def session(config,mode):
if mode == 'train':
files = glob.glob('saved_network/PG/*')
for f in files:
os.remove(f)
from data.environment import Environment
codes, start_date, end_date, features, agent_config, market,predictor, framework, window_length,noise_flag, record_flag, plot_flag,reload_flag,trainable,method=parse_config(config,mode)
env = Environment(start_date, end_date, codes, features, int(window_length),market,mode)
global M
M=len(codes)+1
if framework == 'DDPG':
print("*-----------------Loading DDPG Agent---------------------*")
from agents.ddpg import DDPG
agent = DDPG(predictor, len(codes) + 1, int(window_length), len(features), '-'.join(agent_config), reload_flag,trainable)
elif framework == 'PPO':
print("*-----------------Loading PPO Agent---------------------*")
from agents.ppo import PPO
agent = PPO(predictor, len(codes) + 1, int(window_length), len(features), '-'.join(agent_config), reload_flag,trainable)
elif framework == 'PG':
print("*-----------------Loading PG Agent---------------------*")
from agents.pg import PG
agent = PG(len(codes) + 1, int(window_length), len(features), '-'.join(agent_config), reload_flag,trainable)
stocktrader=StockTrader()
if mode=='train':
print("Training with {:d}".format(epochs))
for epoch in range(epochs):
print("Now we are at epoch", epoch)
traversal(stocktrader,agent,env,epoch,noise_flag,framework,method,trainable)
if record_flag=='True':
stocktrader.write(epoch)
if plot_flag=='True':
stocktrader.plot_result()
agent.reset_buffer()
stocktrader.print_result(epoch,agent)
stocktrader.reset()
elif mode=='test':
backtest(agent, env)
def session(config, args):
global PATH_prefix
codes, start_date, end_date, features, agent_config, \
market,predictor, framework, window_length,noise_flag, record_flag,\
plot_flag,reload_flag,trainable,method=parse_config(config,args)
env = Environment()
global M
M = codes + 1
stocktrader = StockTrader()
PATH_prefix = "result/PPO/" + str(args['num']) + '/'
if args['mode'] == 'train':
if not os.path.exists(PATH_prefix):
os.makedirs(PATH_prefix)
train_start_date, train_end_date, test_start_date, test_end_date, codes = env.get_repo(
start_date, end_date, codes, market)
env.get_data(train_start_date, train_end_date, features,
window_length, market, codes)
print("Codes:", codes)
print('Training Time Period:', train_start_date, ' ',
train_end_date)
print('Testing Time Period:', test_start_date, ' ',
test_end_date)
with open(PATH_prefix + 'config.json', 'w') as f:
json.dump(
{
"train_start_date":
train_start_date.strftime('%Y-%m-%d'),
"train_end_date": train_end_date.strftime('%Y-%m-%d'),
"test_start_date":
test_start_date.strftime('%Y-%m-%d'),
"test_end_date": test_end_date.strftime('%Y-%m-%d'),
"codes": codes
}, f)
print("finish writing config")
else:
with open("result/PPO/" + str(args['num']) + '/config.json',
'r') as f:
dict_data = json.load(f)
print("successfully load config")
train_start_date, train_end_date, codes = datetime.datetime.strptime(
dict_data['train_start_date'],
'%Y-%m-%d'), datetime.datetime.strptime(
dict_data['train_end_date'],
'%Y-%m-%d'), dict_data['codes']
env.get_data(train_start_date, train_end_date, features,
window_length, market, codes)
for noise_flag in [
'True'
]: #['False','True'] to train agents with noise and without noise in assets prices
print("*-----------------Loading PPO Agent---------------------*")
agent = PPO(predictor,
len(codes) + 1, int(window_length), len(features),
'-'.join(agent_config), reload_flag, trainable)
print("Training with {:d}".format(epochs))
for epoch in range(epochs):
print("Now we are at epoch", epoch)
traversal(stocktrader, agent, env, epoch, noise_flag,
framework, method, trainable)
if record_flag == 'True':
stocktrader.write(epoch, framework)
if plot_flag == 'True':
stocktrader.plot_result()
agent.reset_buffer()
