def learn_nn_and_save(training_data: StockData, test_data: StockData,
filename_to_save: str):
network = create_model()
network.compile(loss='mean_squared_error', optimizer='sgd')
values = training_data.get_values()
setCount = len(values) - (WINDOW_SIZE + 1)
xtrain = []
for element in range(0, setCount):
xtrain.append(numpy.array(values[element:WINDOW_SIZE + element]))
X_TRAIN = numpy.array(xtrain)
Y_TRAIN = numpy.empty(setCount, dtype=numpy.float)
offset = WINDOW_SIZE - 1
for element in range(0, setCount):
current = values[element + offset]
next = values[element + offset + 1]
Y_TRAIN[element] = 1.0 if next > current else -1.0
history = network.fit(X_TRAIN,
Y_TRAIN,
epochs=EPOCHS,
batch_size=BATCH_SIZE)
draw_history(history)
# Save trained model: separate network structure (stored as JSON) and trained weights (stored as HDF5)
save_keras_sequential(network, RELATIVE_PATH, filename_to_save)
def learn_nn_and_save(data: StockData, filename_to_save: str):
"""
Starts the training of the neural network and saves it to the file system
Args:
data: The data to train on
filename_to_save: The filename to save the trained NN to
"""
dates = data.get_dates()
prices = data.get_values()
# Generate training data
# Build chunks of prices from 100 consecutive days (input_prices) and 101th day (current_prices_for_plot)
current_prices_for_plot, input_prices, wanted_results = get_data(prices)
# Shape and configuration of network is optimized for binary classification problems
# see: https://keras.io/getting-started/sequential-model-guide/
network = create_model()
network.compile(optimizer='rmsprop', loss='binary_crossentropy', metrics=['accuracy'])
# Train the neural network
reduce_lr = ReduceLROnPlateau(monitor='val_loss', factor=0.9, patience=5, min_lr=0.000001, verbose=1)
history = network.fit(input_prices, wanted_results, epochs=500, batch_size=128, verbose=1,
validation_data=(input_prices, wanted_results), shuffle=True, callbacks=[reduce_lr])
# Evaluate the trained neural network and plot results
score = network.evaluate(input_prices, wanted_results, batch_size=128, verbose=0)
logger.debug(f"Test score: {score}")
# Draw
plt.figure()
plt.plot(history.history['loss'])
plt.plot(history.history['val_loss'])
plt.plot(history.history['acc'])
plt.title('training loss / testing loss by epoch')
plt.ylabel('loss/acc')
plt.xlabel('epoch')
plt.legend(['loss', 'val_loss', 'acc'], loc='best')
plt.figure()
current_price_prediction = network.predict(input_prices, batch_size=128)
logger.debug(f"current_price_prediction:")
iteration = 0
for x in current_price_prediction:
logger.debug(f"iteration {iteration} - output: {x}")
iteration = iteration + 1
plt.plot(dates[INPUT_SIZE:], current_prices_for_plot, color="black") # current prices in reality
plt.plot(dates[INPUT_SIZE:], [calculate_delta(x) for x in current_price_prediction],
color="green") # predicted prices by neural network
plt.title('current prices / predicted prices by date')
plt.ylabel('price')
plt.xlabel('date')
plt.legend(['current', 'predicted'], loc='best')
plt.show()
# Save trained model: separate network structure (stored as JSON) and trained weights (stored as HDF5)
save_keras_sequential(network, RELATIVE_PATH, filename_to_save)
def learn_nn_and_save(data: StockData, filename_to_save: str):
"""
Starts the training of the neural network and saves it to the file system
Args:
data: The data to train on
filename_to_save: The filename to save the trained NN to
"""
dates = data.get_dates()
prices = data.get_values()
# Generate training data
# Build chunks of prices from 100 consecutive days (last_prices) and 101th day (current_price)
last_prices, current_price = [], []
for i in range(0, len(prices) - 100):
last_prices.append(prices[i:100 + i])
current_price.append(float(prices[100 + i]))
network = create_model()
network.compile(loss='mean_squared_error', optimizer='adam')
# Train the neural network
history = network.fit(last_prices,
current_price,
epochs=10,
batch_size=128,
verbose=1)
# Evaluate the trained neural network and plot results
score = network.evaluate(np.array(last_prices),
current_price,
batch_size=128,
verbose=0)
logger.debug(f"Test score: {score}")
plt.figure()
plt.plot(history.history['loss'])
plt.title('training loss / testing loss by epoch')
plt.ylabel('loss')
plt.xlabel('epoch')
plt.legend(['training', 'testing'], loc='best')
plt.figure()
current_price_prediction = network.predict(last_prices, batch_size=128)
plt.plot(dates[100:], current_price,
color="black") # current prices in reality
plt.plot(dates[100:], current_price_prediction,
color="green") # predicted prices by neural network
plt.title('current prices / predicted prices by date')
plt.ylabel('price')
plt.xlabel('date')
plt.legend(['current', 'predicted'], loc='best')
plt.show()
# Save trained model: separate network structure (stored as JSON) and trained weights (stored as HDF5)
save_keras_sequential(network, RELATIVE_PATH, filename_to_save)
def as_trend(self, stock_data: StockData):
trends = []
values = stock_data.get_values()
for i in range(1, len(values)):
if values[i - 1] < values[i]:
trends.append(1)
elif values[i - 1] > values[i]:
trends.append(-1)
else:
trends.append(0)
return trends
def doPredict(self, data: StockData) -> float:
"""
Use the loaded trained neural network to predict the next stock value.
