249 lines
20 KiB
MQL5
249 lines
20 KiB
MQL5
//+------------------------------------------------------------------+
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//| perceptron_test.mq5 |
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//| Copyright 2021, MetaQuotes Ltd. |
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//| https://www.mql5.com |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2021, MetaQuotes Ltd."
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#property link "https://www.mql5.com"
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#property version "1.00"
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#property script_show_inputs
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//+------------------------------------------------------------------+
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//| External parameters for script operation |
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//+------------------------------------------------------------------+
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input string StudyFileName = "study_data.csv"; // Name of file with the training dataset
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input string OutputFileName = "loss_study.csv"; // File name to write error dynamics
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input int BarsToLine = 40; // Number of historical bars in one pattern
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input int NeuronsToBar = 4; // Number of input layer neurons per 1 bar
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input bool UseOpenCL = false; // Use of OpenCL
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input int BatchSize = 10000; // Batch size to update the weight matrix
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input double LearningRate = 3e-5; // Learning rate
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input int HiddenLayers = 1; // Number of hidden layers
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input int HiddenLayer = 40; // Number of neurons in one hidden layer
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input int Epochs = 100; // Number of wight matrix update iterations
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//+------------------------------------------------------------------+
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//| Connect the neural network library |
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//+------------------------------------------------------------------+
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#include "..\..\Include\realization\neuronnet.mqh"
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//+------------------------------------------------------------------+
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//| Script program start |
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//+------------------------------------------------------------------+
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void OnStart(void)
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{
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//--- prepare vector for storing the history of network errors
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VECTOR loss_history = VECTOR::Zeros(Epochs);
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//--- 1. Model initialization
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CNet net;
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if(!NetworkInitialize(net))
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return;
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//--- 2. Loading training set data
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CArrayObj data;
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CArrayObj targets;
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if(!LoadTrainingData(StudyFileName, data, targets))
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return;
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//--- 3. Training the model
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if(!NetworkFit(net, data, targets, loss_history))
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return;
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//--- 4. Saving model error history
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SaveLossHistory(OutputFileName, loss_history);
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//--- 5. Saving the resulting model
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net.Save("Study.net");
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Print("Done");
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}
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//+------------------------------------------------------------------+
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//| Load training data |
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//+------------------------------------------------------------------+
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bool LoadTrainingData(string path, CArrayObj &data, CArrayObj &targets)
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{
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CBufferType *pattern;
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CBufferType *target;
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//--- open the file with the training dataset
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int handle = FileOpen(path, FILE_READ | FILE_CSV | FILE_ANSI | FILE_SHARE_READ, ",", CP_UTF8);
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if(handle == INVALID_HANDLE)
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{
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PrintFormat("Error of open study data file: %d", GetLastError());
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return false;
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}
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//--- display the progress of loading training data in the chart comment
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uint next_comment_time = 0;
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enum
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{
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OutputTimeout = 250 // no more than 1 time every 250 milliseconds
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};
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//--- organize loop to load training dataset
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while(!FileIsEnding(handle) && !IsStopped())
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{
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if(!(pattern = new CBufferType()))
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{
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PrintFormat("Error creating Pattern data array: %d", GetLastError());
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return false;
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}
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if(!pattern.BufferInit(1, NeuronsToBar * BarsToLine))
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return false;
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if(!(target = new CBufferType()))
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{
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PrintFormat("Error creating Pattern Target array: %d", GetLastError());
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return false;
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}
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if(!target.BufferInit(1, 2))
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return false;
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for(int i = 0; i < NeuronsToBar * BarsToLine; i++)
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pattern.m_mMatrix[0, i] = (TYPE)FileReadNumber(handle);
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for(int i = 0; i < 2; i++)
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target.m_mMatrix[0, i] = (TYPE)FileReadNumber(handle);
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if(!data.Add(pattern))
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{
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PrintFormat("Error adding training data to array: %d", GetLastError());
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return false;
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}
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if(!targets.Add(target))
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{
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PrintFormat("Error adding training data to array: %d", GetLastError());
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return false;
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}
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//--- show loading progress in the chart comment (no more than 1 time every 250 milliseconds)
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if(next_comment_time < GetTickCount())
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{
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Comment(StringFormat("Patterns loaded: %d", data.Total()));
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next_comment_time = GetTickCount() + OutputTimeout;
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}
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}
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FileClose(handle);
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return(true);
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}
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//+------------------------------------------------------------------+
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//| Initializing the network architecture |
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//+------------------------------------------------------------------+
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bool CreateLayersDesc(CArrayObj &layers)
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{
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//--- create input data layer
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CLayerDescription *descr;
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if(!(descr = new CLayerDescription()))
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{
