diff --git a/LSTM.py b/LSTM.py new file mode 100644 index 0000000..1db8500 --- /dev/null +++ b/LSTM.py @@ -0,0 +1,222 @@ +import numpy as np +import matplotlib.pyplot as plt +import pandas as pd +import seaborn as sns + +import yfinance as yf +from datetime import datetime +import os, sys + +from sklearn import preprocessing + +from tensorflow.keras.models import Sequential +from tensorflow.keras.layers import Dense, Dropout, LSTM +from tensorflow.keras.callbacks import ModelCheckpoint, EarlyStopping + +#bodacious colors +colors=sns.color_palette("rocket", 8) +#Ram's colors, if desired +seshadri = ['#c3121e', '#0348a1', '#ffb01c', '#027608', '#0193b0', '#9c5300', '#949c01', '#7104b5'] +# 0sangre, 1neptune, 2pumpkin, 3clover, 4denim, 5cocoa, 6cumin, 7berry + +def enlarge_lag(to_enlarge, time_window=1): + # to_enlarge is the data already present, should be a numpy array + enlarged = [] + for i in range(to_enlarge.shape[0] - time_window + 1): + new_element = [] + for j in range(time_window): + new_element.extend(to_enlarge[i + time_window - 1 - j, :]) + enlarged.append(new_element) + + return np.array(enlarged) + +#### Calculate the metrics RMSE and MAPE #### +def calculate_rmse(y_true, y_pred): + """ + Calculate the Root Mean Squared Error (RMSE) + """ + rmse = np.sqrt(np.mean((y_true - y_pred) ** 2)) + return rmse + + +def calculate_mape(y_true, y_pred): + """ + Calculate the Mean Absolute Percentage Error (MAPE) % + """ + y_pred, y_true = np.array(y_pred), np.array(y_true) + mape = np.mean(np.abs((y_true - y_pred) / y_true)) * 100 + return mape + +train_quota = 0.8 + +if len(sys.argv) > 1: + time_window = int(sys.argv[1]) +else: + time_window = 1 + +#time_window = 10 + +stock_data = pd.read_pickle("data/MSFT_data.pkl") + +price = stock_data["Close"].to_numpy() +volume = stock_data["Volume"].to_numpy() +daily_returns = ((stock_data["Close"] - stock_data["Open"]) / stock_data["Open"]).to_numpy() + +minmax_scaler = preprocessing.MinMaxScaler(feature_range=(0, 1)) + +features = np.vstack((price, volume)).T + +# Necessary for MAs +norm_features = minmax_scaler.fit_transform(price.reshape(-1, 1)) + + +# merge data into 2d numpy array +Y = np.zeros(features.shape[0] - 1) + + +for i in range(Y.size): + Y[i] = norm_features[i+1, 0] + +time_window = 20 + +if time_window > 1: + norm_features = enlarge_lag(norm_features, time_window) + Y = Y[time_window-1:] + +print(norm_features.shape, Y.shape) + +train_size = int(norm_features.shape[0] * 0.8) +X_train = norm_features[:train_size, ] +Y_train = Y[:train_size] + +X_test = norm_features[train_size:-1, ] +Y_test = Y[train_size:] + +def LSTM_model(): + model = Sequential() + + model.add(LSTM(units = 50, return_sequences=True, input_shape=(X_train.shape[1], 1))) + model.add(Dropout(0.2)) + + model.add(LSTM(units=50, return_sequences=True)) + model.add(Dropout(0.2)) + + model.add(LSTM(units=50)) + model.add(Dropout(0.2)) + + model.add(Dense(units=1)) + + return model + +model = LSTM_model() +model.summary() +model.compile( + optimizer="adam", + loss="mean_squared_error" +) + +# Save weights only for best