stocktrader.print_result(epoch, agent, noise_flag)
stocktrader.reset()
agent.close()
del agent
elif args['mode'] == 'test':
with open("result/PPO/" + str(args['num']) + '/config.json', 'r') as f:
dict_data = json.load(f)
test_start_date, test_end_date, codes = datetime.datetime.strptime(
dict_data['test_start_date'],
'%Y-%m-%d'), datetime.datetime.strptime(
dict_data['test_end_date'], '%Y-%m-%d'), dict_data['codes']
env.get_data(test_start_date, test_end_date, features, window_length,
market, codes)
backtest([
PPO(predictor,
len(codes) + 1, int(window_length), len(features),
'-'.join(agent_config), reload_flag, trainable)
], env)
from data.environment import Environment
from keras.models import load_model
import os
# os.environ['CUDA_VISIBLE_DEVICES'] = '-1' # turn off gpu training
""" Script controlling the evaluation of softmax model
ensure the label_scheme, data_dir, and model_path are set correctly below
"""
label_scheme = 1
data_dir = 'C:/out2'
model_path = 'C:\models\softmax-d2-l1-RMSProp-07-256-0.4499-9997.60.l.h5'
env = Environment()
train_list, dev_list, test_list = env.generate_train_dev_test_lists(
data_dir, .95, .025, .025, label_scheme=label_scheme)
model = load_model(model_path)
batch_size = 256
train_steps = 630
val_steps = 58
test_steps = 58
nb_epoch = 10
score = model.evaluate_generator(
env.single_distortion_data_generator(test_list,
data_dir,
batch_size=batch_size,
flatten=True,
batch_name="test",
steps=test_steps,
label_scheme=label_scheme),
def session(config):
global PATH_prefix
from data.environment import Environment
num_assets, start_date, end_date, features, agent_config, market, predictor, framework, window_length, hidden_size, epochs = parse_config(
config)
env = Environment()
PATH_prefix = "result/PG/"
if not os.path.exists(PATH_prefix):
os.makedirs(PATH_prefix)
train_start_date, train_end_date, test_start_date, test_end_date, assets_tickers = env.preprocess_data(
start_date, end_date, num_assets, market, window_length, features)
print("Assets_tickers:", assets_tickers)
print('Training Time Period:', train_start_date, ' ', train_end_date)
print('Testing Time Period:', test_start_date, ' ', test_end_date)
with open(PATH_prefix + 'config.json', 'w') as f:
json.dump(
{
"train_start_date": train_start_date.strftime('%Y-%m-%d'),
"train_end_date": train_end_date.strftime('%Y-%m-%d'),
"test_start_date": test_start_date.strftime('%Y-%m-%d'),
"test_end_date": test_end_date.strftime('%Y-%m-%d'),
"assets_tickers": assets_tickers
}, f)
print("finish writing config")
with open("result/PG/config.json", 'r') as f:
dict_data = json.load(f)
print("Config loaded successfully!")
train_start_date, train_end_date, assets_tickers = datetime.datetime.strptime(
dict_data['train_start_date'], '%Y-%m-%d'), datetime.datetime.strptime(
dict_data['train_end_date'],
'%Y-%m-%d'), dict_data['assets_tickers']
env.get_data(train_start_date, train_end_date, features, window_length,
market, assets_tickers, 'Train')
print("*-----------------Loading PG Agent---------------------*")
if predictor == 'MLP':
agent = DPG_MLP(
len(assets_tickers) + 1, int(window_length), len(features),
hidden_size, predictor)
print('Actor: ' + predictor + 'network')
print(agent.eval())
elif predictor == 'LSTM':
agent = DPG_LSTM(
len(assets_tickers) + 1, int(window_length), len(features),
hidden_size, predictor)
print('Actor: ' + predictor + 'network')
print(agent.eval())
print("Training with {:d}".format(epochs))
growth_all_epoch = []
for epoch in range(epochs):
print("Now we are at epoch", epoch)
total_train_days, growth = train_agent(agent, env, epoch,
assets_tickers)
growth_all_epoch.append(growth)
plt.plot(growth_all_epoch)
plt.savefig(r'' + PATH_prefix + 'Training_growth_rc_' + str(rc_factor) +
'_' + predictor + '_' + market + '_hs_' + str(hidden_size) +
'.png')
plt.show()
# Back Test
print("Running back test now.....")
