Add CSV exports: BarHistory, TradeHistory, AgentInteraction, DecisionLog, plus .gitignore
This commit is contained in:
pietro_giacobazzi
@@ -18,9 +18,55 @@ struct BarSnapshot {
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double combinedZ;
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};
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struct AgentSnapshot {
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double lastZScore;
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double weight;
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double rho;
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double bias;
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double biasStd;
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double rhoLearn;
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double rawSignal;
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};
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struct TradeRecord {
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int ticket;
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bool isBuy;
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datetime entryTime;
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datetime closeTime;
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double entryPrice;
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double closePrice;
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double entryATR;
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double entryZ;
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double slPrice;
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double highestPrice;
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double lowestPrice;
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int barsHeld;
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double maeATR;
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double mfeATR;
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double actualReturn;
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double entryZScores[MAX_AGENTS];
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double entryFeatures[NN_FEATURES];
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string exitReason;
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};
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struct DecisionRecord {
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datetime time;
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string action;
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int direction;
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double zScore;
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double combinedZ;
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double price;
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int ticket;
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int agreeingCount;
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int totalAgents;
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double confidence;
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double minZ;
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};
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// Posizione aperta tracciata con MAE/MFE
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struct TrackedTrade {
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int ticket;
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datetime entryTime;
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double entryPrice;
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double entryATR;
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double entryZ;
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@@ -127,6 +173,14 @@ private:
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BarSnapshot history[MAX_HISTORY];
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int histIdx;
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int histCount;
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// --- Export buffers ---
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AgentSnapshot agentHistory[MAX_HISTORY][MAX_AGENTS];
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TradeRecord completedTrades[];
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int completedTradeCount;
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DecisionRecord decisionLog[];
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int decisionCount;
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int decisionCapacity;
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void InitCorrelation(int idx) {
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corrMeanX[idx] = 0;
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@@ -250,11 +304,20 @@ public:
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m_trainBuffer = new NNTrainBuffer();
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}
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histIdx = 0;
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histCount = 0;
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}
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histIdx = 0;
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histCount = 0;
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~Orchestrator() {
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completedTradeCount = 0;
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ArrayResize(completedTrades, 200);
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decisionCount = 0;
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decisionCapacity = 500;
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ArrayResize(decisionLog, decisionCapacity);
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for(int ai = 0; ai < MAX_HISTORY; ai++)
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for(int aj = 0; aj < MAX_AGENTS; aj++)
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agentHistory[ai][aj].lastZScore = 0;
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}
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~Orchestrator() {
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ReleaseAgents();
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if(m_neuralNet) delete m_neuralNet;
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if(m_trainBuffer) delete m_trainBuffer;
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@@ -425,10 +488,11 @@ public:
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return -1;
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}
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openTrades[idx].ticket = ticket;
