SVM_EA_2sig_v02

//+------------------------------------------------------------------+
//|                                                   SVM_EA_v06.mq4 |
//|                      Copyright © 2007, MetaQuotes Software Corp. |
//|                                        http://www.metaquotes.net |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2007, MetaQuotes Software Corp."
#property link      "http://www.metaquotes.net"
#include <stdlib.mqh>
//#include <WinUser32.mqh>
#include <SVM_EA_inc.mqh>
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
#define NR_OF_SAMPLE_LINES   1000
#define NR_OF_TEST_LINES     200
#define NR_OF_TEST_BARS      10
#define NR_OF_ATTRIB         27
#define FUTURE_WINDOW        200

//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
extern int     TrainTimeFrame=PERIOD_M5;
extern int     TrainPeriod=PERIOD_M5;
extern int     PredictPeriod=PERIOD_M1;
extern int     StopLoss1=60;
extern int     TakeProfit1=60;
extern int     StopLoss2=80;
extern int     TakeProfit2=80;

extern double  Lots=0.1;
extern datetime BeginDate= D'2008.09.01 00:00';
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
int     MaxOrdersTotal1=1;
int     MaxOrdersTotal2=1;


int      myBars1;
int      myBars2;

int      MagicNumber1 = 1001;
int      MagicNumber2 = 1002;


double t[NR_OF_SAMPLE_LINES];
double c[NR_OF_SAMPLE_LINES];
double l[NR_OF_SAMPLE_LINES];
double h[NR_OF_SAMPLE_LINES];       
double ma5_M5[NR_OF_SAMPLE_LINES];
double ma10_M5[NR_OF_SAMPLE_LINES];
double ma15_M5[NR_OF_SAMPLE_LINES];
double ma5_H1[NR_OF_SAMPLE_LINES];
double ma10_H1[NR_OF_SAMPLE_LINES];
double ma15_H1[NR_OF_SAMPLE_LINES];
double ma5_H4[NR_OF_SAMPLE_LINES];
double ma10_H4[NR_OF_SAMPLE_LINES];
double ma15_H4[NR_OF_SAMPLE_LINES];

double _ma5_M5[NR_OF_TEST_LINES];
double _ma10_M5[NR_OF_TEST_LINES];
double _ma15_M5[NR_OF_TEST_LINES];
double _ma5_H1[NR_OF_TEST_LINES];
double _ma10_H1[NR_OF_TEST_LINES];
double _ma15_H1[NR_OF_TEST_LINES];
double _ma5_H4[NR_OF_TEST_LINES];
double _ma10_H4[NR_OF_TEST_LINES];
double _ma15_H4[NR_OF_TEST_LINES];

double ptr_predict_label_1[NR_OF_TEST_LINES];
double ptr_predict_label_2[NR_OF_TEST_LINES];


string file_name1="c:\\trade_model_dyn_3tf_1_.txt";
string file_name2="c:\\trade_model_dyn_3tf_2_.txt";


int NrTrainBars=NR_OF_SAMPLE_LINES;
int NrTestBars=NR_OF_TEST_LINES;   
int NrAttrib=NR_OF_ATTRIB;
int FutureWindow=FUTURE_WINDOW;
double Point1;

//+------------------------------------------------------------------+
//| expert initialization function                                   |
//+------------------------------------------------------------------+
int init()
  {
//----
   Point1=Point;
   _train_1();
//----
   return(0);
  }
//+------------------------------------------------------------------+
//| expert deinitialization function                                 |
//+------------------------------------------------------------------+
int deinit()
  {
//----
   
//----
   return(0);
  }
//+------------------------------------------------------------------+
//| expert start function                                            |
//+------------------------------------------------------------------+
int start()
  {
//----
 if (Time[0]<BeginDate) 
   {
    return(0);
   }
  
   if (isNewBar1(TrainPeriod))
   {  
      if(NrOrders(MagicNumber1 )<MaxOrdersTotal1)             
      { 
        init_train_bars();
        _train_1();   
      }       
      if(NrOrders(MagicNumber2 )<MaxOrdersTotal2)             
      {   
        init_train_bars();
        _train_2();
      
