def main(epochs):
xTrain, yTrain, xTest, yTest, scaler = createInputs(factors=False)
results, yPred = run(epochs, 2, xTrain, yTrain, xTest, yTest)
results['unscaledMse'] = mean_squared_error(
scaler.inverse_transform(yTest.reshape((-1, 1))),
scaler.inverse_transform(yPred.reshape((-1, 1))))
saveResults("LSTM-ROLLING-FACTORS", epochs, 2, results)
def main(epochs):
xTrain, yTrain, xTest, yTest, scaler = createInputs(factors=False,
type='dense')
results, yPred = run(epochs, 3, xTrain, yTrain, xTest, yTest)
results['unscaledMse'] = mean_squared_error(
scaler.inverse_transform(yTest.reshape((-1, 1))),
scaler.inverse_transform(yPred))
saveResults("DENSE-NOROLLING-NOFACTORS", epochs, 3, results)
def main(epochs):
xTrain, yTrain, xTest, yTest, scaler = createInputs(factors=False,
tripleBarrier=True)
yTrainBinary = to_categorical(yTrain)
yTestBinary = to_categorical(yTest)
results, yPred, model = run(epochs, 1, xTrain, yTrainBinary, xTest,
yTestBinary)
saveResults("LSTM-NOFACTORS-TRIPLEBARRIER", epochs, 2, results)