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openTrades[idx].entryPrice = price;
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openTrades[idx].entryATR = MathMax(atr, 1e-10);
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openTrades[idx].entryZ = z;
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openTrades[idx].isBuy = isBuy;
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openTrades[idx].entryPrice = price;
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openTrades[idx].entryATR = MathMax(atr, 1e-10);
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openTrades[idx].entryZ = z;
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openTrades[idx].isBuy = isBuy;
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openTrades[idx].entryTime = TimeCurrent();
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openTrades[idx].highestPrice = price;
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openTrades[idx].lowestPrice = price;
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openTrades[idx].barsHeld = 0;
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@@ -463,11 +527,40 @@ openTrades[idx].ticket = ticket;
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return idx;
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}
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void OnTradeOpen(int ticket, double price, double atr) {
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AddTrade(ticket, price, atr, combinedZ, combinedZ > 0);
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}
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void OnTradeClose(int ticket, double closePrice) {
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void OnTradeOpen(int ticket, double price, double atr) {
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AddTrade(ticket, price, atr, combinedZ, combinedZ > 0);
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LogDecision("ENTRY", combinedZ > 0 ? 1 : -1, 0, price, ticket);
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}
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void LogDecision(string action, int dir, double minZ, double price, int ticket = 0) {
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if(decisionCount >= decisionCapacity) {
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decisionCapacity *= 2;
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ArrayResize(decisionLog, decisionCapacity);
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}
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DecisionRecord d;
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d.time = TimeCurrent();
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d.action = action;
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d.direction = dir;
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d.zScore = MathAbs(combinedZ);
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d.combinedZ = combinedZ;
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d.price = price;
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d.ticket = ticket;
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d.agreeingCount = 0;
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d.totalAgents = agentCount;
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d.confidence = MathAbs(combinedZ);
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d.minZ = minZ;
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if(action == "SIGNAL" || action == "ENTRY") {
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for(int i=0; i<agentCount; i++) {
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if(agents[i].enabled && MathAbs(agents[i].lastZScore) > 0.1) {
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if((agents[i].lastZScore > 0) == (dir > 0)) d.agreeingCount++;
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}
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}
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}
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decisionLog[decisionCount] = d;
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decisionCount++;
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}
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void OnTradeClose(int ticket, double closePrice, string exitReason = "MANUAL") {
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// Trova il trade nell'array
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int idx = -1;
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for(int i=0; i<maxOpenTrades; i++) {
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@@ -572,10 +665,34 @@ UpdateCorrelation(i, openTrades[idx].entryZScores[i], actualReturnZ);
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}
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UpdateHealth(actualReturn);
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LogHealth();
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LogHealth();
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openTrades[idx].active = false;
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}
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// Save completed trade record
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int ct = completedTradeCount;
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ArrayResize(completedTrades, ct + 1);
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completedTrades[ct].ticket = openTrades[idx].ticket;
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completedTrades[ct].isBuy = openTrades[idx].isBuy;
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completedTrades[ct].entryPrice = openTrades[idx].entryPrice;
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completedTrades[ct].closePrice = closePrice;
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completedTrades[ct].entryATR = openTrades[idx].entryATR;
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completedTrades[ct].entryZ = openTrades[idx].entryZ;
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completedTrades[ct].slPrice = openTrades[idx].slPrice;
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completedTrades[ct].highestPrice = openTrades[idx].highestPrice;
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completedTrades[ct].lowestPrice = openTrades[idx].lowestPrice;
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completedTrades[ct].barsHeld = openTrades[idx].barsHeld;
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completedTrades[ct].maeATR = openTrades[idx].maeATR;
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completedTrades[ct].mfeATR = openTrades[idx].mfeATR;
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completedTrades[ct].actualReturn = actualReturn;
