def predictionGraph(self):
# Selecting prices and dates
prices = self.stock[:, 0].reshape(-1, 1)
dates = self.stock[:, 1].reshape(-1, 1)
# Train and fit
input = 1
output = 1
layers = [('F', self.hidden), ('AF', 'tanh'), ('F', self.hidden),
('AF', 'tanh'), ('F', self.hidden), ('AF', 'tanh'),
('F', output)]
mlpr = ANNR([input],
layers,
batchSize=256,
maxIter=self.iterations,
tol=self.tolerance,
reg=1e-4,
verbose=False)
holdDays = 5
totalDays = len(dates)
mlpr.fit(dates[0:(totalDays - holdDays)],
prices[0:(totalDays - holdDays)])
# Predict
pricePredict = mlpr.predict(dates)
# Plot the graph
fig = Figure()
axis = fig.add_subplot()
axis.plot(dates, prices)
axis.plot(dates, pricePredict, c='#5aa9ab')
return fig
def T13():
'''
Tests restoring a model from file
'''
m1 = ANNR([4], [('F', 4), ('AF', 'tanh'), ('F', 1)], maxIter = 16, name = 't12ann1')
rv = m1.RestoreModel('./', 't12ann1')
return rv
def page2(request):
stock_data = np.loadtxt(os.path.join(
BASE_DIR,
f"prediction/project_api/{file_names[context['selected_stock']]}"),
delimiter=",",
skiprows=1,
usecols=(1, 4))
stock_data = scale(stock_data)
prices = stock_data[:, 1].reshape(-1, 1)
dates = stock_data[:, 0].reshape(-1, 1)
input = 1
output = 1
hidden = 50
layers = [('F', hidden), ('AF', 'tanh'), ('F', hidden), ('AF', 'tanh'),
('F', hidden), ('AF', 'tanh'), ('F', output)]
mlpr = ANNR([input],
layers,
batchSize=256,
maxIter=20000,
tol=0.2,
reg=1e-4,
verbose=True)
holdDays = 5
totalDays = len(dates)
mlpr.fit(dates[0:(totalDays - holdDays)], prices[0:(totalDays - holdDays)])
pricePredict = mlpr.predict(dates)
fig = plt.figure()
plt.plot(dates, prices)
plt.plot(dates, pricePredict, c='#5aa9ab')
context['graph1'] = mpld3.fig_to_html(fig)
plt.close()
return render(request, 'prediction/graphs.html', context)
def T12():
'''
Tests saving a model to file
'''
A = np.random.rand(32, 4)
Y = (A.sum(axis = 1) ** 2).reshape(-1, 1)
m1 = ANNR([4], [('F', 4), ('AF', 'tanh'), ('F', 1)], maxIter = 16, name = 't12ann1')
m1.fit(A, Y)
m1.SaveModel('./t12ann1')
return True
def generator():
#%%Path to store cached currency data
datPath = 'CurDat/'
if not os.path.exists(datPath):
os.mkdir(datPath)
cl = ['BTC', 'LTC', 'ETH', 'XMR']
#Columns of price data to use
CN = ['close', 'high', 'low', 'open', 'volume']
#Store data frames for each of above types
D = []
for ci in cl:
dfp = os.path.join(datPath, ci + '.csv')
try:
df = pd.read_csv(dfp, sep=',')
except FileNotFoundError:
df = GetCurDF(ci, dfp)
D.append(df)
#%%Only keep range of data that is common to all currency types
cr = min(Di.shape[0] for Di in D)
for i in range(len(cl)):
D[i] = D[i][(D[i].shape[0] - cr):]
NC = B.shape[2]
#2 1-D conv layers with relu followed by 1-d conv output layer
ns = [('C1d', [8, NC, NC * 2], 4), ('AF', 'relu'),
('C1d', [8, NC * 2, NC * 2], 2), ('AF', 'relu'),
('C1d', [8, NC * 2, NC], 2)]
#Create the neural network in TensorFlow
cnnr = ANNR(B[0].shape,
ns,
batchSize=32,
learnRate=2e-5,
maxIter=64,
reg=1e-5,
tol=1e-2,
verbose=True)
cnnr.fit(B, Y)
CI = list(range(C.shape[0]))
AI = list(range(C.shape[0] + PTS.shape[0] - HP))