test_start_date, test_end_date, assets_tickers = datetime.datetime.strptime(
dict_data['test_start_date'], '%Y-%m-%d'), datetime.datetime.strptime(
dict_data['test_end_date'],
'%Y-%m-%d'), dict_data['assets_tickers']
env.get_data(train_start_date, train_end_date, features, window_length,
market, assets_tickers, 'Test')
backtest(agent, env, assets_tickers, 'Train_Set', market, predictor)
env.get_data(test_start_date, test_end_date, features, window_length,
market, assets_tickers, 'Test')
backtest(agent, env, assets_tickers, 'Test_Set', market, predictor)
del agent
def setUp(self):
self.env = Environment()
class Test_Environment(unittest.TestCase):
def setUp(self):
self.env = Environment()
#def tearDown(self):
#self.widget.dispose()
def test_create_environment(self):
self.assertNotEqual(self.env, None)
def test_get_data(self):
with open('config.json') as f:
config = json.load(f)
start_date = config['session']['start_date']
end_date = config['session']['end_date']
codes_num = config['session']['codes']
market = config['session']['market_types']
features = config['session']['features']
train_start_date, train_end_date, test_start_date, test_end_date, codes = self.env.get_repo(
start_date, end_date, codes_num, market)
window_length = 10
self.env.get_data(train_start_date, train_end_date, features,
window_length, market, codes)
self.assertTrue(
len(self.env.states) > 0
) # states has shape (1,6,10,2) 1,codes_num+1,window_length, features
self.assertTrue(len(self.env.price_history) >
0) #price_history has shape (6,1) codes_num + 1 ;
#First element in price_history is always 1, means cash
#print (self.env.states[0].shape)
#print (self.env.price_history[0].shape)
#print (self.env.price_history[0])
def test_get_repo(self):
with open('config.json') as f:
config = json.load(f)
start_date = config['session']['start_date']
end_date = config['session']['end_date']
codes_num = config['session']['codes']
market = config['session']['market_types']
self.train_start_date, self.train_end_date, test_start_date, test_end_date, self.codes = self.env.get_repo(
start_date, end_date, codes_num, market)
self.assertTrue(len(self.env.data) > 0)
self.assertTrue(len(self.env.date_set) > 0)
# step requires get_data to have been called first to fill the environment.
def test_step(self):
self.test_get_data()
self.env.reset()
noise_flag = False
info = self.env.step(None, None, noise_flag)
# dict_keys(['reward', 'continue', 'next state', 'weight vector', 'price', 'risk'])
#print (info.keys())
#print (info['reward']) # Reward is an integer
#print (info['continue']) # continue is True/False
#print (info['next state'].shape) # Shape for next state is (1,6,10,2)
#print (info['weight vector'].shape) # Shape for weight vector is (1,6)
#print (info['risk']) #Risk is an integer
#print (info['price'].shape) #Shape for price is 6,1)
self.assertEqual(len(info.keys(), 6))
def session(config, args):
global PATH_prefix
from data.environment import Environment
codes, start_date, end_date, features, agent_config, market, predictor, framework, window_length, noise_flag, record_flag, plot_flag, reload_flag, trainable, method = parse_config(
config, args)
env = Environment()
global M
if market == 'China':
M = codes + 1
else:
M = len(codes) + 1
# print("len codes",len(codes))
# M=codes+1
# M = số lượng stock -> ảnh huong đến noise - chi tiết from agents.ornstein_uhlenbeck import OrnsteinUhlenbeckActionNoise
# if framework == 'DDPG':
# print("*-----------------Loading DDPG Agent---------------------*")
# from agents.ddpg import DDPG
# agent = DDPG(predictor, len(codes) + 1, int(window_length), len(features), '-'.join(agent_config), reload_flag,trainable)
#
# elif framework == 'PPO':
# print("*-----------------Loading PPO Agent---------------------*")
# from agents.ppo import PPO
# agent = PPO(predictor, len(codes) + 1, int(window_length), len(features), '-'.join(agent_config), reload_flag,trainable)
stocktrader = StockTrader()
PATH_prefix = "./result_new/PG/" + str(args['num']) + '/' #<-
if args['mode'] == 'train':
if not os.path.exists(PATH_prefix):
print('Create new path at', PATH_prefix)
os.makedirs(PATH_prefix)
if market == "China":
train_start_date, train_end_date, test_start_date, test_end_date, codes = env.get_repo(
