def run_ensemble_strategy(df, unique_trade_date, rebalance_window,
validation_window) -> None:
"""Ensemble Strategy that combines PPO, A2C and DDPG"""
print("============Start Ensemble Strategy============")
# for ensemble model, it's necessary to feed the last state
# of the previous model to the current model as the initial state
last_state_ensemble = []
ppo_sharpe_list = []
ddpg_sharpe_list = []
a2c_sharpe_list = []
model_use = []
# based on the analysis of the in-sample data
turbulence_threshold = 140
start = time.time()
for i in range(rebalance_window + validation_window,
len(unique_trade_date), rebalance_window):
print("============================================")
## initial state is empty
if i - rebalance_window - validation_window == 0:
# inital state
initial = True
else:
# previous state
initial = False
# Tuning trubulence index based on historical data
# TODO: need a more dynamic model
# 2018-2019
if (i >= 692) & (i < 1090):
turbulence_threshold = 100
# 2020
if i >= 1090:
turbulence_threshold = 90
############## Environment Setup starts ##############
## training env
train = data_split(df,
start=20090000,
end=unique_trade_date[i - rebalance_window -
validation_window])
env_train = DummyVecEnv([lambda: StockEnvTrain(train)])
## validation env
validation = data_split(df,
start=unique_trade_date[i - rebalance_window -
validation_window],
end=unique_trade_date[i - rebalance_window])
env_val = DummyVecEnv([
lambda: StockEnvValidation(validation,
turbulence_threshold=
turbulence_threshold,
iteration=i)
])
obs_val = env_val.reset()
############## Environment Setup ends ##############
############## Training and Validation starts ##############
print("======Model training from: ", 20090000, "to ",
unique_trade_date[i - rebalance_window - validation_window])
# print("training: ",len(data_split(df, start=20090000, end=test.datadate.unique()[i-rebalance_window]) ))
# print("==============Model Training===========")
print("======A2C Training========")
model_a2c = train_A2C(env_train,
model_name="A2C_10k_dow_{}".format(i),
timesteps=20000)
print("======A2C Validation from: ",
unique_trade_date[i - rebalance_window - validation_window],
"to ", unique_trade_date[i - rebalance_window])
DRL_validation(model=model_a2c,
test_data=validation,
test_env=env_val,
test_obs=obs_val)
sharpe_a2c = get_validation_sharpe(i)
print("A2C Sharpe Ratio: ", sharpe_a2c)
print("======PPO Training========")
model_ppo = train_PPO(env_train,
model_name="PPO_100k_dow_{}".format(i),
timesteps=50000)
print("======PPO Validation from: ",
unique_trade_date[i - rebalance_window - validation_window],
"to ", unique_trade_date[i - rebalance_window])
DRL_validation(model=model_ppo,
test_data=validation,
test_env=env_val,
test_obs=obs_val)
sharpe_ppo = get_validation_sharpe(i)
print("PPO Sharpe Ratio: ", sharpe_ppo)
print("======DDPG Training========")
model_ddpg = train_DDPG(env_train,
model_name="DDPG_10k_dow_{}".format(i),
timesteps=10000)
print("======DDPG Validation from: ",
unique_trade_date[i - rebalance_window - validation_window],
"to ", unique_trade_date[i - rebalance_window])
DRL_validation(model=model_ddpg,
test_data=validation,
test_env=env_val,
test_obs=obs_val)
sharpe_ddpg = get_validation_sharpe(i)
ppo_sharpe_list.append(sharpe_ppo)
a2c_sharpe_list.append(sharpe_a2c)
ddpg_sharpe_list.append(sharpe_ddpg)
# Model Selection based on sharpe ratio
if (sharpe_ppo >= sharpe_a2c) & (sharpe_ppo >= sharpe_ddpg):
model_ensemble = model_ppo
model_use.append('PPO')
elif (sharpe_a2c > sharpe_ppo) & (sharpe_a2c > sharpe_ddpg):
model_ensemble = model_a2c
model_use.append('A2C')
else:
model_ensemble = model_ddpg
model_use.append('DDPG')
############## Training and Validation ends ##############
############## Trading starts ##############
print("======Trading from: ", unique_trade_date[i - rebalance_window],
"to ", unique_trade_date[i])
print("Used Model: ", model_ensemble)