NDP = PTS.shape[0] #Number of days predicted
for i, cli in enumerate(cl):
fig, ax = mpl.subplots(figsize=(16 / 1.5, 10 / 1.5))
hind = i * len(CN) + CN.index('high')
ax.plot(CI[-4 * HP:], C[-4 * HP:, hind], label='Actual')
ax.plot(AI[-(NDP + 1):],
A[-(NDP + 1):, hind],
'--',
label='Prediction')
ax.legend(loc='upper left')
ax.set_title(cli + ' (High)')
ax.set_ylabel('USD')
ax.set_xlabel('Time')
ax.axes.xaxis.set_ticklabels([])
mpl.show()
def T8():
'''
Tests if multiple ANNRs can be created without affecting each other
'''
A = np.random.rand(32, 4)
Y = (A.sum(axis = 1) ** 2).reshape(-1, 1)
m1 = ANNR([4], [('F', 4), ('AF', 'tanh'), ('F', 1)], maxIter = 16)
m1.fit(A, Y)
R1 = m1.GetWeightMatrix(0)
m2 = ANNR([4], [('F', 4), ('AF', 'tanh'), ('F', 1)], maxIter = 16)
m2.fit(A, Y)
R2 = m1.GetWeightMatrix(0)
if (R1 != R2).any():
return False
return True
def T9():
'''
Tests if multiple ANNRs can be created without affecting each other
'''
A = np.random.rand(32, 4)
Y = (A.sum(axis = 1) ** 2).reshape(-1, 1)
m1 = ANNR([4], [('F', 4), ('AF', 'tanh'), ('F', 1)], maxIter = 16)
m1.fit(A, Y)
s1 = m1.score(A, Y)
m2 = ANNR([4], [('F', 4), ('AF', 'tanh'), ('F', 1)], maxIter = 16)
m2.fit(A, Y)
s2 = m1.score(A, Y)
if s1 != s2:
return False
return True
def T14():
'''
Tests saving and restore a model
'''
A = np.random.rand(32, 4)
Y = (A.sum(axis = 1) ** 2).reshape(-1, 1)
m1 = ANNR([4], [('F', 4), ('AF', 'tanh'), ('F', 1)], maxIter = 16, name = 't12ann1')
m1.fit(A, Y)
m1.SaveModel('./t12ann1')
R1 = m1.GetWeightMatrix(0)
ANN.Reset()
m1 = ANNR([4], [('F', 4), ('AF', 'tanh'), ('F', 1)], maxIter = 16, name = 't12ann2')
m1.RestoreModel('./', 't12ann1')
R2 = m1.GetWeightMatrix(0)
if (R1 != R2).any():
return False
return True
def regression(year, predyear, consumption, tolerance):
input = 1
output = 1
hidden = 50
layers = [('F', hidden), ('AF', 'tanh'), ('F', hidden), ('AF', 'tanh'),
('F', hidden), ('AF', 'tanh'), ('F', hidden), ('AF', 'tanh'),
('F', output)]
mlpr = ANNR([input],
layers,
batchSize=64,
maxIter=25000,
tol=tolerance,
reg=1e-4,
verbose=True)
holdYears = 5
totalYears = len(year)
mlpr.fit(year[0:(totalYears - holdYears)],
consumption[0:(totalYears - holdYears)])
predicted = mlpr.predict(predyear)
return predicted
def TrainCNN(self, epochs=500, learning_rate=2e-5):
#creates the model, trains it for the given number of epochs, saves it
print('Training CNN...')
#2 1-D conv layers with relu followed by 1-d conv output layer
networkArchitecture = [
('C1d', [8, self.number_of_features,
self.number_of_features * 2], 4), ('AF', 'relu'),
('C1d',
[8, self.number_of_features * 2, self.number_of_features * 2], 2),
('AF', 'relu'),
('C1d', [8, self.number_of_features * 2,
self.number_of_features], 2)
]
cnnr = ANNR(self.X_train[0].shape,
networkArchitecture,
batchSize=self.batch_size,
learnRate=learning_rate,
maxIter=epochs,
reg=1e-5,
tol=1e-5,
verbose=True)
cnnr.fit(self.X_train, self.y_train)
f = self._dataFolderTensorFlowModels + self.modelName + '.meta'
if epochs > 5 or not os.path.isfile(f) or True:
print('Saving model...')
