DecisionTree.mq4

DecisionTree.mq4

//+------------------------------------------------------------------+
//|                                                 DecisionTree.mq4 |
//|                        Copyright 2016, MetaQuotes Software Corp. |
//|                                             https://www.mql5.com |
//+------------------------------------------------------------------+
#property copyright "Copyright 2016, MetaQuotes Software Corp."
#property link      "https://www.mql5.com"
#property version   "1.00"
//#property strict

#define MAGIC 20160806
#include <OTMql4/OTLibPyLog.mqh> 
#include <OTMql4/OTLibPy27.mqh>
#include <WinUser32.mqh>
#include <OTMql4/OTLibLog.mqh>

extern int theNumberOfTrainData = 29;
extern int theNumberOfTrainAndKyoushiSet = 26;
extern int studyTrialTimes = 200;
extern int    Slippage=2;
extern double Lots=1;
extern string sStdOutFile="../../Logs/_DecisionTree.txt";

void vPanic(string uReason) {
    //"A panic prints an error message and then aborts";
    vError("PANIC: " + uReason);
    MessageBox(uReason, "PANIC!", MB_OK|MB_ICONEXCLAMATION);
    ExpertRemove();
}

//+------------------------------------------------------------------+
//   BUYポジションをクローズする
//+------------------------------------------------------------------+
void Close_Buy_Positions()
{
   int res; 
   for(int i=OrdersTotal()-1; i>=0; i--) //オ-ダ-番号は0からOrdersTotal()-1まである
   {
      if(OrderSelect(i,SELECT_BY_POS,MODE_TRADES)==false)continue;
      if(OrderMagicNumber()!=MAGIC || OrderSymbol()!=Symbol())continue;
      if(OrderType()==OP_BUY)
         {  
               res=OrderClose(OrderTicket(),OrderLots(),Bid,Slippage,OrangeRed);
               continue;
         }
   }
}

//+------------------------------------------------------------------+
//   SELLポジションをクローズする
//+------------------------------------------------------------------+
void Close_Sell_Positions()
{  
   int res;
   for(int i=OrdersTotal()-1; i>=0; i--) //オ-ダ-番号は0からOrdersTotal()-1まである
   {
      if(OrderSelect(i,SELECT_BY_POS,MODE_TRADES)==false)continue;
      if(OrderMagicNumber()!=MAGIC || OrderSymbol()!=Symbol())continue;
      if(OrderType()==OP_SELL)
         {
               res=OrderClose(OrderTicket(),OrderLots(),Ask,Slippage,OrangeRed);
               continue;
         }
   }
}

//+------------------------------------------------------------------+
//   BUYポジションをカウントする
//+------------------------------------------------------------------+
int Count_Buy_Positions()
{  
   int buyPositionNumber=0;
   
   for(int i=OrdersTotal()-1; i>=0; i--) //オ-ダ-番号は0からOrdersTotal()-1まである
   {
      if(OrderSelect(i,SELECT_BY_POS,MODE_TRADES)==false)continue;
      if(OrderMagicNumber()!=MAGIC || OrderSymbol()!=Symbol())continue;
      if(OrderType()==OP_BUY)
         {  
               buyPositionNumber++;
               continue;
         }
   }
   return (buyPositionNumber);
}

//+------------------------------------------------------------------+
//| SELLポジションをカウント
//+------------------------------------------------------------------+
int Count_Sell_Positions()
{ 
   int sellPositionNumber=0;
   for(int i=OrdersTotal()-1; i>=0; i--) //オ-ダ-番号は0からOrdersTotal()-1まである
   {
      if(OrderSelect(i,SELECT_BY_POS,MODE_TRADES)==false)continue;
      if(OrderMagicNumber()!=MAGIC || OrderSymbol()!=Symbol())continue;
      if(OrderType()==OP_SELL)
         {
               sellPositionNumber++;
               continue;
         }
   }
   return (sellPositionNumber);
}

//+------------------------------------------------------------------+
//| Expert initialization function                                   |
//+------------------------------------------------------------------+
int OnInit()
  {
//---
    int iRetval;
    string uArg, uRetval;

    iRetval = iPyInit(sStdOutFile);
    if (iRetval != 0) {
        return(iRetval);
    }
    Print("Called iPyInit");
//---
   return(INIT_SUCCEEDED);
  }
//+------------------------------------------------------------------+
//| Expert deinitialization function                                 |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
  {
//---
   vPyDeInit();
  }
//+------------------------------------------------------------------+
//| Expert tick function                                             |
//+------------------------------------------------------------------+
void OnTick()
  {
//---
   
   if(Volume[0]>1 || IsTradeAllowed()==false) return;

   int res;
   int maxbars;
   double upOrDownRatio;
   double data[];
   maxbars=theNumberOfTrainData+theNumberOfTrainAndKyoushiSet;

   ArrayResize(data, maxbars);
   for (int i=0; i < maxbars; i++){
      data[i] = (Open[i] - Open[i + 1]) / Open[i + 1];
   }
   
   iPySafeExec("import numpy as np");
   iPySafeExec("from sklearn import tree");
   iPySafeExec("data = []");
   iPyListAppendDouble("data", data);
   
   iPySafeExec("theNumberOfTrainData = "+theNumberOfTrainData);
   iPySafeExec("theNumberOfTrainAndKyoushiSet = " + theNumberOfTrainAndKyoushiSet);
   iPySafeExec("studyTrialTimes  = " + studyTrialTimes);
   
   iPySafeExec("train_X = []");
   iPySafeExec("train_y = []");
   iPySafeExec("for i in range(0, theNumberOfTrainAndKyoushiSet):\n   train_X.append(data[1 + i:theNumberOfTrainData + 1 + i])\n   train_y.append(int(0 < data[i]))");
   
   iPySafeExec("X = [data[0:theNumberOfTrainData]]");
   iPySafeExec("y_PredictionTommorow = []");   
   iPySafeExec("for i in range(0, studyTrialTimes):\n   clf = tree.DecisionTreeClassifier()\n   clf.fit(train_X, train_y)\n   y_PredictionTommorow.append(clf.predict(X))");
                  
   iPySafeExec("upOrDownRatio = float(sum(y_PredictionTommorow) * 1.0 / len(y_PredictionTommorow))");
   
   upOrDownRatio=fPyEvalDouble("upOrDownRatio");
   
   Print("upOrDownRatio:" + upOrDownRatio);
   
   if(upOrDownRatio>=0.5)//上昇シグナル発生時
   {
      if(Count_Buy_Positions()==0)
      {
         res=OrderSend(Symbol(),OP_BUY,Lots,Ask,Slippage,0,0,"",MAGIC,0,Blue);
      }
   }
   else//下降シグナル発生時
   {
      Close_Sell_Positions();
      Close_Buy_Positions();
      //res=OrderSend(Symbol(),OP_SELL,Lots,Bid,Slippage,0,0,"",MAGIC,0,Red);
   }
  }
//+------------------------------------------------------------------+