last_state_ensemble = DRL_prediction(
df=df,
model=model_ensemble,
name="ensemble",
last_state=last_state_ensemble,
iter_num=i,
unique_trade_date=unique_trade_date,
rebalance_window=rebalance_window,
turbulence_threshold=turbulence_threshold,
initial=initial)
# print("============Trading Done============")
############## Trading ends ##############
end = time.time()
print("Ensemble Strategy took: ", (end - start) / 60, " minutes")
def run_ensemble_strategy(df, unique_trade_date, rebalance_window, validation_window) -> None:
"""Ensemble Strategy that combines PPO, A2C and DDPG"""
print("============Start Ensemble Strategy============")
# for ensemble model, it's necessary to feed the last state
# of the previous model to the current model as the initial state
last_state_ensemble = []
ppo_sharpe_list = []
ddpg_sharpe_list = []
a2c_sharpe_list = []
model_use = []
# based on the analysis of the in-sample data
#turbulence_threshold = 140
insample_turbulence = df[(df.datadate<20151000) & (df.datadate>=20090000)]
insample_turbulence = insample_turbulence.drop_duplicates(subset=['datadate'])
insample_turbulence_threshold = np.quantile(insample_turbulence.turbulence.values, .90)
start = time.time()
for i in range(rebalance_window + validation_window, len(unique_trade_date), rebalance_window):
print("============================================")
## initial state is empty
if i - rebalance_window - validation_window == 0:
# inital state
initial = True
else:
# previous state
initial = False
# Tuning trubulence index based on historical data
# Turbulence lookback window is one quarter
historical_turbulence = df[(df.datadate<unique_trade_date[i - rebalance_window - validation_window]) & (df.datadate>=(unique_trade_date[i - rebalance_window - validation_window-63]))]
historical_turbulence = historical_turbulence.drop_duplicates(subset=['datadate'])
historical_turbulence_mean = np.mean(historical_turbulence.turbulence.values)
if historical_turbulence_mean > insample_turbulence_threshold:
# if the mean of the historical data is greater than the 90% quantile of insample turbulence data
# then we assume that the current market is volatile,
# therefore we set the 90% quantile of insample turbulence data as the turbulence threshold
# meaning the current turbulence can't exceed the 90% quantile of insample turbulence data
turbulence_threshold = insample_turbulence_threshold
else:
# if the mean of the historical data is less than the 90% quantile of insample turbulence data
# then we tune up the turbulence_threshold, meaning we lower the risk
turbulence_threshold = np.quantile(insample_turbulence.turbulence.values, 1)
print("turbulence_threshold: ", turbulence_threshold)
############## Environment Setup starts ##############
## training env
train = data_split(df, start=20090000, end=unique_trade_date[i - rebalance_window - validation_window])
env_train = DummyVecEnv([lambda: StockEnvTrain(train)])
## validation env
validation = data_split(df, start=unique_trade_date[i - rebalance_window - validation_window],
end=unique_trade_date[i - rebalance_window])
env_val = DummyVecEnv([lambda: StockEnvValidation(validation,
turbulence_threshold=turbulence_threshold,
iteration=i)])
obs_val = env_val.reset()
############## Environment Setup ends ##############
############## Training and Validation starts ##############
print("======Model training from: ", 20090000, "to ",
unique_trade_date[i - rebalance_window - validation_window])
# print("training: ",len(data_split(df, start=20090000, end=test.datadate.unique()[i-rebalance_window]) ))
# print("==============Model Training===========")
print("======A2C Training========")
model_a2c = train_A2C(env_train, model_name="A2C_30k_dow_{}".format(i), timesteps=30000)
print("======A2C Validation from: ", unique_trade_date[i - rebalance_window - validation_window], "to ",
unique_trade_date[i - rebalance_window])