      }   

   if (isNewBar2(PredictPeriod))
   {
      if(NrOrders(MagicNumber1 )<MaxOrdersTotal1)             
      {    
        init_predict_bars1();
        _predict_1();   
        Trade(MagicNumber1,Lots,TakeProfit1,StopLoss1,ptr_predict_label_1,MagicNumber2);
      }
      if(NrOrders(MagicNumber2 )<MaxOrdersTotal2)             
      {   
        init_predict_bars2();
        _predict_2();   
        Trade(MagicNumber2,Lots,TakeProfit2,StopLoss2,ptr_predict_label_2,MagicNumber1);        
      }
   }       
 }
 
 
//----
   return(0);
  }

//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+

void Trade(int Magic,double Lots,int TP,int SL,double ptr_predict_label_[],int Magic_test)
{
       int res1=0;
/*       
       res1=ptr_predict_label_[0];
       Print("-->",res1);   
*/       

       int buy=0;
       int sell=0; 
       string s1="";
       for(int q=NR_OF_TEST_BARS;q>=0;q--)
       {       
         if (ptr_predict_label_[q]==1)
         {
           buy++;   
           s1=s1+"0";
         }  
         if (ptr_predict_label_[q]==-1)
         {
           sell++;              
           s1=s1+"1";
         }  
       }  
       if(buy>sell)
         res1=1;
       else if(buy<sell)
         res1=-1;
         
       int ot=OrderType1(Magic_test);          
       Print(Magic,"=",res1,"->",s1);              
       Print(Magic_test,"=",ot);              
      
       // Trade
 
       if (res1==-1) 
       {
           //if(ot>=0)    
             Sell(Magic,Lots,TP,SL );
       }  
       else if (res1==1) 
       {
          //if(ot<=0)     
           Buy(Magic,Lots,TP,SL );
       }  

}
  
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+

bool isNewBar1(int tf1)
  {
//----
   bool res=false;
   if (myBars1!=iBars(Symbol(),tf1))
   {
      res=true;
      myBars1=iBars(Symbol(),tf1);
   }   
//----
   return(res);
  }
  
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+

bool isNewBar2(int tf1)
  {
//----
   bool res=false;
   if (myBars2!=iBars(Symbol(),tf1))
   {
      res=true;
      myBars2=iBars(Symbol(),tf1);
   }   
//----
   return(res);
  }

//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+

int OrderType1(int Magic ) 
{
   int total = OrdersTotal();
   int nrLongs = 0;
   int nrShorts = 0;
   for(int cnt=0; cnt<total; cnt++) {
      OrderSelect(cnt, SELECT_BY_POS);
      if( OrderSymbol()!=Symbol() || OrderMagicNumber()!=Magic )
         continue;
      if (OrderType()==OP_BUY) nrLongs++;
      if (OrderType()==OP_SELL) nrShorts++;
   }
   if(nrLongs>nrShorts)
     return(1);
   else if(nrLongs<nrShorts) 
     return(-1);
   else if(nrLongs==nrShorts)   
     return(0); 
}
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+

int NrOrders(int Magic ) 
{
   int total = OrdersTotal();
   int nrLongs = 0;
   int nrShorts = 0;
   for(int cnt=0; cnt<total; cnt++) {
      OrderSelect(cnt, SELECT_BY_POS);
      if( OrderSymbol()!=Symbol() || OrderMagicNumber()!=Magic )
         continue;
      if (OrderType()==OP_BUY) nrLongs++;
      if (OrderType()==OP_SELL) nrShorts++;
   }
   return(nrLongs+nrShorts);
}
    