model +checkpointer = ModelCheckpoint( + filepath = 'weights_best.hdf5', + verbose = 2, + save_best_only = True +) + +if os.path.exists("./checkpoints/checkpoint"): + model.load_weights("./checkpoints/my_checkpoint") +else: + model.fit( + X_train, + Y_train, + epochs=25, + batch_size = 32, + callbacks = [checkpointer] + ) + + model.save_weights("./checkpoints/my_checkpoint") + +prediction = model.predict(X_test) +predicted_prices = minmax_scaler.inverse_transform(prediction).flatten() + +counter = 0 + +#for i in range(prediction.shape[0]-1): +# if (prediction[i+1,] - prediction[i,] > 0 and predicted_prices[i+1,] - predicted_prices[i,] > 0) or (prediction[i+1,] - prediction[i,] < 0 and predicted_prices[i+1,] - predicted_prices[i,] < 0): +# counter = counter + 1 + +#print("acc: ", counter/prediction.shape[0]) + + + +test_prices = price[time_window - 1 + train_size:] + + +pred_ret = [] +actual_ret = [] +for j in range(len(test_prices) - 1): + # il predicted price è il prezzo di domani, lo voglio confrontare con il ritorno effettivo di domani + pred_ret.append((predicted_prices[j] - test_prices[j])/test_prices[j]) + actual_ret.append((test_prices[j+1] - test_prices[j])/test_prices[j]) + +pred_ret_np = np.array(pred_ret) +actual_ret_np = np.array(actual_ret) + +sign_comp = np.sum(np.sign(pred_ret_np) == np.sign(actual_ret_np))/len(pred_ret_np) +sign_comp_red_nottoomuch = np.sum(np.sign(pred_ret_np[:200]) == np.sign(actual_ret_np[:200]))/len(pred_ret_np[:200]) +sign_comp_red = np.sum(np.sign(pred_ret_np[:100]) == np.sign(actual_ret_np[:100]))/len(pred_ret_np[:100]) +sign_comp_red_alot = np.sum(np.sign(pred_ret_np[:50]) == np.sign(actual_ret_np[:50]))/len(pred_ret_np[:50]) + + +print(sign_comp) +print(sign_comp_red_nottoomuch) +print(sign_comp_red) +print(sign_comp_red_alot) + +rmse = calculate_rmse(test_prices[1:], predicted_prices) +mape = calculate_mape(test_prices[1:], predicted_prices) + +print("RMSE: ", rmse) +print("MAPE: ", mape) + +rmse = calculate_rmse(test_prices[1:301], predicted_prices[:300]) +mape = calculate_mape(test_prices[1:301], predicted_prices[:300]) + +print("RMSE su 300 gg: ", rmse) +print("MAPE su 300 gg: ", mape) + +#plt.plot(pred_ret, color=seshadri[0]) +#plt.plot(daily_returns[1:], color=seshadri[1]) + +fig = plt.figure(1, figsize=(12,10)) +plt.plot(test_prices, color=seshadri[0], label="Registered Closing Price") +plt.plot(predicted_prices, color=seshadri[1], label="Prediction") + +#plot params +plt.xlim([0,1200]) +plt.ylim([100,400]) +plt.minorticks_on() +plt.tick_params(labelsize=14) +plt.tick_params(labelbottom=True, labeltop=False, labelright=False, labelleft=True) +#xticks = np.arange(0, 1e4,10) +#yticks = np.arange(0,16.1,4) + +plt.tick_params(direction='in',which='minor', length=5, bottom=True, top=True, left=True, right=True) +plt.tick_params(direction='in',which='major', length=10, bottom=True, top=True, left=True, right=True) +#plt.xticks(xticks) +#plt.yticks(yticks) + + +#plt.text(1,325, f'y={Decimal(coefs[3]):.4f}x$^3$+{Decimal(coefs[2]):.2f}x$^2$+{Decimal(coefs[1]):.2f}x+{Decimal(coefs[0]):.1f}',fontsize =13) + + +plt.xlabel(r'Days (from last training)', fontsize=14) +plt.ylabel(r'Price (USD)',fontsize=14) # label the y axis + + +plt.legend(fontsize=14, loc="upper right", bbox_to_anchor=(0.99, 0.99)) # add the legend (will default to 'best' location) + +plt.savefig("plots/First_Attempt_LSTM_2.png", dpi=300) + +plt.show() +#with open("plots/data/MLP_20_10_5_2.csv", "a") as f: +# f.write(f"{time_window};{train_score};{score};\n") \ No newline at end of file diff --git a/LSTM_advanced.py b/LSTM_advanced.py new file mode 100644 index 0000000..6dbdbce --- /dev/null +++ b/LSTM_advanced.py @@ -0,0 +1,238 @@ +import numpy as np +import matplotlib.pyplot as plt +import pandas as pd +import seaborn as sns + +import yfinance as yf +from datetime import datetime +import os, sys + +from sklearn import preprocessing + +from tensorflow.keras.models import Sequential +from tensorflow.keras.layers import Dense, Dropout, LSTM, Input +from tensorflow.keras.callbacks import ModelCheckpoint, EarlyStopping + +#bodacious colors +colors=sns.color_palette("rocket", 8) +#Ram's colors, if desired +seshadri = ['#c3121e', '#0348a1', '#ffb01c', '#027608', '#0193b0', '#9c5300', '#949c01', '#7104b5'] +# 0sangre, 1neptune, 2pumpkin, 3clover, 4denim, 5cocoa, 6cumin, 7berry + +np.set_printoptions(threshold=100) + +def enlarge_lag(to_enlarge, time_window=1): + # to_enlarge is the data already present, should be a numpy array + enlarged = [] + for i in range(to_enlarge.shape[0] - time_window + 1): + new_element = [] + for j in range(time_window): + new_element.extend(to_enlarge[i + time_window - 1 - j, :]) + enlarged.append(new_element) + + return np.array(enlarged) + +#### Calculate the metrics RMSE and MAPE #### +def calculate_rmse(y_true, y_pred): + """ + Calculate the Root Mean Squared Error (RMSE) + """ + rmse = np.sqrt(np.mean((y_true - y_pred) ** 2)) + return rmse + + +def calculate_mape(y_true, y_pred): + """ + Calculate the Mean Absolute Percentage Error (MAPE) % + """ + y_pred, y_true = np.array(y_pred), np.array(y_true) + mape = np.mean(np.abs((y_true - y_pred) / y_true)) * 100 + return mape + +train_quota = 0.8 + +if len(sys.argv) > 1: + time_window = int(sys.argv[1]) +else: + time_window = 1 + +#time_window = 10 + +stock_data = pd.read_pickle("data/MSFT_data.pkl") + +price = stock_data["Close"].to_numpy() +volume = stock_data["Volume"].to_numpy() +daily_returns = ((stock_data["Close"] - stock_data["Open"]) / stock_data["Open"]).to_numpy() + +minmax_scaler = preprocessing.MinMaxScaler(feature_range=(0, 1)) +sec_scaler = preprocessing.MinMaxScaler(feature_range=(0, 1)) + +#features = np.vstack((price, volume)).T + +# Necessary for MAs +#norm_features = np.hstack((minmax_scaler.fit_transform(price.reshape(-1, 1)), sec_scaler.fit_transform(volume.reshape(-1, 1)))) +norm_features = minmax_scaler.fit_transform(price.reshape(-1, 1)) + +rets = np.diff(price) +bin_rets = np.zeros(len(rets)) +for i, r in enumerate(rets): + if r >= 0: + bin_rets[i] = 1 + else: + bin_rets[i] = 0 + +bin_rets_np = np.array(bin_rets) + + +#norm_rets = sec_scaler.fit_transform(rets.reshape(-1, 