def trading_file(filename):
start_trading_day = 20000104
end_trading_day = 20081230
_property = 0 #総資産
money = 1000000 #所持金
filepath = args.data_folder + '/' + filename
#株価データの読み込み
_time, _open, _max, _min, _close, _volume, _keisu, _shihon = make_dataset.readfile(
filepath)
try:
iday = _time.index(start_trading_day)
eday = _time.index(end_trading_day)
except:
return np.nan
point_rsi = getStrategy_RSI(start_trading_day, end_trading_day, _time,
_close)
#売買開始日からスライス
_time = _time[iday:eday]
_close = _close[iday:eday]
profit_ratio = trading(money, point_rsi, _close)[0]
return profit_ratio
def trading_file(filename):
start_trading_day = 20000104
end_trading_day = 20081230
_property = 0#総資産
money = 1000000#所持金
filepath = args.data_folder +'/'+ filename
#株価データの読み込み
_time,_open,_max,_min,_close,_volume,_keisu,_shihon = make_dataset.readfile(filepath)
try:
iday = _time.index(start_trading_day)
eday = _time.index(end_trading_day)
except:
return np.nan
point_rsi = getStrategy_RSI(start_trading_day,end_trading_day,_time,_close)
#売買開始日からスライス
_time = _time[iday:eday]
_close = _close[iday:eday]
profit_ratio = trading(money,point_rsi,_close)[0]
return profit_ratio
tf.write('bound_ratio:'+str(bound_ratio))
sum_profit_ratio = 0
profit_ratio_list = []
trading_count_list = []
files = os.listdir("./stockdata")
for f in files:
print f
predictlist = []
outputlist = []
money = 1000000#所持金
filepath = "./stockdata/%s" % f
#株価データの読み込み
_time,_open,_max,_min,_close,_volume,_keisu,_shihon = md.readfile(filepath)
try:
iday = _time.index(START_TEST_DAY)
except:
print 'can not find START_TEST_DAY'
continue
train, test = md.getTeacherDataMultiTech(f,START_TEST_DAY,NEXT_DAY,input_num,stride=1,u_vol=u_vol,u_ema=u_ema,u_rsi=u_rsi,u_macd=u_macd,u_stoch=u_stoch,u_wil=u_wil)
if (train == -1) or (test == -1):
print 'skip',f
continue
for row in test:
def main(files):
start_trading_day = 20000104
end_trading_day = 20081230
#start_trading_day = 20090105
#end_trading_day = 20101229
meigara_count = 0
sum_profit_ratio_rsi = 0
sum_profit_ratio_macd = 0
sum_profit_ratio_gd = 0
sum_profit_ratio_stoch = 0
sum_profit_ratio_rsi = 0
sum_bh_profit_ratio = 0
for f in tqdm(files):
#print f
_property = 0#総資産
money = 1000000#所持金
filepath = args.data_folder +'/'+ f
#株価データの読み込み
_time,_open,_max,_min,_close,_volume,_keisu,_shihon = make_dataset.readfile(filepath)
try:
iday = _time.index(start_trading_day)
eday = _time.index(end_trading_day)
except:
#print "can't find start_test_day"
continue#start_trading_dayが見つからなければ次のファイルへ
point_rsi = getStrategy_RSI(start_trading_day,end_trading_day,_time,_close)
point_macd = getStrategy_MACD(start_trading_day,end_trading_day,_time,_close)
point_gd = getStrategy_GD(start_trading_day,end_trading_day,_time,_close)
point_stoch = getStrategy_STOCH(start_trading_day,end_trading_day,_time,_close,_max,_min)
#売買開始日からスライス
_time = _time[iday:eday]
_close = _close[iday:eday]
#buy&holdの利益率を計算
bh_profit_ratio = float((_close[-1] - _close[0]) / _close[0]) * 100
sum_bh_profit_ratio += bh_profit_ratio
profit_ratio = trading(money,point_rsi,_close)
#print "RSI profit of %s is %f " % (f, profit_ratio[0])
sum_profit_ratio_rsi += profit_ratio[0]
profit_ratio = trading(money,point_macd,_close)
#print "MACD profit of %s is %f " % (f, profit_ratio[0])
sum_profit_ratio_macd += profit_ratio[0]
profit_ratio = trading(money,point_gd,_close)
#print "GD profit of %s is %f " % (f, profit_ratio[0])
sum_profit_ratio_gd += profit_ratio[0]
profit_ratio = trading(money,point_stoch,_close)
#print "STOCH profit of %s is %f " % (f, profit_ratio[0])
sum_profit_ratio_stoch += profit_ratio[0]
meigara_count += 1
#print meigara_count
print "RSI profit average is = %f" % (sum_profit_ratio_rsi / meigara_count)