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completedTrades[ct].entryTime = 0;
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completedTrades[ct].closeTime = TimeCurrent();
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completedTrades[ct].exitReason = exitReason;
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for(int ei = 0; ei < agentCount; ei++) completedTrades[ct].entryZScores[ei] = openTrades[idx].entryZScores[ei];
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for(int ef = 0; ef < NN_FEATURES; ef++) completedTrades[ct].entryFeatures[ef] = openTrades[idx].entryFeatures[ef];
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LogDecision("EXIT", openTrades[idx].isBuy ? 1 : -1, 0, closePrice, ticket);
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openTrades[idx].active = false;
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}
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// Trova un trade per ticket
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int FindTrade(int ticket) const {
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@@ -776,11 +893,20 @@ UpdateHealth(actualReturn);
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for(int i=0; i<MAX_AGENTS; i++) prevCorr[i] = 0;
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for(int i=0; i<ROLLING_TRADES; i++) rollingReturns[i] = 0;
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histIdx = 0;
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histCount = 0;
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}
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// --- Self-evaluation ---
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histIdx = 0;
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histCount = 0;
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completedTradeCount = 0;
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ArrayResize(completedTrades, 200);
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decisionCount = 0;
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decisionCapacity = 500;
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ArrayResize(decisionLog, decisionCapacity);
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for(int ai = 0; ai < MAX_HISTORY; ai++)
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for(int aj = 0; aj < MAX_AGENTS; aj++)
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agentHistory[ai][aj].lastZScore = 0;
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}
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// --- Self-evaluation ---
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void UpdateHealth(double actualReturn) {
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// Rolling returns buffer
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rollingReturns[rollingIdx] = actualReturn;
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@@ -856,8 +982,16 @@ UpdateHealth(actualReturn);
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void LogBarHistory(datetime time) {
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history[histIdx].time = time;
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history[histIdx].combinedZ = combinedZ;
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for(int i=0; i<agentCount; i++)
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for(int i=0; i<agentCount; i++) {
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history[histIdx].z[i] = agents[i].lastZScore;
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agentHistory[histIdx][i].lastZScore = agents[i].lastZScore;
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agentHistory[histIdx][i].weight = agents[i].weight;
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agentHistory[histIdx][i].rho = GetCorrelation(i);
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agentHistory[histIdx][i].bias = agents[i].predictionError.Mean();
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agentHistory[histIdx][i].biasStd = agents[i].predictionError.Std();
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agentHistory[histIdx][i].rhoLearn = agents[i].predCorr.Ready() ? agents[i].predCorr.Correlation() : 0;
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agentHistory[histIdx][i].rawSignal = agents[i].lastRawSignal;
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}
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histIdx = (histIdx + 1) % MAX_HISTORY;
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if(histCount < MAX_HISTORY) histCount++;
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}
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@@ -1299,5 +1433,165 @@ UpdateHealth(actualReturn);
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FileClose(fh);
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Print("Analisi salvata: ", fn);
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}
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// ===================== SAVE BAR HISTORY CSV =====================
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void SaveBarHistoryCSV(string symbol, ENUM_TIMEFRAMES tf) const {
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string fn = "BarHistory_" + symbol + "_" + EnumToString(tf) + ".csv";
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int fh = FileOpen(fn, FILE_TXT|FILE_WRITE|FILE_COMMON);
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if(fh == INVALID_HANDLE) { Print("BarHistoryCSV: errore apertura ", fn); return; }
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string header = "bar,time,combinedZ";
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string agentNames[MAX_AGENTS];
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for(int i=0; i<agentCount; i++) {
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agentNames[i] = agents[i].name;
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header += "," + agentNames[i] + "_z";
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}
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header += ",regimeH,adxRaw,regimeConsensus,agreement,trendStrength,patternName";
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FileWriteString(fh, header + "\r\n");
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int n = MathMin(histCount, MAX_HISTORY);
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int start = (histCount >= MAX_HISTORY) ? histIdx : 0;
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for(int i=0; i<n; i++) {
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int ii = (start + i) % MAX_HISTORY;
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string line = (string)i + "," + TimeToString(history[ii].time) + "," + StringFormat("%+.6f", history[ii].combinedZ);