DRL_validation(model=model_a2c, test_data=validation, test_env=env_val, test_obs=obs_val)
sharpe_a2c = get_validation_sharpe(i)
print("A2C Sharpe Ratio: ", sharpe_a2c)
print("======PPO Training========")
model_ppo = train_PPO(env_train, model_name="PPO_100k_dow_{}".format(i), timesteps=100000)
print("======PPO Validation from: ", unique_trade_date[i - rebalance_window - validation_window], "to ",
unique_trade_date[i - rebalance_window])
DRL_validation(model=model_ppo, test_data=validation, test_env=env_val, test_obs=obs_val)
sharpe_ppo = get_validation_sharpe(i)
print("PPO Sharpe Ratio: ", sharpe_ppo)
print("======DDPG Training========")
model_ddpg = train_DDPG(env_train, model_name="DDPG_10k_dow_{}".format(i), timesteps=10000)
#model_ddpg = train_TD3(env_train, model_name="DDPG_10k_dow_{}".format(i), timesteps=20000)
print("======DDPG Validation from: ", unique_trade_date[i - rebalance_window - validation_window], "to ",
unique_trade_date[i - rebalance_window])
DRL_validation(model=model_ddpg, test_data=validation, test_env=env_val, test_obs=obs_val)
sharpe_ddpg = get_validation_sharpe(i)
ppo_sharpe_list.append(sharpe_ppo)
a2c_sharpe_list.append(sharpe_a2c)
ddpg_sharpe_list.append(sharpe_ddpg)
# Model Selection based on sharpe ratio
if (sharpe_ppo >= sharpe_a2c) & (sharpe_ppo >= sharpe_ddpg):
model_ensemble = model_ppo
model_use.append('PPO')
elif (sharpe_a2c > sharpe_ppo) & (sharpe_a2c > sharpe_ddpg):
model_ensemble = model_a2c
model_use.append('A2C')
else:
model_ensemble = model_ddpg
model_use.append('DDPG')
############## Training and Validation ends ##############
############## Trading starts ##############
print("======Trading from: ", unique_trade_date[i - rebalance_window], "to ", unique_trade_date[i])
#print("Used Model: ", model_ensemble)
last_state_ensemble = DRL_prediction(df=df, model=model_ensemble, name="ensemble",
last_state=last_state_ensemble, iter_num=i,
unique_trade_date=unique_trade_date,
rebalance_window=rebalance_window,
turbulence_threshold=turbulence_threshold,
initial=initial)
# print("============Trading Done============")
############## Trading ends ##############
end = time.time()
print("Ensemble Strategy took: ", (end - start) / 60, " minutes")
def run_ensemble_strategy(
df, unique_trade_date, rebalance_window, validation_window
) -> None:
"""Ensemble Strategy that combines PPO, A2C and DDPG"""
# for ensemble model, it's necessary to feed the last state
# of the previous model to the current model as the initial state
last_state_ensemble = []
ppo_sharpe_list = []
ddpg_sharpe_list = []
a2c_sharpe_list = []
model_used = []
# based on the analysis of the in-sample data
# turbulence_threshold = 140
insample_turbulence = df[
(df.datadate < config.VALIDATION_START_DATE - 1)
& (df.datadate >= config.TRAINING_START_DATE)
]
insample_turbulence = insample_turbulence.drop_duplicates(subset=["datadate"])
insample_turbulence_threshold = np.quantile(
insample_turbulence.turbulence.values, 0.90
)
start = time.time()
for i in range(
rebalance_window + validation_window, len(unique_trade_date), rebalance_window
):
## initial state is empty
if i - rebalance_window - validation_window == 0:
# inital state
initial = True
else:
# previous state
initial = False
# Tuning turbulence index based on historical data
# Turbulence lookback window is one quarter
end_date_index = df.index[
df["datadate"]
== unique_trade_date[i - rebalance_window - validation_window]
].to_list()[-1]
start_date_index = end_date_index - validation_window * 30 + 1
historical_turbulence = df.iloc[start_date_index : (end_date_index + 1), :]
# historical_turbulence = df[(df.datadate<unique_trade_date[i - rebalance_window - validation_window]) & (df.datadate>=(unique_trade_date[i - rebalance_window - validation_window - 63]))]
historical_turbulence = historical_turbulence.drop_duplicates(
subset=["datadate"]
)
historical_turbulence_mean = np.mean(historical_turbulence.turbulence.values)
