def add_evidence(self, symbol="IBM", start_date=dt.datetime(2008,1,1),
end_date=dt.datetime(2009,12,31), start_val = 10000):
"""Create a QLearner, and train it for trading.
Parameters:
symbol: The stock symbol to act on
start_date: A datetime object that represents the start date
end_date: A datetime object that represents the end date
start_val: Start value of the portfolio which contains only the symbol
"""
dates = pd.date_range(start_date, end_date)
# Get adjusted close prices for symbol
df_prices = get_data([symbol], dates)
# Get features and thresholds
df_features = self.get_features(df_prices[symbol])
thresholds = self.get_thresholds(df_features, self.num_steps)
cum_returns = []
for epoch in range(1, self.epochs + 1):
# Initial position is holding nothing
position = self.CASH
# Create a series that captures order signals based on actions taken
orders = pd.Series(index=df_features.index)
# Iterate over the data by date
for day, date in enumerate(df_features.index):
# Get a state; add 1 to position so that states >= 0
state = self.discretize(df_features.loc[date],
position + 1, thresholds)
# On the first day, get an action without updating the Q-table
if date == df_features.index[0]:
# Get the first action based on nothing
# action = self.q_learner.act(state)
action = self.q_learner.act(state, 0.0, update=False)
# On other days, calculate the reward and update the Q-table
else:
prev_price = df_prices[symbol].iloc[day-1]
curr_price = df_prices[symbol].loc[date]
reward = self.get_daily_reward(prev_price,
curr_price, position)
action = self.q_learner.act(state, reward, update=True, done=date==df_features.index[-1])
# On the last day, close any open positions
if date == df_features.index[-1]:
new_pos = -position
else:
new_pos = self.get_position(position, action - 1)
# Add new_pos to orders
orders.loc[date] = new_pos
# Update current position
position += new_pos
self.q_learner.replay(batch_size=32)
df_trades = create_df_trades(orders, symbol, self.num_shares)
portvals = compute_portvals_single_symbol(df_orders=df_trades,
symbol=symbol,
start_val=start_val,
commission=self.commission,
impact=self.impact)
cum_return = get_portfolio_stats(portvals)[0]
cum_returns.append(cum_return)
if self.verbose:
print (epoch, cum_return)
# Check for convergence after running for at least 20 epochs
if epoch > 20:
# Stop if the cum_return doesn't improve for 10 epochs
if self.has_converged(cum_returns):
break
if self.verbose:
sns.heatmap(self.q_learner.Q, cmap='Blues')
plt.plot(cum_returns)
plt.xlabel("Epoch")
plt.ylabel("Cumulative return (%)")
plt.show()
def add_evidence(self, df_prices, symbol="IBM", start_val=100000):
"""Create a QLearner, and train it for trading.
Parameters:
df_prices: Data price dataframe
symbol: The stock symbol to act on
start_val: Start value of the portfolio which contains only the symbol
"""
# Get features and thresholds
df_features = self.get_features(df_prices['Adj Close'])
thresholds = self.get_thresholds(df_features, self.num_steps)
cum_returns = []
epochs = []
for epoch in range(1, self.epochs + 1):
# Initial position is holding nothing
position = self.CASH
# Create a series that captures order signals based on actions taken
orders = pd.Series(index=df_features.index)
# Iterate over the data by date
for day, date in enumerate(df_features.index):
# Get a state; add 1 to position so that states >= 0
state = self.discretize(df_features.loc[date], position + 1,
thresholds)
# On the first day, get an action without updating the Q-table
if date == df_features.index[0]:
action = self.q_learner.query_set_state(state)
# On other days, calculate the reward and update the Q-table
else:
prev_price = df_prices['Adj Close'].iloc[day - 1]
curr_price = df_prices['Adj Close'].loc[date]
reward = self.get_daily_reward(prev_price, curr_price,
position)
action = self.q_learner.query(state, reward)
# On the last day, close any open positions
if date == df_features.index[-1]:
new_pos = -position
else:
new_pos = self.get_position(position, action - 1)
# Add new_pos to orders
orders.loc[date] = new_pos
# Update current position
position += new_pos
df_trades = create_df_trades(orders, symbol, self.num_shares)
portvals = compute_portvals_single_symbol(
df_orders=df_trades,
symbol=symbol,
start_val=start_val,
commission=self.commission,
impact=self.impact)
cum_return = get_portfolio_stats(portvals)[0]
cum_returns.append(cum_return)
epochs.append(epoch)
if self.verbose:
print(epoch, cum_return)
# Check for convergence after running for at least 20 epochs
if epoch > 10:
# Stop if the cum_return doesn't improve for 10 epochs
if self.has_converged(cum_returns):
break
if self.verbose:
return plot_cum_return(epochs, cum_returns)