saver = tf.train.Saver()
saver.save(cnnr.GetSes(),
self._dataFolderTensorFlowModels + self.modelName)
print('Logits: ', cnnr.O[-1])
print('Inputs: ', cnnr.X)
#print('All TF: ', tf.trainable_variables)
self.PredictCNN(cnnr)
cnnr.Reset()
def nn_train_OLD(self, dates, prices):
input = 1
output = 1
hidden = 50
#array of layers, 3 hidden and 1 output, along with the tanh activation function
layers = [('F', hidden), ('AF', 'tanh'), ('F', hidden), ('AF', 'tanh'),
('F', hidden), ('AF', 'tanh'), ('F', output)]
#construct the model and dictate params
mlpr = ANNR([input],
layers,
batchSize=256,
maxIter=20000,
tol=0.2,
reg=1e-4,
verbose=True)
#number of days for the hold-out period used to access progress
holdDays = 5
totalDays = len(dates)
#fit the model to the data "Learning"
mlpr.fit(dates[0:(totalDays - holdDays)],
prices[0:(totalDays - holdDays)])
def T1():
'''
Tests basic functionality of ANNR
'''
A = np.random.rand(32, 4)
Y = np.random.rand(32, 1)
a = ANNR([4], [('F', 4), ('AF', 'tanh'), ('F', 1)], maxIter = 16, name = 'mlpr1')
a.fit(A, Y)
S = a.score(A, Y)
if np.isnan(S):
return False
YH = a.predict(A)
if Y.shape != YH.shape:
return False
return True
def T7():
'''
Tests basic functionality of CNNC
'''
A = np.random.rand(32, 9, 9, 3)
Y = np.random.rand(32, 1)
ws = [('C', [3, 3, 3, 4], [1, 1, 1, 1]), ('AF', 'relu'), ('P', [1, 4, 4, 1], [1, 2, 2, 1]), ('F', 16), ('AF', 'tanh'), ('F', 1)]
a = ANNR([9, 9, 3], ws, maxIter = 12, name = "cnnr1")
a.fit(A, Y)
S = a.score(A, Y)
if np.isnan(S):
return False
YH = a.predict(A)
if Y.shape != YH.shape:
return False
return True
while int(h / k) > 1:
layers.append(('F', h / k))
layers.append(('AF', 'relu6'))
k *= 2
layers.append(('F', o))
#"""
layers = [('F', int(h)), ('AF', 'tanh'), ('F', int(h / 2)), ('AF', 'tanh'),
('F', int(h / 4)), ('AF', 'tanh'), ('F', int(h / 8)), ('AF', 'tanh'),
('F', int(h / 16)), ('AF', 'tanh'), ('F', int(h / 16)),
('AF', 'tanh'), ('F', int(h / 32)), ('AF', 'tanh'),
('F', int(h / 64)), ('AF', 'tanh'), ('F', o)]
# """
mlpr = ANNR([i],
layers,
batchSize=256,
maxIter=100000,
tol=0.05,
reg=1e-4,
verbose=True,
name='Stocker')
mlpr.RestoreModel('model/', mlpr.name)
#Begin prediction
yHat = mlpr.predict(A)
y = scaler.inverse_transform(y)
A = scaler.inverse_transform(A)
yHat = scaler.inverse_transform(yHat)
#Plot the results
mpl.plot(A[-20:-future_n],
y[-(20 - future_n):],
c='#b0403f',
label='Stock value')
#%%Architecture of the neural network
from TFANN import ANNR
NC = B.shape[2]
#2 1-D conv layers with relu followed by 1-d conv output layer
ns = [('C1d', [8, NC, NC * 2], 4), ('AF', 'relu'),
('C1d', [8, NC * 2, NC * 2], 2), ('AF', 'relu'),
('C1d', [8, NC * 2, NC], 2)]
#Create the neural network in TensorFlow
cnnr = ANNR(B[0].shape,
ns,
batchSize=32,
learnRate=2e-5,
maxIter=64,
reg=1e-5,
tol=1e-2,
verbose=True)
cnnr.fit(B, Y)
dates = stock_data[:, 0].reshape(-1, 1)
#creates a plot of the data and then displays it
mpl.plot(dates[:, 0], prices[:, 0])
mpl.show()
#Number of neurons in the input, output, and hidden layers
input = 1
output = 1
hidden = 50
