def predict_stock_base_on_similars(code):
tops = find_similar_of_a_stock(code)
if tops is None:
return None
tops = tops.head(config.nb_similar_make_prediction)
pred_ratios1, pred_ratios5, pred_ratios10, pred_ratios20 = 0, 0, 0, 0
for _, top in tops.iterrows():
pred = market.get_data(start_date=top['DATE'], code=top['CODE'])
if config.speed_method in ['rm_market_vr_fft']:
pred_market_ratios1 = market.get_span_market_ratio(pred, 1)
pred_market_ratios5 = market.get_span_market_ratio(pred, 5)
pred_market_ratios10 = market.get_span_market_ratio(pred, 10)
pred_market_ratios20 = market.get_span_market_ratio(pred, 20)
else:
pred_market_ratios1, pred_market_ratios5, pred_market_ratios10, pred_market_ratios20 = 0, 0, 0, 0
pred_ratios1 += (pred.iloc[1]['CLOSE'] - pred.iloc[0]['CLOSE']
) / pred.iloc[0]['CLOSE'] - pred_market_ratios1
pred_ratios5 += (pred.iloc[5]['CLOSE'] - pred.iloc[0]['CLOSE']
) / pred.iloc[0]['CLOSE'] - pred_market_ratios5
pred_ratios10 += (pred.iloc[10]['CLOSE'] - pred.iloc[0]['CLOSE']
) / pred.iloc[0]['CLOSE'] - pred_market_ratios10
pred_ratios20 += (pred.iloc[20]['CLOSE'] - pred.iloc[0]['CLOSE']
) / pred.iloc[0]['CLOSE'] - pred_market_ratios20
size = tops.shape[0]
return [
code, pred_ratios1 / size, pred_ratios5 / size, pred_ratios10 / size,
pred_ratios20 / size
]
def make_index_prediction():
pool = Pool(processes=config.cores)
all_stocks_avg_pred_results = pool.map(predict_stock_base_on_similars,
market.codes)
pool.close()
pred1, pred5, pred10, pred20 = 0, 0, 0, 0
for result in all_stocks_avg_pred_results:
if result is None:
continue
pred1 += result[1] / len(all_stocks_avg_pred_results)
pred5 += result[2] / len(all_stocks_avg_pred_results)
pred10 += result[3] / len(all_stocks_avg_pred_results)
pred20 += result[4] / len(all_stocks_avg_pred_results)
m = market.get_data(start_date=market.current_date)
act1 = (m['800_MARKET'].iloc[1] -
m['800_MARKET'].iloc[0]) / m['800_MARKET'].iloc[0]
act5 = (m['800_MARKET'].iloc[5] -
m['800_MARKET'].iloc[0]) / m['800_MARKET'].iloc[0]
act10 = (m['800_MARKET'].iloc[10] -
m['800_MARKET'].iloc[0]) / m['800_MARKET'].iloc[0]
act20 = (m['800_MARKET'].iloc[20] -
m['800_MARKET'].iloc[0]) / m['800_MARKET'].iloc[0]
def test_get_historical_data(self):
config.start_date = pd.to_datetime('2015-11-20')
from codes.market import market
pattern = market.get_data(start_date=config.start_date,
code='603883.SH')
self.assertEqual(pattern.shape[0], 30)
self.assertEqual(str(market.current_date.date()), '2015-12-31')
def make_prediction():
pool = Pool(processes=config.cores)
all_stocks_avg_pred_results = pool.map(predict_stock_base_on_similars,
market.codes)
pool.close()
all_stocks_avg_pred_results = [
x for x in all_stocks_avg_pred_results if x is not None
]
pred_ratios1, pred_ratios5, pred_ratios10, pred_ratios20 = [], [], [], []
act_ratios1, act_ratios5, act_ratios10, act_ratios20, codes = [], [], [], [], []
for avg_pred_result in all_stocks_avg_pred_results:
codes.append(avg_pred_result[0])
pred_ratios1.append(avg_pred_result[1])
pred_ratios5.append(avg_pred_result[2])
pred_ratios10.append(avg_pred_result[3])
pred_ratios20.append(avg_pred_result[4])
act = market.get_data(start_date=market.current_date,
code=avg_pred_result[0])