start_date, end_date, codes, market)
else:
train_start_date, train_end_date, test_start_date, test_end_date, codes = env.get_repo(
start_date, end_date, len(codes), market)
env.get_data(train_start_date, train_end_date, features,
window_length, market, codes)
print("Codes:", codes)
print('Training Time Period:', train_start_date, ' ',
train_end_date)
print('Testing Time Period:', test_start_date, ' ',
test_end_date)
with open(PATH_prefix + 'config.json', 'w') as f:
json.dump(
{
"train_start_date":
train_start_date.strftime('%Y-%m-%d'),
"train_end_date": train_end_date.strftime('%Y-%m-%d'),
"test_start_date":
test_start_date.strftime('%Y-%m-%d'),
"test_end_date": test_end_date.strftime('%Y-%m-%d'),
"codes": codes
}, f)
print("finish writing config")
else:
with open("./result_new/PG/" + str(args['num']) + '/config.json',
'r') as f:
dict_data = json.load(f)
print("successfully load config")
if market == "China":
train_start_date, train_end_date, test_start_date, test_end_date, codes = env.get_repo(
start_date, end_date, codes, market)
else:
train_start_date, train_end_date, test_start_date, test_end_date, codes = env.get_repo(
start_date, end_date, len(codes), market)
env.get_data(train_start_date, train_end_date, features,
window_length, market, codes)
# train_start_date, train_end_date, codes = datetime.datetime.strptime(dict_data['train_start_date'], '%Y-%m-%d'), datetime.datetime.strptime(dict_data['train_end_date'], '%Y-%m-%d'), dict_data['codes']
# env.get_data(train_start_date, train_end_date, features, window_length, market, codes)
for noise_flag in [
'True'
]: #['False','True'] to train agents with noise and without noise in assets prices
if framework == 'PG':
print(
"*-----------------Loading PG Agent---------------------*")
agent = PG(
len(codes) + 1, int(window_length), len(features),
'-'.join(agent_config), reload_flag, trainable, noise_flag,
args['num'])
print("Finish import {}".format(agent.name))
elif framework == 'DDPG':
print(
"*-----------------Loading DDPG Agent---------------------*"
)
from agents.ddpg import DDPG
agent = DDPG(predictor,
len(codes) + 1, int(window_length), len(features),
'-'.join(agent_config), reload_flag, trainable)
print("Finish import {}".format(agent.name))
print("Training with {:d}".format(epochs))
for epoch in range(epochs):
print("Now we are at epoch", epoch)
traversal(stocktrader, agent, env, epoch, noise_flag,
framework, method, trainable)
if record_flag == 'True':
stocktrader.write(epoch, framework)
if plot_flag == 'True':
stocktrader.plot_result()
#print(agent)
agent.reset_buffer()
stocktrader.print_result(epoch, agent, noise_flag)
stocktrader.reset()
agent.close()
del agent
#######
# TESTING
elif args['mode'] == 'test':
with open("./result_new/PG/" + str(args['num']) + '/config.json',
'r') as f:
dict_data = json.load(f)
test_start_date, test_end_date, codes = datetime.datetime.strptime(
dict_data['test_start_date'],
'%Y-%m-%d'), datetime.datetime.strptime(
dict_data['test_end_date'], '%Y-%m-%d'), dict_data['codes']
env.get_data(test_start_date, test_end_date, features, window_length,
market, codes)
backtest([
PG(
len(codes) + 1, int(window_length), len(features),
'-'.join(agent_config), 'True', 'False', 'True', args['num'])
], env, market)
def session(config, args):
codes, start_date, end_date, features, agent_config, \
market, predictor, framework, window_length, noise_flag, record_flag, \
plot_flag, reload_flag, trainable, method, epochs = parse_config(config, args)
env = Environment(args.seed)
stocktrader = StockTrader()
path = "result/{}/{}/".format(framework, args.num)
logger.info('Mode: {}'.format(args.mode))
if args.mode == 'train':
if not os.path.exists(path):
os.makedirs(path)
train_start_date, train_end_date, test_start_date, test_end_date, codes = env.get_repo(
start_date, end_date, codes, market)
logger.debug("Training with codes: {}".format(codes))
env.get_data(train_start_date, train_end_date, features,
window_length, market, codes)
with open(path + 'config.json', 'w') as f:
print(train_start_date)
print(train_end_date)
print(test_start_date)
print(test_end_date)
json.dump(
{
"train_start_date":
train_start_date.strftime('%Y-%m-%d'),
"train_end_date": train_end_date.strftime('%Y-%m-%d'),