#array of layers, 3 hidden and 1 output, along with the tanh activation function
layers = [('F', hidden), ('AF', 'tanh'), ('F', hidden), ('AF', 'tanh'), ('F', hidden), ('AF', 'tanh'), ('F', output)]
#construct the model and dictate params
mlpr = ANNR([input], layers, batchSize = 256, maxIter = 20000, tol = 0.2, reg = 1e-4, verbose = True)
#number of days for the hold-out period used to access progress
holdDays = 5
totalDays = len(dates)
#fit the model to the data "Learning"
mlpr.fit(dates[0:(totalDays-holdDays)], prices[0:(totalDays-holdDays)])
#Predict the stock price using the model
pricePredict = mlpr.predict(dates)
#Display the predicted reuslts agains the actual data
mpl.plot(dates, prices)
mpl.plot(dates, pricePredict, c='#5aa9ab')
mpl.show()
#Number of neurons in the input, output, and hidden layers
print(dates)
plt.plot(dates[:, 0], prices[:, 0])
plt.show()
#Number of neurons in the input, output, and hidden layers
input2 = 1
output2 = 1
hidden2 = 50
#array of layers, 3 hidden and 1 output, along with the tanh activation function
#array of layers, 3 hidden and 1 output, along with the tanh activation function
layers = [('F', hidden2), ('AF', 'tanh'), ('F', hidden2), ('AF', 'tanh'),
('F', hidden2), ('AF', 'tanh'), ('F', output2)]
#construct the model and dictate params
mlpr = ANNR([input2],
layers,
batchSize=256,
maxIter=20000,
tol=0.1,
reg=1e-4,
verbose=True)
holdDays = 5
totalDays = len(dates)
#fit the model to the data "Learning"
mlpr.fit(dates, prices)
#Predict the stock price using the model
pricePredict = mlpr.predict(dates)
#Display the predicted reuslts agains the actual data
plt.plot(dates, prices)
plt.plot(dates, pricePredict, c='#5aa9ab')
plt.show()
def Main():
if len(sys.argv) <= 1:
return
A, Y = GenerateData(ns=2048)
#Create layer sizes; make 6 layers of nf neurons followed by a single output neuron
L = [A.shape[1]] * 6 + [1]
print('Layer Sizes: ' + str(L))
if sys.argv[1] == 'theano':
print('Running theano benchmark.')
from TheanoANN import TheanoMLPR
#Create the Theano MLP
tmlp = TheanoMLPR(L,
batchSize=128,
learnRate=1e-5,
maxIter=100,
tol=1e-3,
verbose=True)
MakeBenchDataSample(tmlp, A, Y, 16, 'TheanoSampDat.csv')
print('Done. Data written to TheanoSampDat.csv.')
if sys.argv[1] == 'theanogpu':
print('Running theano GPU benchmark.')
#Set optional flags for the GPU
#Environment flags need to be set before importing theano
os.environ["THEANO_FLAGS"] = "device=gpu"
from TheanoANN import TheanoMLPR
#Create the Theano MLP
tmlp = TheanoMLPR(L,
batchSize=128,
learnRate=1e-5,
maxIter=100,
tol=1e-3,
verbose=True)
MakeBenchDataSample(tmlp, A, Y, 16, 'TheanoGPUSampDat.csv')
print('Done. Data written to TheanoGPUSampDat.csv.')
if sys.argv[1] == 'tensorflow':
print('Running tensorflow benchmark.')
#Create the Tensorflow model
NA = [('F', A.shape[1]), ('AF', 'tanh')] * 6 + [('F', 1)]
mlpr = ANNR([A.shape[1]],
NA,
batchSize=128,
learnRate=1e-5,
maxIter=100,
tol=1e-3,
verbose=True)
MakeBenchDataSample(mlpr, A, Y, 16, 'TfSampDat.csv')
print('Done. Data written to TfSampDat.csv.')
if sys.argv[1] == 'plot':
print('Displaying results.')