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+

void Buy(int Magic,double Lots,int TakeProfit, int StopLoss )
{
 
    int ticket=OrderSend(Symbol(),OP_BUY,Lots,Ask,3,Ask-StopLoss*Point,Ask+TakeProfit*Point,"SVM_EA",Magic,0,Green);
    if(ticket>0)
    {
      if(OrderSelect(ticket,SELECT_BY_TICKET,MODE_TRADES)) Print("BUY order opened : ",OrderOpenPrice());
    }
    else 
      Print("Error opening BUY order : ",GetLastError()); 
     
    
}

//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+

void Sell(int Magic,double Lots,int TakeProfit, int StopLoss )
{
    int ticket=OrderSend(Symbol(),OP_SELL,Lots,Bid,3,Bid+StopLoss*Point,Bid-TakeProfit*Point,"SVM_EA",Magic,0,Red);
    if(ticket>0)
    {
      if(OrderSelect(ticket,SELECT_BY_TICKET,MODE_TRADES)) Print("SELL order opened : ",OrderOpenPrice());
    }
    else 
      Print("Error opening SELL order : ",GetLastError()); 
   

}         

//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+

void init_train_bars()
{
   for(int i=0;i<NR_OF_SAMPLE_LINES;i++)
   {

      t[i]=iTime(NULL,TrainTimeFrame,i);
      c[i]=iClose(NULL,TrainTimeFrame,i);
      l[i]=iLow(NULL,TrainTimeFrame,i);
      h[i]=iHigh(NULL,TrainTimeFrame,i);
      
      ma5_M5[i]=iMA(NULL,PERIOD_M5,5,0,MODE_SMA,PRICE_CLOSE,i);
      ma10_M5[i]=iMA(NULL,PERIOD_M5,10,0,MODE_SMA,PRICE_CLOSE,i);
      ma15_M5[i]=iMA(NULL,PERIOD_M5,15,0,MODE_SMA,PRICE_CLOSE,i);  

      ma5_H1[i]=iMA(NULL,PERIOD_H1,5,0,MODE_SMA,PRICE_CLOSE,i);
      ma10_H1[i]=iMA(NULL,PERIOD_H1,10,0,MODE_SMA,PRICE_CLOSE,i);
      ma15_H1[i]=iMA(NULL,PERIOD_H1,15,0,MODE_SMA,PRICE_CLOSE,i);  

      ma5_H4[i]=iMA(NULL,PERIOD_H4,5,0,MODE_SMA,PRICE_CLOSE,i);
      ma10_H4[i]=iMA(NULL,PERIOD_H4,10,0,MODE_SMA,PRICE_CLOSE,i);
      ma15_H4[i]=iMA(NULL,PERIOD_H4,15,0,MODE_SMA,PRICE_CLOSE,i);  

   }
}

//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+

void init_predict_bars1()
{
   for(int i=0;i<NR_OF_TEST_LINES;i++)
   {
      
      _ma5_M5[i]=iMA(NULL,PERIOD_M5,5,0,MODE_SMA,PRICE_CLOSE,i);
      _ma10_M5[i]=iMA(NULL,PERIOD_M5,10,0,MODE_SMA,PRICE_CLOSE,i);
      _ma15_M5[i]=iMA(NULL,PERIOD_M5,15,0,MODE_SMA,PRICE_CLOSE,i);  

      _ma5_H1[i]=iMA(NULL,PERIOD_H1,5,0,MODE_SMA,PRICE_CLOSE,i);
      _ma10_H1[i]=iMA(NULL,PERIOD_H1,10,0,MODE_SMA,PRICE_CLOSE,i);
      _ma15_H1[i]=iMA(NULL,PERIOD_H1,15,0,MODE_SMA,PRICE_CLOSE,i);  

      _ma5_H4[i]=iMA(NULL,PERIOD_H4,5,0,MODE_SMA,PRICE_CLOSE,i);
      _ma10_H4[i]=iMA(NULL,PERIOD_H4,10,0,MODE_SMA,PRICE_CLOSE,i);
      _ma15_H4[i]=iMA(NULL,PERIOD_H4,15,0,MODE_SMA,PRICE_CLOSE,i);  
      
      ptr_predict_label_1[i]=0;
              