"test_start_date":
test_start_date.strftime('%Y-%m-%d'),
"test_end_date": test_end_date.strftime('%Y-%m-%d'),
"codes": codes
}, f)
else:
with open('result/{}/{}/config.json'.format(framework, args.num),
'r') as f:
dict_data = json.load(f)
train_start_date, train_end_date, codes = datetime.strptime(
dict_data['train_start_date'],
'%Y-%m-%d'), datetime.strptime(dict_data['train_end_date'],
'%Y-%m-%d'), dict_data['codes']
env.get_data(train_start_date, train_end_date, features,
window_length, market, codes)
if framework == 'PG':
logger.debug("Loading PG Agent")
agent = PG(
len(codes) + 1, int(window_length), len(features),
'-'.join(agent_config), reload_flag, trainable, args.num)
elif framework == 'DDPG':
logger.debug("Loading DDPG Agent")
agent = DDPG(
len(codes) + 1, int(window_length), len(features),
'-'.join(agent_config), reload_flag, trainable, args.num)
logger.info("Training: %d epochs", epochs)
for epoch in range(epochs):
traversal(stocktrader, agent, env, epoch, True, framework, method,
trainable)
if record_flag:
stocktrader.write(epoch, framework)
if plot_flag:
stocktrader.plot_result()
agent.reset_buffer()
stocktrader.print_result(epoch, agent, True)
stocktrader.reset()
agent.close()
elif args.mode == 'test':
with open("result/{}/{}/config.json".format(framework, args.num),
'r') as f:
dict_data = json.load(f)
test_start_date, test_end_date, codes = datetime.strptime(
dict_data['test_start_date'],
'%Y-%m-%d'), datetime.strptime(dict_data['test_end_date'],
'%Y-%m-%d'), dict_data['codes']
env.get_data(test_start_date, test_end_date, features, window_length,
market, codes)
if framework == 'PG':
logger.info("Loading PG Agent")
agent = PG(
len(codes) + 1, int(window_length), len(features),
'-'.join(agent_config), True, False, args.num)
elif framework == 'DDPG':
logger.info("Loading DDPG Agent")
agent = DDPG(
len(codes) + 1, int(window_length), len(features),
'-'.join(agent_config), True, False, args.num)
backtest([agent], env, "result/{}/{}/".format(framework, args.num),
framework)
def experiment_cost():
parser = build_parser()
args = vars(parser.parse_args())
with open('config.json') as f:
config = json.load(f)
with open("result/PG/" + str(args['num']) + '/config.json', 'r') as f:
dict_data = json.load(f)
codes, start_date, end_date, features, agent_config, market, predictor, framework, window_length, noise_flag, record_flag, plot_flag, reload_flag, trainable, method = parse_config(
config, args)
env = Environment()
test_start_date, test_end_date, codes = datetime.datetime.strptime(
dict_data['test_start_date'],
'%Y-%m-%d'), datetime.datetime.strptime(dict_data['test_end_date'],
'%Y-%m-%d'), dict_data['codes']
env.get_data(test_start_date, test_end_date, features, window_length,
market, codes)
costs = [0, 0.001, 0.005, 0.01, 0.02]
agent = PG(
len(codes) + 1, int(window_length), len(features),
'-'.join(agent_config), 'True', 'False', 'True', args['num'])
wealths_result = []
rs_result = []
for i in range(len(costs)):
stocktrader = StockTrader()
env.cost = costs[i]
info = env.step(None, None, 'False')
r, contin, s, w1, p, risk = parse_info(info)
contin = 1
wealth = 10000
wealths = [wealth]
rs = [1]
while contin:
w2 = agent.predict(s, w1)
env_info = env.step(w1, w2, 'False')
r, contin, s_next, w1, p, risk = parse_info(env_info)
wealth = wealth * math.exp(r)
rs.append(math.exp(r) - 1)
wealths.append(wealth)
s = s_next
stocktrader.update_summary(0, r, 0, 0, w2, p)
print('finish one agent')
wealths_result.append(wealths)
rs_result.append(rs)
print('agent', ' ', 'cumulative return', ' ', 'average daily return',
' ', 'sharpe ratio', ' ', 'maximum drawback')
plt.figure(figsize=(8, 6), dpi=100)
for i in range(len(costs)):
plt.plot(wealths_result[i], label=costs[i])
cumr = float((wealths_result[i][-1] - 10000) / 10000 * 100)
mrr = float(np.mean(rs_result[i]) * 100)
sharpe = float(
np.mean(rs_result[i]) / np.std(rs_result[i]) * np.sqrt(252))
maxdrawdown = float(
max(1 - min(wealths_result[i]) /
np.maximum.accumulate(wealths_result[i])))
print(costs[i], ' ', round(cumr, 3), '%', ' ', round(mrr, 3), '%',
' ', round(sharpe, 3), ' ', round(maxdrawdown, 3), '%')
plt.legend()
plt.xlabel('time')
plt.ylabel('wealth')
plt.savefig(PATH_prefix + 'backtest_differntcost.png')
plt.show()