try:
T1 = np.loadtxt('TheanoSampDat.csv', delimiter=',', skiprows=1)
except OSError:
T1 = None
try:
T2 = np.loadtxt('TfSampDat.csv', delimiter=',', skiprows=1)
except OSError:
T2 = None
try:
T3 = np.loadtxt('TheanoGPUSampDat.csv', delimiter=',', skiprows=1)
except OSError:
T3 = None
fig, ax = mpl.subplots(1, 2)
if T1 is not None:
PlotBenchmark(T1[:, 0], T1[:, 1], ax[0], '# Samples', 'Train',
'Theano')
PlotBenchmark(T1[:, 0], T1[:, 2], ax[1], '# Samples', 'Test',
'Theano')
if T2 is not None:
PlotBenchmark(T2[:, 0], T2[:, 1], ax[0], '# Samples', 'Train',
'Tensorflow')
PlotBenchmark(T2[:, 0], T2[:, 2], ax[1], '# Samples', 'Test',
'Tensorflow')
if T3 is not None:
PlotBenchmark(T3[:, 0], T3[:, 1], ax[0], '# Samples', 'Train',
'Theano GPU')
PlotBenchmark(T3[:, 0], T3[:, 2], ax[1], '# Samples', 'Test',
'Theano GPU')
mpl.show()
while int(h / k) > 1:
layers.append(('F', int(h / k)))
layers.append(('AF', 'relu6'))
k *= 2
layers.append(('F', o))
#"""
layers = [('F', int(h)), ('AF', 'tanh'), ('F', int(h / 2)), ('AF', 'tanh'),
('F', int(h / 4)), ('AF', 'tanh'), ('F', int(h / 8)), ('AF', 'tanh'),
('F', int(h / 16)), ('AF', 'tanh'), ('F', int(h / 16)),
('AF', 'tanh'), ('F', int(h / 32)), ('AF', 'tanh'),
('F', int(h / 64)), ('AF', 'tanh'), ('F', o)]
# """
mlpr = ANNR([i],
layers,
batchSize=256,
maxIter=100000,
tol=0.05,
reg=1e-4,
verbose=True,
name='Stocker')
#Learn the data
mlpr.fit(A[0:(n - nDays)], y[0:(n - nDays)])
#save the model
mlpr.SaveModel('model/' + mlpr.name)
#Begin prediction
yHat = mlpr.predict(A)
#Plot the results
mpl.plot(A[-20:], y[-20:], c='#b0403f')
mpl.plot(A[-20:], yHat[-20:], c='#5aa9ab')
mpl.show()
def T15():
'''
Tests setting weight matrix and bias vectors
'''
m1 = ANNR([4], [('F', 4), ('F', 2)], maxIter = 16, name = 't12ann1')
m1.SetWeightMatrix(0, np.zeros((4, 4)))
m1.SetBias(0, np.zeros(4))
m1.SetWeightMatrix(1, np.zeros((4, 2)))
m1.SetBias(1, np.zeros(2))
YH = m1.predict(np.random.rand(16, 4))
if (YH != 0).any():
return False
m1.SetWeightMatrix(0, np.ones((4, 4)))
m1.SetBias(0, np.ones(4))
m1.SetWeightMatrix(1, np.ones((4, 2)))
m1.SetBias(1, np.ones(2))
YH = m1.predict(np.ones((16, 4)))
if np.abs(YH - 21).max() > 1e-5:
print(np.abs(YH - 21).max())
return False
return True
def get_fund_expected_growth(fund_name):
# reads data from the file and ceates a matrix with only the dates and the prices
base_path = r'C:\Users\aadmohan\Desktop\Howathon'
final_path = os.path.join(base_path, fund_name + ".csv")
stock_data = np.loadtxt(final_path,
delimiter=",",
skiprows=1,
usecols=(1, 4))
list_prices = stock_data[:, 1]
list_date = stock_data[:, 0]
last_recorded_price, mean_prices, std_dv_prices = calculate_mean_std_dv_n_last_value(
list_prices)
last_recorded_date, mean_date, std_dv_date = calculate_mean_std_dv_n_last_value(
list_date)
distance_from_mean_of_future_date = get_distance_from_mean_of_future_date(
last_recorded_date, mean_date, std_dv_date)
#scales the data to smaller values
stock_data = scale(stock_data)
#gets the price and dates from the matrix
prices = stock_data[:, 1].reshape(-1, 1)
dates = stock_data[:, 0].reshape(-1, 1)
# #creates a plot of the data and then displays it
# mpl.plot(dates[:, 0], prices[:, 0])
# mpl.show()
#Number of neurons in the input, output, and hidden layers
input = 1
output = 1
hidden = 50
#array of layers, 3 hidden and 1 output, along with the tanh activation function