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for(int j=0; j<agentCount; j++)
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line += "," + StringFormat("%+.6f", history[ii].z[j]);
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line += "," + StringFormat("%.4f", SHARED_regimeH);
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line += "," + StringFormat("%.1f", SHARED_adxRaw);
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line += "," + StringFormat("%+.4f", SHARED_regimeConsensus);
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line += "," + StringFormat("%.4f", SHARED_regimeAgreement);
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line += "," + StringFormat("%.4f", SHARED_trendStrength);
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line += "," + SHARED_patternName;
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FileWriteString(fh, line + "\r\n");
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}
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FileClose(fh);
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Print("Bar history salvata: ", fn, " (", n, " barre)");
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}
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// ===================== SAVE TRADE HISTORY CSV =====================
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void SaveTradeHistoryCSV(string symbol, ENUM_TIMEFRAMES tf) const {
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string fn = "TradeHistory_" + symbol + "_" + EnumToString(tf) + ".csv";
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int fh = FileOpen(fn, FILE_TXT|FILE_WRITE|FILE_COMMON);
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if(fh == INVALID_HANDLE) { Print("TradeHistoryCSV: errore apertura ", fn); return; }
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string header = "ticket,isBuy,entryTime,closeTime,barsHeld,entryPrice,closePrice,entryATR,entryZ,slPrice,highestPrice,lowestPrice,maeATR,mfeATR,actualReturn,exitReason";
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string agentNames[MAX_AGENTS];
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for(int i=0; i<agentCount; i++) {
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agentNames[i] = agents[i].name;
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header += "," + agentNames[i] + "_entryZ";
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}
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string featLabels[NN_FEATURES] = {"Hurst","ADX","MA","Momentum","Consensus","Hunter","Agreement","TrendStr"};
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for(int f=0; f<NN_FEATURES; f++) header += ",feat_" + featLabels[f];
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FileWriteString(fh, header + "\r\n");
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// Completed trades
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for(int t=0; t<completedTradeCount; t++) {
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string line = (string)completedTrades[t].ticket;
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line += "," + (string)(completedTrades[t].isBuy ? 1 : 0);
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line += "," + TimeToString(completedTrades[t].entryTime);
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line += "," + TimeToString(completedTrades[t].closeTime);
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line += "," + (string)completedTrades[t].barsHeld;
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line += "," + StringFormat("%.5f", completedTrades[t].entryPrice);
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line += "," + StringFormat("%.5f", completedTrades[t].closePrice);
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line += "," + StringFormat("%.4f", completedTrades[t].entryATR);
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line += "," + StringFormat("%+.4f", completedTrades[t].entryZ);
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line += "," + StringFormat("%.5f", completedTrades[t].slPrice);
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line += "," + StringFormat("%.5f", completedTrades[t].highestPrice);
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line += "," + StringFormat("%.5f", completedTrades[t].lowestPrice);
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line += "," + StringFormat("%.4f", completedTrades[t].maeATR);
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line += "," + StringFormat("%.4f", completedTrades[t].mfeATR);
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line += "," + StringFormat("%+.4f", completedTrades[t].actualReturn);
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line += "," + completedTrades[t].exitReason;
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for(int j=0; j<agentCount; j++)
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line += "," + StringFormat("%+.4f", completedTrades[t].entryZScores[j]);
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for(int f=0; f<NN_FEATURES; f++)
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line += "," + StringFormat("%+.4f", completedTrades[t].entryFeatures[f]);
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FileWriteString(fh, line + "\r\n");
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}
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// Open trades (still active)
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for(int i=0; i<maxOpenTrades; i++) {
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if(!openTrades[i].active) continue;
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string line = (string)openTrades[i].ticket;
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line += "," + (string)(openTrades[i].isBuy ? 1 : 0);
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line += ",,"; // no close time yet
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line += "," + (string)openTrades[i].barsHeld;
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line += "," + StringFormat("%.5f", openTrades[i].entryPrice);
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line += ","; // no close price yet
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line += "," + StringFormat("%.4f", openTrades[i].entryATR);
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line += "," + StringFormat("%+.4f", openTrades[i].entryZ);
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line += "," + StringFormat("%.5f", openTrades[i].slPrice);
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line += "," + StringFormat("%.5f", openTrades[i].highestPrice);