if historical_turbulence_mean > insample_turbulence_threshold:
# if the mean of the historical data is greater than the 90% quantile of insample turbulence data
# then we assume that the current market is volatile,
# therefore we set the 90% quantile of insample turbulence data as the turbulence threshold
# meaning the current turbulence can't exceed the 90% quantile of insample turbulence data
turbulence_threshold = insample_turbulence_threshold
else:
# if the mean of the historical data is less than the 90% quantile of insample turbulence data
# then we tune up the turbulence_threshold, meaning we lower the risk
turbulence_threshold = np.quantile(insample_turbulence.turbulence.values, 1)
style = "[bold #31DDCF]"
rprint(
Align(
f"{style}Turbulence Threshold:[/] {str(turbulence_threshold)}", "center"
)
)
############## Environment Setup starts ##############
## training env
train = data_split(
df,
start=config.TRAINING_START_DATE,
end=unique_trade_date[i - rebalance_window - validation_window],
)
env_train = DummyVecEnv([lambda: StockEnvTrain(train)])
## validation env
validation = data_split(
df,
start=unique_trade_date[i - rebalance_window - validation_window],
end=unique_trade_date[i - rebalance_window],
)
env_val = DummyVecEnv(
[
lambda: StockEnvValidation(
validation, turbulence_threshold=turbulence_threshold, iteration=i
)
]
)
obs_val = env_val.reset()
############## Environment Setup ends ##############
############## Training and Validation starts ##############
table = Table(
title=f"Training from 20090000 to {unique_trade_date[i - rebalance_window - validation_window]}",
expand=True,
)
table.add_column("Mode Name", justify="center")
table.add_column("Sharpe Ratio")
table.add_column("Training Time")
with Live(table, auto_refresh=False) as live:
model_a2c, a2c_training_time = train_A2C(
env_train, model_name="A2C_30k_dow_{}".format(i), timesteps=30000
)
DRL_validation(
model=model_a2c,
test_data=validation,
test_env=env_val,
test_obs=obs_val,
)
sharpe_a2c = get_validation_sharpe(i)
table.add_row("A2C", str(sharpe_a2c), f"{a2c_training_time} minutes")
live.update(table, refresh=True)
model_ppo, ppo_training_time = train_PPO(
env_train, model_name="PPO_100k_dow_{}".format(i), timesteps=100000
)
DRL_validation(
model=model_ppo,
test_data=validation,
test_env=env_val,
test_obs=obs_val,
)
sharpe_ppo = get_validation_sharpe(i)
table.add_row("PPO", str(sharpe_ppo), f"{ppo_training_time} minutes")
live.update(table, refresh=True)
model_ddpg, ddpg_training_time = train_DDPG(
env_train, model_name="DDPG_10k_dow_{}".format(i), timesteps=10000
)
# model_ddpg = train_TD3(env_train, model_name="DDPG_10k_dow_{}".format(i), timesteps=20000)
DRL_validation(
model=model_ddpg,
test_data=validation,
test_env=env_val,
test_obs=obs_val,
)
sharpe_ddpg = get_validation_sharpe(i)
table.add_row("DDPG", str(sharpe_ddpg), f"{ddpg_training_time} minutes")
live.update(table, refresh=True)
ppo_sharpe_list.append(sharpe_ppo)
a2c_sharpe_list.append(sharpe_a2c)
ddpg_sharpe_list.append(sharpe_ddpg)
# Model Selection based on sharpe ratio
if (sharpe_ppo >= sharpe_a2c) & (sharpe_ppo >= sharpe_ddpg):
model_ensemble = model_ppo
model_used.append("PPO")
elif (sharpe_a2c > sharpe_ppo) & (sharpe_a2c > sharpe_ddpg):
model_ensemble = model_a2c
model_used.append("A2C")
else:
model_ensemble = model_ddpg
model_used.append("DDPG")
############## Training and Validation ends ##############
############## Trading starts ##############
# print("Used Model: ", model_ensemble)
last_state_ensemble = DRL_prediction(
df=df,
model=model_ensemble,
name="ensemble",
last_state=last_state_ensemble,
iter_num=i,
unique_trade_date=unique_trade_date,
rebalance_window=rebalance_window,
turbulence_threshold=turbulence_threshold,
initial=initial,
)
print("\n\n")
# print("============Trading Done============")
############## Trading ends ##############
end = time.time()
print("Ensemble Strategy took: ", (end - start) / 60, " minutes")