layers = [('F', hidden), ('AF', 'tanh'), ('F', hidden), ('AF', 'tanh'),
('F', hidden), ('AF', 'tanh'), ('F', output)]
#construct the model and dictate params
mlpr = ANNR([input],
layers,
batchSize=256,
maxIter=2000,
tol=0.2,
reg=1e-4,
verbose=True)
#number of days for the hold-out period used to access progress
holdDays = 5
totalDays = len(dates)
#fit the model to the data "Learning"
mlpr.fit(dates[0:(totalDays - holdDays)], prices[0:(totalDays - holdDays)])
data = {'Predicted_date': [distance_from_mean_of_future_date]}
df = pd.DataFrame(data)
#Predict the stock price using the model
#pricePredict = mlpr.predict(dates)
predicted_price_in_distance_from_mean = mlpr.predict(df)
predicted_price = mean_prices + predicted_price_in_distance_from_mean[
0] * std_dv_prices
expected_growth_on_predicted_date = get_expected_growth_on_predicted_date(
predicted_price, last_recorded_price)
print("expected_growth_on_predicted_date",
expected_growth_on_predicted_date)
#Display the predicted reuslts agains the actual data
# mpl.plot(dates, prices)
# mpl.plot(dates, pricePredict, c='#5aa9ab')
# mpl.show()
return expected_growth_on_predicted_date
def Main(args):
if(len(args) != 3 and len(args) != 4):
PrintUsage()
return
#Test if file exists
try:
open(args[0])
except Exception as e:
print('Error opening file: ' + args[0])
print(str(e))
PrintUsage()
return
#Test validity of start date string
try:
datetime.strptime(args[1], '%m/%d/%Y').timestamp()
except Exception as e:
print(e)
print('Error parsing date: ' + args[1])
PrintUsage()
return
#Test validity of end date string
try:
datetime.strptime(args[2], '%m/%d/%Y').timestamp()
except Exception as e:
print('Error parsing date: ' + args[2])
PrintUsage()
return
#Test validity of final optional argument
if(len(args) == 4):
predPrd = args[3].upper()
if(predPrd == 'D'):
predPrd = 'daily'
elif(predPrd == 'W'):
predPrd = 'weekly'
elif(predPrd == 'M'):
predPrd = 'monthly'
else:
PrintUsage()
return
else:
predPrd = 'daily'
#Everything looks okay; proceed with program
#Grab the data frame
D = ParseData(args[0])
#The number of previous days of data used
#when making a prediction
numPastDays = 16
PlotData(D)
#Number of neurons in the input layer
i = numPastDays * 7 + 1
#Number of neurons in the output layer
o = D.shape[1] - 1
#Number of neurons in the hidden layers
h = int((i + o) / 2)
#The list of layer sizes
layers = [('F', h), ('AF', 'tanh'), ('F', h), ('AF', 'tanh'), ('F', o)]
R = ANNR([i], layers, maxIter = 1000, tol = 0.01, reg = 0.001, verbose = True)
#R = KNeighborsRegressor(n_neighbors = 5)
sp = StockPredictor(R, nPastDays = numPastDays)
#Learn the dataset and then display performance statistics
sp.Learn(D)
sp.TestPerformance()
#Perform prediction for a specified date range
P = sp.PredictDate(args[1], args[2], predPrd)
#Keep track of number of predicted results for plot
n = P.shape[0]
#Append the predicted results to the actual results
D = P.append(D)
#Predicted results are the first n rows
PlotData(D, range(n + 1))
return (P, n)
def tfann_type_1():
#%%Path to store cached currency data
datPath = "CurDat/"
if not os.path.exists(datPath):
os.mkdir(datPath)
# Different cryptocurrency types
cl = ["BTC", "LTC", "ETH", "XMR"]
# Columns of price data to use
CN = ["close", "high", "low", "open", "volume"]