print "MACD profit average is = %f" % (sum_profit_ratio_macd / meigara_count)
print "GD profit average is = %f" % (sum_profit_ratio_gd / meigara_count)
print "STOCH profit average is = %f" % (sum_profit_ratio_stoch / meigara_count)
print 'buy&hold profit = %f' % (sum_bh_profit_ratio / meigara_count)
print "all meigara is %d" % meigara_count
sum_profit_ratio_macd = 0
sum_profit_ratio_gd = 0
sum_profit_ratio_stoch = 0
sum_profit_ratio_rsi = 0
sum_bh_profit_ratio = 0
files = os.listdir("./stockdata")
for f in files:
print f
_property = 0#総資産
money = 1000000#所持金
filepath = "./stockdata/%s" % f
#株価データの読み込み
_time,_open,_max,_min,_close,_volume,_keisu,_shihon = make_dataset.readfile(filepath)
try:
iday = _time.index(start_trading_day)
eday = _time.index(end_trading_day)
except:
print "can't find start_test_day"
continue#start_trading_dayが見つからなければ次のファイルへ
point_rsi = getStrategy_RSI(start_trading_day,end_trading_day,_time,_close)
point_macd = getStrategy_MACD(start_trading_day,end_trading_day,_time,_close)
point_gd = getStrategy_GD(start_trading_day,end_trading_day,_time,_close)
point_stoch = getStrategy_STOCH(start_trading_day,end_trading_day,_time,_close,_max,_min)
#売買開始日からスライス
_time = _time[iday:eday]
_close = _close[iday:eday]
def main(files):
start_trading_day = 20000104
end_trading_day = 20081230
#start_trading_day = 20090105
#end_trading_day = 20101229
meigara_count = 0
sum_profit_ratio_rsi = 0
sum_profit_ratio_macd = 0
sum_profit_ratio_gd = 0
sum_profit_ratio_stoch = 0
sum_profit_ratio_rsi = 0
sum_bh_profit_ratio = 0
for f in tqdm(files):
#print f
_property = 0#総資産
money = 1000000#所持金
filepath = args.data_folder +'/'+ f
#株価データの読み込み
_time,_open,_max,_min,_close,_volume,_keisu,_shihon = make_dataset.readfile(filepath)
try:
iday = _time.index(start_trading_day)
eday = _time.index(end_trading_day)
except:
#print "can't find start_test_day"
continue#start_trading_dayが見つからなければ次のファイルへ
point_rsi = getStrategy_RSI(start_trading_day,end_trading_day,_time,_close)
point_macd = getStrategy_MACD(start_trading_day,end_trading_day,_time,_close)
point_gd = getStrategy_GD(start_trading_day,end_trading_day,_time,_close)
point_stoch = getStrategy_STOCH(start_trading_day,end_trading_day,_time,_close,_max,_min)
#売買開始日からスライス
_time = _time[iday:eday]
_close = _close[iday:eday]
#buy&holdの利益率を計算
bh_profit_ratio = float((_close[-1] - _close[0]) / _close[0]) * 100
sum_bh_profit_ratio += bh_profit_ratio
profit_ratio = trading(money,point_rsi,_close)
#print "RSI profit of %s is %f " % (f, profit_ratio[0])
sum_profit_ratio_rsi += profit_ratio[0]
profit_ratio = trading(money,point_macd,_close)
#print "MACD profit of %s is %f " % (f, profit_ratio[0])
sum_profit_ratio_macd += profit_ratio[0]
profit_ratio = trading(money,point_gd,_close)
#print "GD profit of %s is %f " % (f, profit_ratio[0])
sum_profit_ratio_gd += profit_ratio[0]
profit_ratio = trading(money,point_stoch,_close)
#print "STOCH profit of %s is %f " % (f, profit_ratio[0])
sum_profit_ratio_stoch += profit_ratio[0]
meigara_count += 1
#print meigara_count
print "RSI profit average is = %f" % (sum_profit_ratio_rsi / meigara_count)
print "MACD profit average is = %f" % (sum_profit_ratio_macd / meigara_count)
print "GD profit average is = %f" % (sum_profit_ratio_gd / meigara_count)
print "STOCH profit average is = %f" % (sum_profit_ratio_stoch / meigara_count)
print 'buy&hold profit = %f' % (sum_bh_profit_ratio / meigara_count)
print "all meigara is %d" % meigara_count
import time
from make_dataset import ImgDataset, readfile, readfile_add
from MSASDNet import MSASDNet
f = open("./logs/train_logs.txt", 'w')
f.write("Training loss logs:")
f.write("\n")
f.close()
#
train_path = "./AISD/Train412/"
val_path = "./AISD/Val51/"
print("Reading data ......")