Args:
data: historical stock values of a company
Returns:
predicted next stock value for that company
"""
# self.model.predict_classes
stocks = data.get_values()
length = len(stocks)
last = stocks[length - (MODEL_LENGTH + 1):]
xtrain = []
tuple = []
for j in range(MODEL_LENGTH):
increase = (last[j + 1] - last[j]) / last[j]
if increase > 1:
increase = 1
if increase < -1:
increase = -1
tuple.append(increase)
xtrain.append(tuple)
np_xtrain = np.array(xtrain)
result = self.model.predict(np_xtrain)
value = result[0][0]
absolute_last = data.get_values()[-1]
return absolute_last + absolute_last * value
def doPredict(self, data: StockData) -> float:
"""
Use the loaded trained neural network to predict the next stock value.
Args:
data: historical stock values of a company
Returns:
predicted next stock value for that company
"""
input = numpy.array([data.get_values()[-WINDOW_SIZE:]])
output = self.model.predict(input)
print("predicted %f for price %f" % (output[0], data.get_last()[1]))
return output[0] + data.get_last()[1]
def learn_nn_and_save(training_data: StockData, test_data: StockData,
filename_to_save: str):
network = create_model()
stocks = training_data.get_values()
xtrain = []
ytrain = []
for i in range(len(stocks) - (MODEL_LENGTH + 2)):
tuple = []
for j in range(MODEL_LENGTH):
increase = (stocks[i + j + 1] - stocks[i + j]) / stocks[i + j]
if increase > 1:
increase = 1
if increase < -1:
increase = -1
tuple.append(increase)
xtrain.append(tuple)
j = MODEL_LENGTH
increase = (stocks[i + j + 1] - stocks[i + j]) / stocks[i + j]
if increase > 1:
increase = 1
if increase < -1:
increase = -1
tuple2 = []
tuple2.append(increase)
ytrain.append(tuple2)
np_xtrain = np.array(xtrain)
np_ytrain = np.array(ytrain)
BATCH_SIZE = 100
EPOCHS = 50
network.fit(np_xtrain, np_ytrain, epochs=EPOCHS, batch_size=BATCH_SIZE)
stocks = test_data.get_values()
xtrain = []
ytrain = []
for i in range(len(stocks) - (MODEL_LENGTH + 2)):
tuple = []
for j in range(MODEL_LENGTH):
increase = (stocks[i + j + 1] - stocks[i + j]) / stocks[i + j]
if increase > 1:
increase = 1
if increase < -1:
increase = -1
tuple.append(increase)
xtrain.append(tuple)
j = MODEL_LENGTH
increase = (stocks[i + j + 1] - stocks[i + j]) / stocks[i + j]
if increase > 1:
increase = 1
if increase < -1:
increase = -1
tuple2 = []
tuple2.append(increase)
ytrain.append(tuple2)
np_xtrain = np.array(xtrain)
np_ytrain = np.array(ytrain)
score = network.evaluate(np_xtrain, np_ytrain, batch_size=BATCH_SIZE)
# Save trained model: separate network structure (stored as JSON) and trained weights (stored as HDF5)
save_keras_sequential(network, RELATIVE_PATH, filename_to_save)
