def real_data():
print('For Real Data')
train_data, test_data = split_data(round_return_rate(get_data()))
# Must index at starting at 0
train_data.index -= 1000
# Get a 3 level uniform quantizer of training data for observations
codebook, bounds = quantize(
np.append(train_data['ibm'].values, train_data['msft'].values))
# Init trading env
obs_space = define_observations(n_stocks=2, options=[-1, 0, 1])
env = TradingEnv(train_data,
init_capital=1000,
is_discrete=False,
source='M')
env.specify_quantization_ranges(bounds)
# Init Q table
Q = QLearningTable(actions=list(range(env.action_space_size)),
observations=obs_space)
Q.setup_table()
# Train method
update(env, Q)
test_env = TradingEnv(test_data,
init_capital=100,
is_discrete=False,
source='M')
print(tabulate(Q.q_table, tablefmt="markdown", headers="keys"))
max_actions = Q.q_table.idxmax(axis=1).values
for i in Q.q_table.idxmax(axis=1).values:
print('maximizing action', env.actions[i])
test(test_env, Q)
return
def train_markov_test_real():
# Load real data and split into training and testing
real_train_data, real_test_data = split_data(round_return_rate(get_data()))
real_train_data.index -= 1000
# Get codebook and bounds for a 3-level uniform quantizer
codebook, bounds = quantize(real_train_data['msft'].values)
# Compute an empirical transition matrix over training data with bounds
# From 3 level uniform quantizer
P = empirical_transition_matrix(real_train_data['msft'].values, bounds)
# Generate markov data according to this transition matrix and codebook values
train_data, test_data = split_data(
create_custom_markov_samples(5000, codebook, P))
# Define observation space
obs_space = [[-1, 0], [0, 0], [1, 0]]
# Enviorment for markov samples
env = TradingEnv(train_data,
init_capital=100000,
is_discrete=False,
source='M')
# Set quantization ranges for bounds from 3 level uniform quantizer
env.specify_quantization_ranges(bounds)
Q = QLearningTable(actions=list(range(env.action_space_size)),
observations=obs_space)
Q.setup_table()
# Train Q learning agent
update(env, Q)
# Create new trading enviorment for testing policy on real data
test_env = TradingEnv(real_test_data,
init_capital=100,
is_discrete=False,
source='Real')
test_env.specify_quantization_ranges(bounds)
print(tabulate(Q.q_table, tablefmt="markdown", headers="keys"))
test(test_env, Q)
return
def test_real_data_markov_2():
print('Test Different Model for Real Data')
# must index at starting at 0
train_data = create_markov_memory_2(2500)
# train_data.index -= 100
# init trading env with iid
env = TradingEnv(train_data,
init_capital=100,
is_discrete=False,
source='IID')
#init Q table
Q = QLearningTable(actions=list(range(env.action_space_size)))
#train method
update(env, Q)
# test real data
data, test_data = split_data(round_return_rate(get_data()))
test_env = TradingEnv(test_data,
init_capital=100,
is_discrete=False,
source='Real')
print(Q.q_table)
test(test_env, Q)
return
def markov_data():
print('For Markov Source')
#get train and test for 5000 days where return rates are dependent on previous day
train_data, test_data = split_data(create_markov(5000))
test_data.index -= (train_data.shape[0] + test_data.shape[0]) - 100
#init trading envioourment
env = TradingEnv(train_data,
init_capital=100,
is_discrete=True,
source='M')
#init q learning Q_table
Q = QLearningTable(actions=list(range(env.action_space_size)),
observations=train_data.drop_duplicates().values)
Q.setup_table()
#training method
update(env, Q)
test_env = TradingEnv(test_data,
init_capital=100,
is_discrete=True,
source='M')
print(tabulate(Q.q_table, tablefmt="markdown", headers="keys"))
test(test_env, Q)
return
def iid_data():
print('For IID Source')
# Get train and test data for 5000 days where return rate is i.i.d
train_data, test_data = split_data(create_iid(5000))
test_data.index -= (train_data.shape[0] + test_data.shape[0]) - 1000
# Init trading enviorment
env = TradingEnv(train_data,
init_capital=100,
is_discrete=True,
source='IID')
# Init q learing table
Q = QLearningTable(actions=list(range(env.action_space_size)),
observations=[[0, 0]])
Q.setup_table()
# Traing method
update(env, Q)
print(tabulate(Q.q_table, tablefmt="markdown", headers="keys"))
test_env = TradingEnv(test_data,
init_capital=100,
is_discrete=True,
source='IID')
test(test_env, Q)
return
def real_data():
print('For Real Data')
train_data, test_data = split_data(round_return_rate(get_data()))
#must index at starting at 0
train_data.index -= 100
#init trading env
env = TradingEnv(train_data, init_capital=100, is_discrete=False)