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PrintFormat("Error creating CLayerDescription: %d", GetLastError());
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return false;
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}
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descr.type = defNeuronBase;
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descr.count = NeuronsToBar * BarsToLine;
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descr.window = 0;
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descr.activation = AF_NONE;
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descr.optimization = None;
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if(!layers.Add(descr))
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{
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PrintFormat("Error adding layer: %d", GetLastError());
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return false;
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}
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//--- hidden layer
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if(!(descr = new CLayerDescription()))
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{
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PrintFormat("Error creating CLayerDescription: %d", GetLastError());
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return false;
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}
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descr.type = defNeuronBase;
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descr.count = HiddenLayer;
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descr.activation = AF_SWISH;
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descr.optimization = Adam;
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descr.activation_params[0] = 1;
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for(int i = 0; i < HiddenLayers; i++)
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if(!layers.Add(descr))
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{
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PrintFormat("Error adding layer: %d", GetLastError());
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return false;
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}
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//--- results layer
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if(!(descr = new CLayerDescription()))
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{
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PrintFormat("Error creating CLayerDescription: %d", GetLastError());
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return false;
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}
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descr.type = defNeuronBase;
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descr.count = 2;
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descr.activation = AF_LINEAR;
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descr.optimization = Adam;
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descr.activation_params[0] = 1;
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if(!layers.Add(descr))
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{
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PrintFormat("Error adding layer: %d", GetLastError());
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return false;
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}
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return true;
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}
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//+------------------------------------------------------------------+
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//| Model initialization |
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//+------------------------------------------------------------------+
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bool NetworkInitialize(CNet &net)
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{
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CArrayObj layers;
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//--- create a description of the network layers
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if(!CreateLayersDesc(layers))
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return false;
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//--- initialize the network
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if(!net.Create(&layers, (TYPE)LearningRate, (TYPE)0.9, (TYPE)0.999, LOSS_MSE, 0, 0))
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{
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PrintFormat("Error of init Net: %d", GetLastError());
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return false;
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}
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net.UseOpenCL(UseOpenCL);
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net.LossSmoothFactor(BatchSize);
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return true;
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}
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//+------------------------------------------------------------------+
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//| Model training |
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//+------------------------------------------------------------------+
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bool NetworkFit(CNet &net, const CArrayObj &data, const CArrayObj &target, VECTOR &loss_history)
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{
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//--- training
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int patterns = data.Total();
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//--- loop through epochs
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for(int epoch = 0; epoch < Epochs; epoch++)
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{
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ulong ticks = GetTickCount64();
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//--- train in batches
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for(int i = 0; i < BatchSize; i++)
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{
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//--- check if training stopped
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if(IsStopped())
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{
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Print("Network fitting stopped by user");
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return true;
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}
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//--- select a random pattern
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int k = (int)((double)(MathRand() * MathRand()) / MathPow(32767.0, 2) * patterns);
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if(!net.FeedForward(data.At(k)))
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{
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PrintFormat("Error in FeedForward: %d", GetLastError());
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return false;
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}
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if(!net.Backpropagation(target.At(k)))
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{
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PrintFormat("Error in Backpropagation: %d", GetLastError());
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return false;
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}
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}
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//--- reconfigure network weights
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net.UpdateWeights(BatchSize);
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printf("Use OpenCL %s, epoch %d, time %.5f sec", (string)UseOpenCL, epoch, (GetTickCount64() - ticks) / 1000.0);
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//--- report about a completed epoch
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TYPE loss = net.GetRecentAverageLoss();
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Comment(StringFormat("Epoch %d, error %.5f", epoch, loss));
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//--- remember the epoch error for saving to a file
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loss_history[epoch] = loss;
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}
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return true;
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}
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//+------------------------------------------------------------------+
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//| Save the history of network errors |
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//+------------------------------------------------------------------+
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void SaveLossHistory(string path, const VECTOR &loss_history)
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{
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int handle = FileOpen(OutputFileName, FILE_WRITE | FILE_CSV | FILE_ANSI, ",", CP_UTF8);
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if(handle == INVALID_HANDLE)
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PrintFormat("Error creating loss file: %d", GetLastError());
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else
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{
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for(ulong i = 0; i < loss_history.Size(); i++)
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FileWrite(handle, loss_history[i]);
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FileClose(handle);
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PrintFormat("The dynamics of the error change is saved to a file %s\\MQL5\\Files\\%s", TerminalInfoString(TERMINAL_DATA_PATH), OutputFileName);
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}
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}
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//+------------------------------------------------------------------+
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