batch_size = 4
train_x, train_y = readfile_add(train_path, True)
val_x, val_y = readfile(val_path, True)
train_set = ImgDataset(train_x, train_y)
val_set = ImgDataset(val_x, val_y)
train_loader = DataLoader(train_set, batch_size=batch_size, shuffle=True)
val_loader = DataLoader(val_set, batch_size=batch_size, shuffle=False)
# 定义模型
model = MSASDNet().cuda()
loss = nn.CrossEntropyLoss()
# 二分类交叉熵损失函数
loss = nn.CrossEntropyLoss()
# 优化器 Adam
optimizer = torch.optim.Adam(model.parameters(), lr=0.001)
num_epoch = 30
# 开始训练
def main(files):
start_trading_day = 20000104
end_trading_day = 20081230
#start_trading_day = 20090105
#end_trading_day = 20101229
meigara_count = 0
profit_ratio_rsi_list = []
profit_ratio_macd_list = []
profit_ratio_gd_list = []
profit_ratio_stoch_list = []
profit_ratio_rsi_list = []
bh_profit_ratio_list = []
for f in tqdm(files):
#print f
_property = 0 #総資産
money = 1000000 #所持金
filepath = args.data_folder + '/' + f
#株価データの読み込み
_time, _open, _max, _min, _close, _volume, _keisu, _shihon = make_dataset.readfile(
filepath)
try:
iday = _time.index(start_trading_day)
eday = _time.index(end_trading_day)
except:
#print "can't find start_test_day"
continue #start_trading_dayが見つからなければ次のファイルへ
point_rsi = getStrategy_RSI(start_trading_day, end_trading_day, _time,
_close)
point_macd = getStrategy_MACD(start_trading_day, end_trading_day,
_time, _close)
point_gd = getStrategy_GD(start_trading_day, end_trading_day, _time,
_close)
point_stoch = getStrategy_STOCH(start_trading_day, end_trading_day,
_time, _close, _max, _min)
#売買開始日からスライス
_time = _time[iday:eday]
_close = _close[iday:eday]
#buy&holdの利益率を計算
bh_profit_ratio = float((_close[-1] - _close[0]) / _close[0]) * 100
bh_profit_ratio_list.append(bh_profit_ratio)
profit_ratio = trading(money, point_rsi, _close)[0]
profit_ratio_rsi_list.append(profit_ratio)
profit_ratio = trading(money, point_macd, _close)[0]
profit_ratio_macd_list.append(profit_ratio)
profit_ratio = trading(money, point_gd, _close)[0]
profit_ratio_gd_list.append(profit_ratio)
profit_ratio = trading(money, point_stoch, _close)[0]
profit_ratio_stoch_list.append(profit_ratio)
meigara_count += 1
#print meigara_count
print "RSI profit average is = ", sum(profit_ratio_rsi_list) / len(
profit_ratio_rsi_list)
print "MACD profit average is = ", sum(profit_ratio_macd_list) / len(
profit_ratio_macd_list)
print "GD profit average is = ", sum(profit_ratio_gd_list) / len(
profit_ratio_gd_list)
print "STOCH profit average is = ", sum(profit_ratio_stoch_list) / len(
profit_ratio_stoch_list)
print 'buy&hold profit = ', sum(bh_profit_ratio_list) / len(
bh_profit_ratio_list)
print "all meigara is %d" % meigara_count
tools.listToCsv('profit_ratio_list.csv', bh_profit_ratio_list,
profit_ratio_gd_list, profit_ratio_macd_list,
profit_ratio_rsi_list, profit_ratio_stoch_list)