1)) + +print("occai") + +print(rets) +print(bin_rets) + +print("ocai") + +# merge data into 2d numpy array +#Y = np.zeros(norm_features.shape[0] - 1) +#for i in range(Y.size): +# Y[i] = norm_features[i+1, 0] + +Y = bin_rets + +time_window = 20 + +if time_window > 1: + norm_features = enlarge_lag(norm_features, time_window) + Y = Y[time_window-1:] + + +train_size = int(norm_features.shape[0] * 0.8) +X_train = norm_features[:train_size, ] +Y_train = Y[:train_size] + +X_test = norm_features[train_size:-1, ] +Y_test = Y[train_size:] + +def LSTM_model(): + model = Sequential() + + model.add(LSTM(units = 20, return_sequences=True, input_shape=(X_train.shape[1], 1))) + model.add(Dropout(0.2)) + + #model.add(LSTM(units=50, return_sequences=True)) + #model.add(Dropout(0.2)) + + model.add(LSTM(units=20)) + model.add(Dropout(0.2)) + + model.add(Dense(units=5)) + model.add(Dropout(0.3)) + + model.add(Dense(units=1, activation="sigmoid")) + + return model + +model = LSTM_model() +model.summary() +model.compile( + optimizer="adam", + loss="mean_squared_error" +) + +#if os.path.exists("./checkpoints/checkpoint"): +# model.load_weights("./checkpoints/my_checkpoint") +#else: +model.fit( + X_train, + Y_train, + shuffle=True, + epochs=20, + batch_size=20 +) + + #model.save_weights("./checkpoints/my_checkpoint") + +prediction = model.predict(X_test) +print(prediction) +print(model.evaluate(X_test, Y_test)) +#predicted_prices = minmax_scaler.inverse_transform(prediction).flatten() +#predicted_rets = sec_scaler.inverse_transform(prediction).flatten() +#print(predicted_rets) +#counter = 0 +#for i in range(prediction.shape[0]-1): +# if (prediction[i+1,] - prediction[i,] > 0 and predicted_prices[i+1,] - predicted_prices[i,] > 0) or (prediction[i+1,] - prediction[i,] < 0 and predicted_prices[i+1,] - predicted_prices[i,] < 0): +# counter = counter + 1 + +#print("acc: ", counter/prediction.shape[0]) + + + +#test_prices = price[time_window - 1 + train_size:] +#pred_ret = [] +#actual_ret = [] +#for j in range(len(test_prices) - 1): +# # il predicted price è il prezzo di domani, lo voglio confrontare con il ritorno effettivo di domani +# pred_ret.append((predicted_prices[j] - test_prices[j])/test_prices[j]) +# actual_ret.append((test_prices[j+1] - test_prices[j])/test_prices[j]) +# +#pred_ret_np = np.array(pred_ret) +#actual_ret_np = np.array(actual_ret) +# +#sign_comp = np.sum(np.sign(pred_ret_np) == np.sign(actual_ret_np))/len(pred_ret_np) +#sign_comp_red_nottoomuch = np.sum(np.sign(pred_ret_np[:200]) == np.sign(actual_ret_np[:200]))/len(pred_ret_np[:200]) +#sign_comp_red = np.sum(np.sign(pred_ret_np[:100]) == np.sign(actual_ret_np[:100]))/len(pred_ret_np[:100]) +#sign_comp_red_alot = np.sum(np.sign(pred_ret_np[:50]) == np.sign(actual_ret_np[:50]))/len(pred_ret_np[:50]) +#print(sign_comp) +#print(sign_comp_red_nottoomuch) +#print(sign_comp_red) +#print(sign_comp_red_alot) + +#rmse = calculate_rmse(test_prices[1:], predicted_prices) +#mape = calculate_mape(test_prices[1:], predicted_prices) +# +#print("RMSE: ", rmse) +#print("MAPE: ", mape) +# +#rmse = calculate_rmse(test_prices[1:301], predicted_prices[:300]) +#mape = calculate_mape(test_prices[1:301], predicted_prices[:300]) +# +#print("RMSE su 300 gg: ", rmse) +#print("MAPE su 300 gg: ", mape) + +#plt.plot(pred_ret, color=seshadri[0]) +#plt.plot(daily_returns[1:], color=seshadri[1]) + +fig = plt.figure(1, figsize=(12,10)) +plt.plot(Y_test, color=seshadri[0], label="Registered Closing Price") +plt.plot(prediction, color=seshadri[1], label="Prediction") + +#plot params +#plt.xlim([0,450]) +#plt.ylim([-0.5,16]) +plt.minorticks_on() +plt.tick_params(labelsize=14) +plt.tick_params(labelbottom=True, labeltop=False, labelright=False, labelleft=True) +#xticks = np.arange(0, 1e4,10) +#yticks = np.arange(0,16.1,4) + +plt.tick_params(direction='in',which='minor', length=5, bottom=True, top=True, left=True, right=True) +plt.tick_params(direction='in',which='major', length=10, bottom=True, top=True, left=True, right=True) +#plt.xticks(xticks) +#plt.yticks(yticks) + + +#plt.text(1,325, f'y={Decimal(coefs[3]):.4f}x$^3$+{Decimal(coefs[2]):.2f}x$^2$+{Decimal(coefs[1]):.2f}x+{Decimal(coefs[0]):.1f}',fontsize =13) + + +plt.xlabel(r'Days (from last training)', fontsize=14) +plt.ylabel(r'Price (USD)',fontsize=14) # label the y axis + + +plt.legend(fontsize=14, loc="upper right", bbox_to_anchor=(0.99, 0.99)) # add the legend (will default to 'best' location) + +plt.savefig("plots/LSTM_advanced_rets_1.png", dpi=300) + +plt.show() +#with open("plots/data/MLP_20_10_5_2.csv", "a") as f: +# f.write(f"{time_window};{train_score};{score};\n") \ No newline at end of file diff --git a/LSTM_advanced_returns.py b/LSTM_advanced_returns.py new file mode 100644 index 0000000..7562493 --- /dev/null +++ b/LSTM_advanced_returns.py @@ -0,0 +1,230 @@ +import numpy as np +import matplotlib.pyplot as plt +import pandas as pd +import seaborn as sns + +import yfinance as yf +from datetime import datetime +import os, sys + +from sklearn import preprocessing + +from tensorflow.keras.models import Sequential +from tensorflow.keras.layers import Dense, Dropout, LSTM, Input +from tensorflow.keras.callbacks import ModelCheckpoint, EarlyStopping + +#bodacious colors +colors=sns.color_palette("rocket", 8) +#Ram's colors, if desired +seshadri = ['#c3121e', '#0348a1', '#ffb01c', '#027608', '#0193b0', '#9c5300', '#949c01', '#7104b5'] +# 0sangre, 1neptune, 2pumpkin, 3clover, 4denim, 5cocoa, 6cumin, 7berry + +np.set_printoptions(threshold=1000000) + +def enlarge_lag(to_enlarge, time_window=1): + # to_enlarge is the data already present, should be a numpy array + enlarged = [] + for i in range(to_enlarge.shape[0] - time_window + 1): + new_element = [] + for j in range(time_window): + new_element.extend(to_enlarge[i + time_window - 1 - j, :]) + enlarged.append(new_element) + + return np.array(enlarged) + + +train_quota = 0.8 + +if len(sys.argv) > 1: + time_window = int(sys.argv[1]) +else: + time_window = 1 + + +stock_data = pd.read_pickle("data/MSFT_data.pkl") + +price = stock_data["Close"].to_numpy() +volume = stock_data["Volume"].to_numpy() + +#minmax_scaler = preprocessing.MinMaxScaler(feature_range=(0, 