# Store data frames for each of above types
D = []
for ci in cl:
dfp = os.path.join(datPath, ci + ".csv")
try:
df = pd.read_csv(dfp, sep=",")
except FileNotFoundError:
df = GetCurDF(ci, dfp)
D.append(df)
#%%Only keep range of data that is common to all currency types
cr = min(Di.shape[0] for Di in D)
for i in range(len(cl)):
D[i] = D[i][(D[i].shape[0] - cr):]
#%%Features are channels
C = np.hstack((Di[CN] for Di in D))[:, None, :]
HP = 16 # Holdout period
A = C[0:-HP]
SV = A.mean(axis=0) # Scale vector
C /= SV # Basic scaling of data
#%%Make samples of temporal sequences of pricing data (channel)
NPS, NFS = 256, 16 # Number of past and future samples
ps = PastSampler(NPS, NFS)
B, Y = ps.transform(A)
#%%Architecture of the neural network
NC = B.shape[2]
# 2 1-D conv layers with relu followed by 1-d conv output layer
ns = [
("C1d", [8, NC, NC * 2], 4),
("AF", "relu"),
("C1d", [8, NC * 2, NC * 2], 2),
("AF", "relu"),
("C1d", [8, NC * 2, NC], 2),
]
# Create the neural network in TensorFlow
cnnr = ANNR(
B[0].shape,
ns,
batchSize=32,
learnRate=2e-5,
maxIter=64,
reg=1e-5,
tol=1e-2,
verbose=True,
)
cnnr.fit(B, Y)
PTS = [] # Predicted time sequences
P, YH = B[[-1]], Y[[-1]] # Most recent time sequence
for i in range(HP // NFS): # Repeat prediction
P = np.concatenate([P[:, NFS:], YH], axis=1)
YH = cnnr.predict(P)
PTS.append(YH)
PTS = np.hstack(PTS).transpose((1, 0, 2))
A = np.vstack([A, PTS]) # Combine predictions with original data
A = np.squeeze(A) * SV # Remove unittime dimension and rescale
C = np.squeeze(C) * SV
nt = 4
PF = cnnr.PredictFull(B[:nt])
for i in range(nt):
fig, ax = mpl.subplots(1, 4, figsize=(16 / 1.24, 10 / 1.25))
ax[0].plot(PF[0][i])
ax[0].set_title("Input")
ax[1].plot(PF[2][i])
ax[1].set_title("Layer 1")
ax[2].plot(PF[4][i])
ax[2].set_title("Layer 2")
ax[3].plot(PF[5][i])
ax[3].set_title("Output")
fig.text(0.5, 0.06, "Time", ha="center")
fig.text(0.06, 0.5, "Activation", va="center", rotation="vertical")
mpl.show()
CI = list(range(C.shape[0]))
AI = list(range(C.shape[0] + PTS.shape[0] - HP))
NDP = PTS.shape[0] # Number of days predicted
for i, cli in enumerate(cl):
fig, ax = mpl.subplots(figsize=(16 / 1.5, 10 / 1.5))
hind = i * len(CN) + CN.index("high")
ax.plot(CI[-4 * HP:], C[-4 * HP:, hind], label="Actual")
ax.plot(AI[-(NDP + 1):],
A[-(NDP + 1):, hind],
"--",
label="Prediction")
ax.legend(loc="upper left")
ax.set_title(cli + " (High)")
ax.set_ylabel("USD")
ax.set_xlabel("Time")
ax.axes.xaxis.set_ticklabels([])
mpl.show()
ps = PastSampler(NPS, NFS)
B, Y = ps.transform(A)
#%%Architecture of the neural network
from TFANN import ANNR
NC = B.shape[2]
#2 1-D conv layers with relu followed by 1-d conv output layer
ns = [('C1d', [8, NC, NC * 2], 4), ('AF', 'relu'),
('C1d', [8, NC * 2, NC * 2], 2), ('AF', 'relu'),
('C1d', [8, NC * 2, NC], 2)]
#Create the neural network in TensorFlow
cnnr = ANNR(B[0].shape,
ns,
batchSize=16,
learnRate=2e-5,
maxIter=64,
reg=1e-5,
tol=1e-2,
verbose=True)
cnnr.fit(B, Y)
#prediction
PTS = [] #Predicted time sequences
P = B[[-1]] #Most recent time sequence
for i in range(HP // NFS + 1): #Repeat prediction
YH = cnnr.predict(P)
P = np.concatenate([P[:, NFS:], YH], axis=1)
PTS.append(YH)
PTS = np.hstack(PTS).transpose((1, 0, 2))
A = np.vstack([A, PTS]) #Combine predictions with original data
A = np.squeeze(A) * SV #Remove unittime dimension and rescale