if config.speed_method in ['rm_market_vr_fft']:
act_market_ratios1 = market.get_span_market_ratio(act, 1)
act_market_ratios5 = market.get_span_market_ratio(act, 5)
act_market_ratios10 = market.get_span_market_ratio(act, 10)
act_market_ratios20 = market.get_span_market_ratio(act, 20)
else:
act_market_ratios1, act_market_ratios5, act_market_ratios10, act_market_ratios20 = 0, 0, 0, 0
act_ratios1.append((act.iloc[1]['CLOSE'] - act.iloc[0]['CLOSE']) /
act.iloc[0]['CLOSE'] - act_market_ratios1)
act_ratios5.append((act.iloc[5]['CLOSE'] - act.iloc[0]['CLOSE']) /
act.iloc[0]['CLOSE'] - act_market_ratios5)
act_ratios10.append((act.iloc[10]['CLOSE'] - act.iloc[0]['CLOSE']) /
act.iloc[0]['CLOSE'] - act_market_ratios10)
act_ratios20.append((act.iloc[20]['CLOSE'] - act.iloc[0]['CLOSE']) /
act.iloc[0]['CLOSE'] - act_market_ratios20)
preds = [pred_ratios1, pred_ratios5, pred_ratios10, pred_ratios20]
acts = [act_ratios1, act_ratios5, act_ratios10, act_ratios20]
get_prediction_and_calcu_corr(codes, preds, acts)
def apply(x):
x_ = x.head(config.nb_similar_make_prediction).copy()
pattern_code = x_['pattern'].values[0]
pred_ratio1, pred_ratio2, pred_ratio3, pred_ratio4, pred_ratio5, pred_ratio10, pred_ratio20 = 0, 0, 0, 0, 0, 0, 0
size = 0
for index, top in x_.iterrows():
pred = market.get_data(start_date=top['DATE'], code=top['CODE'])
if pred.shape[0] != 30:
print('---Cannot found 30 ', top['CODE'], ' for ',
pattern_code, ' start form ', str(top['DATE']))
continue
size += 1
pred_ratio1 += market.get_span_ret(
pred, 1) / market.get_span_market_ratio(pred, 1) - 1
pred_ratio2 += market.get_span_ret(
pred, 2) / market.get_span_market_ratio(pred, 2) - 1
pred_ratio3 += market.get_span_ret(
pred, 3) / market.get_span_market_ratio(pred, 3) - 1
pred_ratio4 += market.get_span_ret(
pred, 4) / market.get_span_market_ratio(pred, 4) - 1
pred_ratio5 += market.get_span_ret(
pred, 5) / market.get_span_market_ratio(pred, 5) - 1
pred_ratio10 += market.get_span_ret(
pred, 10) / market.get_span_market_ratio(pred, 10) - 1
pred_ratio20 += market.get_span_ret(
pred, 20) / market.get_span_market_ratio(pred, 20) - 1
if config.is_regression_test:
act = market.get_data(start_date=market.current_date,
code=pattern_code)
act_ratios1.append(
market.get_span_ret(act, 1) /
market.get_span_market_ratio(act, 1) - 1)
act_ratios2.append(
market.get_span_ret(act, 2) /
market.get_span_market_ratio(act, 2) - 1)
act_ratios3.append(
market.get_span_ret(act, 3) /
market.get_span_market_ratio(act, 3) - 1)
act_ratios4.append(
market.get_span_ret(act, 4) /
market.get_span_market_ratio(act, 4) - 1)
act_ratios5.append(
market.get_span_ret(act, 5) /
market.get_span_market_ratio(act, 5) - 1)
act_ratios10.append(
market.get_span_ret(act, 10) /
market.get_span_market_ratio(act, 10) - 1)
act_ratios20.append(
market.get_span_ret(act, 20) /
market.get_span_market_ratio(act, 20) - 1)
# else:
# print('正在进行实际预测, 无实际值...', pattern_code)
pred_ratios1.append(pred_ratio1 / size)
pred_ratios2.append(pred_ratio2 / size)
pred_ratios3.append(pred_ratio3 / size)
pred_ratios4.append(pred_ratio4 / size)
pred_ratios5.append(pred_ratio5 / size)
pred_ratios10.append(pred_ratio10 / size)
pred_ratios20.append(pred_ratio20 / size)
codes.append(pattern_code)