   }

}


void init_predict_bars2()
{
   for(int i=0;i<NR_OF_TEST_LINES;i++)
   {
      
      _ma5_M5[i]=iMA(NULL,PERIOD_M5,5,0,MODE_SMA,PRICE_CLOSE,i);
      _ma10_M5[i]=iMA(NULL,PERIOD_M5,10,0,MODE_SMA,PRICE_CLOSE,i);
      _ma15_M5[i]=iMA(NULL,PERIOD_M5,15,0,MODE_SMA,PRICE_CLOSE,i);  

      _ma5_H1[i]=iMA(NULL,PERIOD_H1,5,0,MODE_SMA,PRICE_CLOSE,i);
      _ma10_H1[i]=iMA(NULL,PERIOD_H1,10,0,MODE_SMA,PRICE_CLOSE,i);
      _ma15_H1[i]=iMA(NULL,PERIOD_H1,15,0,MODE_SMA,PRICE_CLOSE,i);  

      _ma5_H4[i]=iMA(NULL,PERIOD_H4,5,0,MODE_SMA,PRICE_CLOSE,i);
      _ma10_H4[i]=iMA(NULL,PERIOD_H4,10,0,MODE_SMA,PRICE_CLOSE,i);
      _ma15_H4[i]=iMA(NULL,PERIOD_H4,15,0,MODE_SMA,PRICE_CLOSE,i);  
      
      ptr_predict_label_2[i]=0;
              
   }

}

//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+

void _train_1()
{

   int xx=SvmCreateDyn_3tf_1( 
                        t,
                        c,
                        l,
                        h,
                        ma5_M5,
                        ma10_M5,
                        ma15_M5,
                        ma5_H1,
                        ma10_H1,
                        ma15_H1,
                        ma5_H4,
                        ma10_H4,
                        ma15_H4,                        
                        NrTrainBars,
                        NrAttrib,
                        FutureWindow,
                        StopLoss1,
                        TakeProfit1,
                        Point1,
                        file_name1);   
   //Print("SvmCreateDyn_3tf_1: ",xx);

}


//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+

void _train_2()
{

   int xx=SvmCreateDyn_3tf_1( 
                        t,
                        c,
                        l,
                        h,
                        ma5_M5,
                        ma10_M5,
                        ma15_M5,
                        ma5_H1,
                        ma10_H1,
                        ma15_H1,
                        ma5_H4,
                        ma10_H4,
                        ma15_H4,                        
                        NrTrainBars,
                        NrAttrib,
                        FutureWindow,
                        StopLoss2,
                        TakeProfit2,
                        Point1,
                        file_name2);   
   //Print("SvmCreateDyn_3tf_1: ",xx);

}



//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+

void _predict_1()
{

  int xx=SvmPredictDyn_3tf_1(
                     _ma5_M5,
                     _ma10_M5,
                     _ma15_M5,
                     _ma5_H1,
                     _ma10_H1,
                     _ma15_H1,
                     _ma5_H4,
                     _ma10_H4,
                     _ma15_H4,
							NrTestBars,
							NrAttrib,
							Point1,
							file_name1,
							ptr_predict_label_1
							);							
							
   //Print("SvmPredictDyn_3tf_1: ",xx,
   //   " ptr_predict_label_1[0]:",ptr_predict_label_1[0]
   //);
}


//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+

void _predict_2()
{

  int xx=SvmPredictDyn_3tf_1(
                     _ma5_M5,
                     _ma10_M5,
                     _ma15_M5,
                     _ma5_H1,
                     _ma10_H1,
                     _ma15_H1,
                     _ma5_H4,
                     _ma10_H4,
                     _ma15_H4,
							NrTestBars,
							NrAttrib,
							Point1,
							file_name2,
							ptr_predict_label_2
							);							
							
   //Print("SvmPredictDyn_3tf_1: ",xx,
   //   " ptr_predict_label_1[0]:",ptr_predict_label_1[0]
   //);
}