Shuo Cao
120 lines
4.1 KiB
Plaintext
120 lines
4.1 KiB
Plaintext
//+------------------------------------------------------------------+
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//| LSTM_EA.mq5 |
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//| LSTM量化交易教学示例 |
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//+------------------------------------------------------------------+
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#property copyright "LSTM Trading Example"
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#property version "1.00"
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#resource "\\Files\\lstm_model.onnx" as uchar lstm_model[]
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#include <Trade\Trade.mqh>
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input double LotSize = 0.01; // 手数
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input int StopLoss = 100; // 止损点数
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input int TakeProfit = 150; // 止盈点数
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long model_handle;
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CTrade trade;
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// 归一化参数(从训练脚本自动生成)
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double data_min[5] = {0.95383, 0.95586, 0.95351, 0.95383, 9.0};
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double data_max[5] = {1.23394, 1.23485, 1.23327, 1.23396, 24004.0};
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//+------------------------------------------------------------------+
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int OnInit()
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{
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model_handle = OnnxCreateFromBuffer(lstm_model, ArraySize(lstm_model));
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if(model_handle == INVALID_HANDLE)
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{
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Print("ONNX模型加载失败");
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return INIT_FAILED;
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}
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// 设置输入形状: [batch_size=1, seq_len=10, features=5]
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ulong input_shape[] = {1, 10, 5};
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if(!OnnxSetInputShape(model_handle, 0, input_shape))
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{
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Print("设置ONNX输入形状失败");
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return INIT_FAILED;
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}
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// 设置输出形状: [batch_size=1, output_size=1]
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ulong output_shape[] = {1, 1};
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if(!OnnxSetOutputShape(model_handle, 0, output_shape))
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{
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Print("设置ONNX输出形状失败");
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return INIT_FAILED;
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}
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Print("ONNX模型加载成功,准备交易EURUSD H1");
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return INIT_SUCCEEDED;
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}
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//+------------------------------------------------------------------+
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void OnDeinit(const int reason)
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{
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OnnxRelease(model_handle);
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}
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//+------------------------------------------------------------------+
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void OnTick()
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{
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// 仅在新K线时执行
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static datetime last_bar = 0;
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datetime current_bar = iTime(_Symbol, PERIOD_H1, 0);
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if(current_bar == last_bar) return;
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last_bar = current_bar;
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// 准备输入数据: [1, 10, 5]
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// 使用double避免在传参或计算时发生不必要的类型转换警告
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double inputs[50];
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for(int i = 0; i < 10; i++)
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{
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double bar_open = iOpen(_Symbol, PERIOD_H1, i);
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double bar_high = iHigh(_Symbol, PERIOD_H1, i);
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double bar_low = iLow(_Symbol, PERIOD_H1, i);
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double bar_close = iClose(_Symbol, PERIOD_H1, i);
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// 使用double存储成交量，避免精度或类型转换警告
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double bar_volume = (double)iVolume(_Symbol, PERIOD_H1, i);
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// 归一化（结果仍为double）
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inputs[i*5 + 0] = (bar_open - data_min[0]) / (data_max[0] - data_min[0]);
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inputs[i*5 + 1] = (bar_high - data_min[1]) / (data_max[1] - data_min[1]);
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inputs[i*5 + 2] = (bar_low - data_min[2]) / (data_max[2] - data_min[2]);
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inputs[i*5 + 3] = (bar_close - data_min[3]) / (data_max[3] - data_min[3]);
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inputs[i*5 + 4] = (bar_volume - data_min[4]) / (data_max[4] - data_min[4]);
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}
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// 运行推理
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// 输出也使用double，确保与输入数组类型一致
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double output[1];
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if(!OnnxRun(model_handle, ONNX_DEFAULT, inputs, output))
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{
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Print("ONNX推理失败");
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return;
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}
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double current_price = iClose(_Symbol, PERIOD_H1, 0);
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double predicted_price = output[0] * (data_max[3] - data_min[3]) + data_min[3];
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// 交易逻辑: 预测价格上涨买入,下跌卖出
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if(PositionsTotal() == 0)
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{
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if(predicted_price > current_price * 1.0001)
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{
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double sl = current_price - StopLoss * _Point;
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double tp = current_price + TakeProfit * _Point;
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trade.Buy(LotSize, _Symbol, 0, sl, tp);
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Print("买入 | 当前:", current_price, " 预测:", predicted_price);
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}
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else if(predicted_price < current_price * 0.9999)
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{
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double sl = current_price + StopLoss * _Point;
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double tp = current_price - TakeProfit * _Point;
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trade.Sell(LotSize, _Symbol, 0, sl, tp);
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Print("卖出 | 当前:", current_price, " 预测:", predicted_price);
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}
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}
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}
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//+------------------------------------------------------------------+
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