Warrior_EA/System/ManagementNet.mqh

//+------------------------------------------------------------------+
//|                                                    ManagementNet.mqh |
//|                                                     AnimateDread |
//|                                                                  |
//| THE ONE QUESTION NO RULE COULD ANSWER.                            |
//|                                                                   |
//| A trade is +0.5R in front. Does it run to target, or give it all  |
//| back to the stop?                                                 |
//|                                                                   |
//| Measured on 9,770 resolved firings: 46.0% continue to +2R, 54.0%  |
//| retrace. A balanced label on a large sample, and a PERFECT caller |
//| would be worth +0.540 R per firing - against a pooled deficit of  |
//| -0.13 to -0.18 R. A quarter of it flips the sign of the strategy. |
//|                                                                   |
//| WHY A MODEL AND NOT A RULE. Three rules were tried and all three  |
//| lost money: an ATR trail (+150.67 -> +90.56, worse as it widened),|
//| a nearer target (-20.32), and a breakeven stop (-22.35 at +0.5R,  |
//| monotonically worse the earlier it fired). They fail for one      |
//| shared reason - a give-back and a pullback-before-a-run look      |
//| IDENTICAL at the moment you must act. That is a classification    |
//| problem wearing a rule's clothes, and a threshold on one number   |
//| cannot separate two populations that overlap on that number.      |
//|                                                                   |
//| ⚠ IT DOES NOT PREDICT DIRECTION, and that is the point. Direction |
//| was measured dead in this project at bar level (rho 0.00-0.02)    |
//| and every architecture thrown at it returned no information out   |
//| of sample. This asks a CONDITIONAL question - given the move has  |
//| already happened, does it extend or exhaust - which is a question |
//| about persistence and volatility, and volatility is the one thing |
//| here that has ever been predictable.                              |
//|                                                                   |
//| ⚠ AND IT TRAINS ON THE CROSSING, NOT ON THE ENTRY. The features   |
//| describe the bar where +0.5R was first touched: how fast it got   |
//| there, how much pain came first, what the market was doing at     |
//| that moment. Using the entry bar's state would be answering a     |
//| different question with the wrong evidence.                       |
//|                                                                   |
//| ⚠ maeR AS STORED IN THE JOURNAL IS LOOKAHEAD FOR THIS. It is the  |
//| worst excursion over the WHOLE trade, including after the         |
//| crossing, and it separates the two classes beautifully (0.51 vs   |
//| 1.21) precisely because it contains the answer. The adverse       |
//| excursion used here is measured only up TO the crossing bar.      |
//+------------------------------------------------------------------+
#ifndef WARRIOR_MANAGEMENT_NET_MQH
#define WARRIOR_MANAGEMENT_NET_MQH

#include "WarriorNet.mqh"

#define MGMT_FEATURES 10
//--- The crossing this model is asked about, in R. Matched to the measurement above.
#define MGMT_TRIGGER_R 0.5
//--- How long a virtual trade may stay open before it is abandoned unlabelled.
#define MGMT_HORIZON   60

class CManagementNet
  {
private:
   CWarriorNet       m_net;
   bool              m_ready;
   string            m_why;

public:
                     CManagementNet(void) : m_ready(false), m_why("not trained") {}
                    ~CManagementNet(void) {}

   bool              Ready(void) const { return m_ready; }
   string            Why(void)   const { return m_why;   }
   double            AUC(void)   const { return m_net.AUC(); }

   static string     FeatureName(const int i);
   //--- P(this trade continues to target). <0 when there is no usable model.
   double            Score(double &x[]) { return m_ready ? m_net.Score(x) : -1.0; }

   //--- TRAINED IN MEMORY, NEVER SERIALISED.
   //---
   //--- ALGLIB's MQL5 serializer under-allocates its output buffer and dies inside
   //--- CSerializer::Stop() - "array out of range in ap.mqh (1996,17)" - which killed three of four
   //--- H4 runs stone dead AFTER the model had trained and reported a perfectly good AUC. The same
   //--- family of bug already bit DFSerialize on compressed forests in this repo.
   //---
   //--- Nothing is lost by skipping it: the fit is deferred and walk-forward by design, so it is
   //--- rebuilt from history-so-far on every run regardless. A file would only be a cache of
   //--- something cheap, bought at the price of a crash.
   bool              Train(CMatrixDouble &xy, const int rows, const string &names[])
     {
      //--- Embargo = the horizon. A virtual trade is a 60-bar window; rows closer than that to the
      //--- boundary overlap the validation set's first rows. In the training matrix each ENTRY bar
      //--- contributes two rows (long and short), so one horizon of bars is two horizons of rows.
      m_ready = m_net.Train(xy, rows, MGMT_FEATURES, names, MGMT_HORIZON * 2);
      m_why   = m_net.Why();
      return m_ready;
     }
  };
//+------------------------------------------------------------------+
string CManagementNet::FeatureName(const int i)
  {
   switch(i)
     {
      //--- HOW IT GOT HERE. A move that reached +0.5R in one bar is a different animal from one
      //--- that ground there over fifteen, and nothing about the entry bar can express that.
      case 0: return "bars_to_cross";
      case 1: return "mae_before_cross_r";   // pain paid BEFORE the gain - never after it
      case 2: return "cross_speed_r_per_bar";
      //--- WHAT THE MARKET IS DOING AT THE CROSSING. Persistence is the whole question, and these
      //--- two are the direct measures of it: efficient and compounding, or cancelling.
      case 3: return "er_at_cross";
      case 4: return "vr_at_cross";
      case 5: return "regime_at_cross";
      //--- THE CROSSING BAR ITSELF. A wide bar closing at its extreme is an extension; a wide bar
      //--- closing mid-range is exhaustion, and they look the same in R.
      case 6: return "range_atr_at_cross";
      case 7: return "close_in_bar_at_cross";
      case 8: return "rvol_tod_at_cross";
      //--- Which way the trade is facing, so one model serves both sides rather than two models
      //--- each trained on half the data.
      case 9: return "is_long";
     }
   return "?";
  }
#endif // WARRIOR_MANAGEMENT_NET_MQH