def main():
p=Path(__file__).parents[0]
directory = os.path.abspath(os.path.join(p,"gemini_ETHUSD_d.csv"))
data = Data(directory)
train,test = data.split_data(test_size=0.2)
numOfDays=20
x_train,x_test,y_train,y_test = data.prepare_data(train,test,numOfDays)
model = Model()
#hyperparameters tuning
epochs = 50
optimizer='adam'
loss='mean_squared_error'
activation ='tanh'
batch_size = 1
neurons = 30
model.LSTM_model(x_train,activation =activation,optimizer=optimizer,loss=loss,neurons=neurons)
history = model.train(x_train,y_train,x_test,y_test,epochs=epochs,batch_size=batch_size)
targets = test['Close'][numOfDays:]
preds = model.predict(x_test).squeeze()
print('MAE: ',mean_absolute_error(preds,y_test))
preds = test['Close'].values[:-numOfDays] * (preds + 1)
preds = pd.Series(index=targets.index, data=preds)
line_plot(targets, preds, 'actual', 'prediction', lw=3)
line_plot(history.history['loss'],history.history['val_loss'],'train loss','test loss',lw=3)
def main(params):
#=======step 1: get args for model=======
args = load_arg()
args.learning_rate = params["lr_rate"]
args.drop_out = params["dp_out"]
args.batch_size = params["bt_size"]
args.dist = params["distance"]
print ("At distance {}, learning_rate is {}, drop_out is {}, batch_size is {}".\
format(params["distance"], params["lr_rate"],
params["dp_out"], params["bt_size"]))
#=======step 2: preprocess data==========
direc = './data/' # directory of data file
csv_file = 'seq_all.csv'
dl = DataLoad(direc, csv_file)
dl.munge_data(height=11.0, seq_len=args.seq_len, dist=args.dist)
basket_center = np.array([5.25, 25.0, 10.0])
dl.center_data(center_cent=basket_center)
sum_samples, num_train, num_test = dl.test_valid_data_split(ratio=0.8)
print(
"--------------------------------------------------------------------")
X_train = dl.data['X_train']
y_train = dl.data['y_train']
X_test = dl.data['X_test']
y_test = dl.data['y_test']
#=======step 3: construct model==========
tf.reset_default_graph()
model = Model(args)
if args.model_type == 'LSTM_model':
model.LSTM_model()
elif args.model_type == 'bidir_LSTM_model':
model.bidir_LSTM_model()
elif args.model_type == 'CNN_model':
model.CNN_model()
elif args.model_type == 'Conv_LSTM_model':
model.Conv_LSTM_model()
elif args.model_type == 'LSTM_MDN_model':
model.MDN_model('LSTM')
elif args.model_type == 'BLSTM_MDN_model':
model.MDN_model('BLSTM')
else:
print("please choose correct model type")
return
model.Evaluating()
#=======step 4: start training===========
start_time = time.time()
train_cost_list = []
test_cost_list = []
test_AUC_list = []
with tf.Session() as sess:
sess.run(tf.global_variables_initializer())
for i in range(args.epoch):
for batch_num in range(num_train / args.batch_size):
perm_ind = np.random.choice(num_train,
args.batch_size,
replace=False)
feed_dict = {
model.X: X_train[perm_ind],
model.y: y_train[perm_ind],
model.drop_out: args.drop_out
}
fetch = [model.train_op, model.accuracy, model.cost]
_, train_acc, train_cost = sess.run(fetch, feed_dict=feed_dict)
train_cost_list.append(train_cost)
#=======step 5: start testing============
test_AUC_batch_list = []
test_cost_batch_list = []
# shuffle test data
X_test, y_test = shuffle(X_test, y_test, random_state=i * 42)
for start, end in zip(
range(0, num_test, args.batch_size),
range(args.batch_size, num_test + 1, args.batch_size)):
feed_dict = {
model.X: X_test[start:end],
model.y: y_test[start:end],
model.drop_out: 1.0
}
fetch = [model.accuracy, model.cost, model.y_pred, model.numel]
test_acc, test_cost_batch, y_pred, numel = sess.run(
fetch, feed_dict=feed_dict)
test_AUC_batch = sklearn.metrics.roc_auc_score(
y_test[start:end], y_pred[:, 1])
test_AUC_batch_list.append(test_AUC_batch)
test_cost_batch_list.append(test_cost_batch)
test_AUC = np.mean(test_AUC_batch_list)
test_cost = np.mean(test_cost_batch_list)
test_AUC_list.append(test_AUC)
test_cost_list.append(test_cost)
print(
"at {} epoch, the training cost is {}, the training accuracy is {}"
.format(i, train_cost, train_acc))
print("at {} epoch, the test cost is {}, the test accuracy is {}".
format(i, test_cost, test_acc))
print("at {} epoch, the test_AUC is {}".format(i, test_AUC))
print("------------------------------------------------------")
#----early stop---------
# if test_AUC start to decrease, then stop caculating
if i > 10:
mean_test_AUC = np.mean(test_AUC_list[-10:])
if test_AUC < mean_test_AUC * 0.8:
break
best_AUC = max(test_AUC_list)
best_AUC_ind = test_AUC_list.index(best_AUC)
end_time = time.time()
spend_time = end_time - start_time
print("========================================================")
print("Finally, at distance {}, the best test AUC is {} at {} epoch,".
format(args.dist, best_AUC, best_AUC_ind))
print("Finally, the model has {} parameters\n\n".format(numel))
# wirte result in local
with open(args.model_type + '.txt', 'a') as f:
f.write(
"At distance {}, the best test AUC is {} at {} epoch, the model has {} parameters, lr_rate is {}, dropout is {}, batchsize is {}, spend time is {}, \n\n"
.format(args.dist, best_AUC, best_AUC_ind, numel,
args.learning_rate, args.drop_out, args.batch_size,
spend_time))
#========step 5: draw results===============
generate_trajectory = True
if generate_trajectory:
if args.model_type == 'LSTM_MDN_model' or args.model_type == 'BLSTM_MDN_model':
perm_ind = np.random.choice(num_test,
args.batch_size,
replace=False)
val_dict = {
model.X: X_test[perm_ind],
model.y: y_test[perm_ind],
model.drop_out: 1.0
}
batch = X_test[perm_ind]
plot_traj_MDN_mult(model, sess, val_dict, batch)
plt.figure()
plt.plot(train_cost_list, 'r', label='train_cost')
plt.plot(test_cost_list, '--r', label='test_cost')
plt.legend()
plt.figure()
plt.plot(test_AUC_list, label='test_AUC')
plt.show()
return -best_AUC
