor e venda estah acelerando e volCompra estah acelerando then riscoVenda-02 |
//| - V03 - if mercado estah vendedor e venda estah freiando e volCompra estah freiando then riscoVenda-02 |
//| - V04 - if mercado estah vendedor e venda estah freiando e volCompra estah acelerando then riscoVenda-03 |
//Print(__FUNCSIG__," criando regras para a variavel de saida riscoVenda...");
m_ruleRiscoVenda1 = m_fsMercado.ParseRule ("if (mercado is vendedor ) and (volVenda is acelerando) and (volCompra is freiando ) then (riscoVenda is baixo)");
m_ruleRiscoVenda2 = m_fsMercado.ParseRule ("if (mercado is vendedor ) and (volVenda is acelerando) and (volCompra is acelerando) then (riscoVenda is medio)");
m_ruleRiscoVenda3 = m_fsMercado.ParseRule ("if (mercado is vendedor ) and (volVenda is freiando ) and (volCompra is freiando ) then (riscoVenda is medio)");
m_ruleRiscoVenda4 = m_fsMercado.ParseRule ("if (mercado is vendedor ) and (volVenda is freiando ) and (volCompra is acelerando) then (riscoVenda is alto )");
m_ruleRiscoVenda5 = m_fsMercado.ParseRule ("if (mercado is comprador ) then (riscoVenda is alto )");
m_ruleRiscoVenda6 = m_fsMercado.ParseRule ("if (mercado is vendedor ) and (volVenda is acelerando) and (volCompra is freiando ) and (acelLiq is negativa) then (riscoVenda is muitobaixo)");
//Print(__FUNCSIG__," adicionando regras ao sistema m_fsMercado...");
m_fsMercado.Rules().Add(m_ruleRiscoCompra1);
m_fsMercado.Rules().Add(m_ruleRiscoCompra2);
m_fsMercado.Rules().Add(m_ruleRiscoCompra3);
m_fsMercado.Rules().Add(m_ruleRiscoCompra4);
m_fsMercado.Rules().Add(m_ruleRiscoCompra5);
m_fsMercado.Rules().Add(m_ruleRiscoCompra6);
m_fsMercado.Rules().Add(m_ruleRiscoVenda1 );
m_fsMercado.Rules().Add(m_ruleRiscoVenda2 );
m_fsMercado.Rules().Add(m_ruleRiscoVenda3 );
m_fsMercado.Rules().Add(m_ruleRiscoVenda4 );
m_fsMercado.Rules().Add(m_ruleRiscoVenda5 );
m_fsMercado.Rules().Add(m_ruleRiscoVenda6 );
}
void C0001FuzzyModel::CalcularRisco( osc_estatistic2 &_est2, double &_riscoVenda, double &_riscoCompra ){
CalcularRisco(_est2.getVolTradeLiqPorSeg(),
_est2.getAceVolBuy (),
_est2.getAceVolSel (),
_riscoVenda ,
_riscoCompra );
}
void C0001FuzzyModel::CalcularRisco( double _velLiq, double _acelCompra, double _acelVenda, double &_riscoVenda, double &_riscoCompra){
deletarModelo();
compilarModelo(); //<TODO> CORRIGIR para nao necessitar compilar a cada calculo do risco.
m_dictMercado .SetAll( m_inputMercado , normalizarVelLiq (_velLiq ) );
m_dictAcelCompra.SetAll( m_inputVolCompra, normalizarAcelVol(_acelCompra ) );
m_dictAcelVenda .SetAll( m_inputVolVenda , normalizarAcelVol(_acelVenda ) );
m_dictAcelLiq .SetAll( m_inputAcelLiq , normalizarAcelVol(_acelCompra-_acelVenda ) );
m_inputs.Clear();
m_inputs.Add(m_dictMercado );
m_inputs.Add(m_dictAcelCompra);
m_inputs.Add(m_dictAcelVenda );
m_inputs.Add(m_dictAcelLiq );
m_outputs=m_fsMercado.Calculate(m_inputs);
m_dictRiscoCompra = m_outputs.GetNodeAtIndex(0);
m_dictRiscoVenda = m_outputs.GetNodeAtIndex(1);
_riscoCompra = m_dictRiscoCompra.Value();
_riscoVenda = m_dictRiscoVenda.Value();
//delete outputs;
//delete m_outputs;
//delete m_dictRiscoCompra;
//delete m_dictRiscoVenda;
return;
}
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