#init Q table
Q = QLearningTable(actions=list(range(env.action_space_size)))
#train method
update(env, Q)
test_env = TradingEnv(test_data, init_capital=100, is_discrete=False)
print(Q.q_table)
test(test_env, Q)
return
def mix():
print('For a mixture of Markov and IID Source')
#get train and test data for 5000 days
train_data, test_data = split_data(create_markov_iid_mix(5000))
test_data.index -= (train_data.shape[0] + test_data.shape[0]) - 100
#init trading env, is not discrete for iid from np uniform module
env = TradingEnv(train_data, init_capital=100, is_discrete=False)
#init q learning table
Q = QLearningTable(actions=list(range(env.action_space_size)))
#training method
update(env, Q)
test_env = TradingEnv(test_data, init_capital=100, is_discrete=False)
print(Q.q_table)
test(test_env, Q)
return
def markov_data2():
print('For Markov Memory 2 Source')
#get train and test for 5000 days where return rates are dependent on previous day
train_data, test_data = split_data(create_markov_memory_2(5000))
test_data.index -= (train_data.shape[0] + test_data.shape[0]) - 100
#init trading envioourment
env = TradingEnv(train_data, init_capital=100, is_discrete=True)
#init q learning Q_table
Q = QLearningTable(actions=list(range(env.action_space_size)))
#training method
update(env, Q)
test_env = TradingEnv(test_data, init_capital=100, is_discrete=True)
print(Q.q_table)
test(test_env, Q)
return
def iid_data():
print('For IID Source')
#get train and test data for 5000 days where return rate is i.i.d
train_data, test_data = split_data(create_iid(5000))
test_data.index -= (train_data.shape[0] + test_data.shape[0])-100
#train_data = pd.read_pickle("data/train_data_iid")
#test_data = pd.read_pickle("data/test_data_iid")
#init trading enviorment
env = TradingEnv(train_data, init_capital=100, is_discrete = False)
#init q learing table
Q = QLearningTable(actions=list(range(env.action_space_size)))
#traing method
update(env, Q)
#print(Q.q_table)
test_env = TradingEnv(test_data, init_capital=100, is_discrete = False)
test(test_env, Q)
return
def train_markov_real():
#get markov to train q table on
train_data, ignore_test_data = split_data(create_markov(5000))
env = TradingEnv(train_data,
init_capital=100,
is_discrete=True,
source='M')
Q = QLearningTable(actions=list(range(env.action_space_size)))
#training method
update(env, Q)
#get real data for testing
real_train_data, real_test_data = split_data(round_return_rate(get_data()))
test_env = TradingEnv(real_test_data,
init_capital=100,
is_discrete=True,
source='Real')
print(tabulate(Q.q_table, tablefmt="markdown", headers="keys"))
test(test_env, Q)
return
def real_data():
print('For Real Data')
train_data, test_data = split_data(round_return_rate(get_data()))
#must index at starting at 0
train_data.index -= 100
#init trading env
env = TradingEnv(train_data,
init_capital=100,
is_discrete=False,
source='Real')
#init Q table
Q = QLearningTable(actions=list(range(env.action_space_size)))
#train method
update(env, Q)
test_env = TradingEnv(test_data,
init_capital=100,
is_discrete=False,
source='Real')
print(tabulate(Q.q_table, tablefmt="markdown", headers="keys"))
test(test_env, Q)
return
def markov_data2():
print('For Markov Memory 2 Source')
# Get train and test for 5000 days where return rates are dependent on previous day
train_data, test_data = split_data(create_markov_memory_2(5000))
test_data.index -= (train_data.shape[0] + test_data.shape[0]) - 1000
# Init trading envioronment
env = TradingEnv(train_data,
init_capital=100,
is_discrete=True,
source='M2')
# Init q learning Q_table
Q = QLearningTable(actions=list(range(env.action_space_size)),
observations=[[0, 0]])
# Training method
update(env, Q)
test_env = TradingEnv(test_data,
init_capital=100,
is_discrete=True,
source='M2')
print(tabulate(Q.q_table, tablefmt="markdown", headers="keys"))
test(test_env, Q)
return
# RL choose action based on observation
action = RL.choose_action(observation)
# RL take action and get next observation and reward
observation_, reward, done = env.step(action)
# RL learn from this transition
RL.learn(observation, action, reward, observation_)
# swap observation
observation = observation_
# break while loop when end of this episode
if done:
#RL.epsilon += 0.001
break
print(reward)
print(RL.q_table)
print(reward)
G = GrowUp()
print("test")
for i in range(len(RL.q_table) - 1):
G.step(np.argmax(RL.q_table[i]))
print(G.score)
if __name__ == "__main__":
env = GrowUp()
RL = QLearningTable(actions=list(range(env.n_actions)))
update()