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line += "," + StringFormat("%.5f", openTrades[i].lowestPrice);
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line += "," + StringFormat("%.4f", openTrades[i].maeATR);
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line += "," + StringFormat("%.4f", openTrades[i].mfeATR);
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line += ",,OPEN"; // no return, exit=OPEN
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for(int j=0; j<agentCount; j++)
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line += "," + StringFormat("%+.4f", openTrades[i].entryZScores[j]);
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for(int f=0; f<NN_FEATURES; f++)
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line += "," + StringFormat("%+.4f", openTrades[i].entryFeatures[f]);
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FileWriteString(fh, line + "\r\n");
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}
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FileClose(fh);
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Print("Trade history salvata: ", fn, " (", completedTradeCount, " completati, ", OpenTradeCount(), " aperti)");
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}
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// ===================== SAVE AGENT INTERACTION CSV =====================
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void SaveAgentInteractionCSV(string symbol, ENUM_TIMEFRAMES tf) const {
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string fn = "AgentInteraction_" + symbol + "_" + EnumToString(tf) + ".csv";
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int fh = FileOpen(fn, FILE_TXT|FILE_WRITE|FILE_COMMON);
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if(fh == INVALID_HANDLE) { Print("AgentInteractionCSV: errore apertura ", fn); return; }
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string header = "bar,time,combinedZ";
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for(int i=0; i<agentCount; i++) {
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string n = agents[i].name;
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header += "," + n + "_z," + n + "_weight," + n + "_rho," + n + "_bias," + n + "_biasStd," + n + "_rhoLearn," + n + "_rawSignal";
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}
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FileWriteString(fh, header + "\r\n");
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int n = MathMin(histCount, MAX_HISTORY);
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int start = (histCount >= MAX_HISTORY) ? histIdx : 0;
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for(int i=0; i<n; i++) {
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int ii = (start + i) % MAX_HISTORY;
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string line = (string)i + "," + TimeToString(history[ii].time) + "," + StringFormat("%+.6f", history[ii].combinedZ);
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for(int j=0; j<agentCount; j++) {
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line += "," + StringFormat("%+.4f", agentHistory[ii][j].lastZScore);
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line += "," + StringFormat("%.4f", agentHistory[ii][j].weight);
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line += "," + StringFormat("%+.4f", agentHistory[ii][j].rho);
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line += "," + StringFormat("%+.4f", agentHistory[ii][j].bias);
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line += "," + StringFormat("%.4f", agentHistory[ii][j].biasStd);
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line += "," + StringFormat("%+.4f", agentHistory[ii][j].rhoLearn);
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line += "," + StringFormat("%+.4f", agentHistory[ii][j].rawSignal);
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}
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FileWriteString(fh, line + "\r\n");
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}
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FileClose(fh);
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Print("Agent interaction salvata: ", fn, " (", n, " barre)");
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}
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// ===================== SAVE DECISION LOG CSV =====================
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void SaveDecisionLogCSV(string symbol, ENUM_TIMEFRAMES tf) const {
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string fn = "DecisionLog_" + symbol + "_" + EnumToString(tf) + ".csv";
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int fh = FileOpen(fn, FILE_TXT|FILE_WRITE|FILE_COMMON);
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if(fh == INVALID_HANDLE) { Print("DecisionLogCSV: errore apertura ", fn); return; }
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FileWriteString(fh, "time,action,direction,zScore,combinedZ,price,ticket,agreeingCount,totalAgents,confidence,minZ\r\n");
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for(int d=0; d<decisionCount; d++) {
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string line = TimeToString(decisionLog[d].time);
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line += "," + decisionLog[d].action;
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line += "," + (string)decisionLog[d].direction;
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line += "," + StringFormat("%+.4f", decisionLog[d].zScore);
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line += "," + StringFormat("%+.4f", decisionLog[d].combinedZ);
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line += "," + StringFormat("%.5f", decisionLog[d].price);
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line += "," + (string)decisionLog[d].ticket;
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line += "," + (string)decisionLog[d].agreeingCount;
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line += "," + (string)decisionLog[d].totalAgents;
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line += "," + StringFormat("%.4f", decisionLog[d].confidence);
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line += "," + StringFormat("%.4f", decisionLog[d].minZ);
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FileWriteString(fh, line + "\r\n");
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}
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||||
FileClose(fh);
|
||||
Print("Decision log salvato: ", fn, " (", decisionCount, " decisioni)");
|
||||
}
|
||||
};
|
||||
#endif
|
||||
|
||||
Reference in New Issue
Block a user