1)) +minmax_scaler = preprocessing.StandardScaler() +sec_scaler = preprocessing.MinMaxScaler(feature_range=(0, 1)) + +#EMA_20 = stock_data["Close"].ewm(span=20, adjust=False).mean() +#EMA_50 = stock_data["Close"].ewm(span=50, adjust=False).mean() +#EMAs = np.vstack((EMA_20, EMA_50)).T +#norm_EMAs = minmax_scaler.fit_transform(EMAs.reshape(-1, 1)).reshape(-1, 2) + +#EMA_200 = stock_data["Close"].ewm(span=200, adjust=False).mean() +#EMAs = np.vstack((EMA_20, EMA_50, EMA_200)).T +#norm_EMAs = minmax_scaler.fit_transform(EMAs.reshape(-1, 1)).reshape(-1, 3) + +# Necessary for MAs +#norm_features = np.hstack((minmax_scaler.fit_transform(price.reshape(-1, 1)), sec_scaler.fit_transform(volume.reshape(-1, 1)))) +norm_features = minmax_scaler.fit_transform(np.vstack((price, volume)).T) +#norm_features = np.hstack((norm_features, norm_EMAs)) + +rets = np.diff(price) +bin_rets = np.zeros(len(rets)) +for i, r in enumerate(rets): + if r >= 0: + bin_rets[i] = 1 + else: + bin_rets[i] = 0 + +bin_rets_np = np.array(bin_rets) + + +#norm_rets = sec_scaler.fit_transform(rets.reshape(-1, 1)) + +print("occai") + +print(rets) +print(bin_rets) + +print("ocai") + +# merge data into 2d numpy array +#Y = np.zeros(norm_features.shape[0] - 1) +#for i in range(Y.size): +# Y[i] = norm_features[i+1, 0] + +Y = bin_rets + +time_window = 3 + +if time_window > 1: + norm_features = enlarge_lag(norm_features, time_window) + Y = Y[time_window-1:] + + +train_size = int(norm_features.shape[0] * 0.8) +X_train = norm_features[:train_size, ] +Y_train = Y[:train_size].reshape(-1, 1) + +X_test = norm_features[train_size:-1, ] +Y_test = Y[train_size:].reshape(-1, 1) + +def LSTM_model(): + model = Sequential() + + model.add(LSTM(units = 20, input_shape=(X_train.shape[1], 1))) + #model.add(Dense(units = 20, activation="relu", input_shape=(X_train.shape[1],))) + #model.add(Dropout(0.3)) + + #model.add(LSTM(units=50, return_sequences=True)) + #model.add(Dropout(0.2)) + + + model.add(Dense(units=10, activation="relu")) + + model.add(Dense(units=5, activation="relu")) + + model.add(Dense(units=1, activation="sigmoid")) + + return model + +model = LSTM_model() +model.summary() +model.compile( + optimizer="adam", + loss="binary_crossentropy", + metrics=['accuracy'] +) + +#if os.path.exists("./checkpoints/checkpoint"): +# model.load_weights("./checkpoints/my_checkpoint") +#else: +model.fit( + X_train, + Y_train, + shuffle=True, + epochs=50, + batch_size=32 +) + + #model.save_weights("./checkpoints/my_checkpoint") + +prediction = model.predict(X_test).flatten() +print("pred: ", prediction) +print(model.evaluate(X_test, Y_test)) +#predicted_prices = minmax_scaler.inverse_transform(prediction).flatten() +#predicted_rets = sec_scaler.inverse_transform(prediction).flatten() +#print(predicted_rets) +#counter = 0 +#for i in range(prediction.shape[0]-1): +# if (prediction[i+1,] - prediction[i,] > 0 and predicted_prices[i+1,] - predicted_prices[i,] > 0) or (prediction[i+1,] - prediction[i,] < 0 and predicted_prices[i+1,] - predicted_prices[i,] < 0): +# counter = counter + 1 + +#print("acc: ", counter/prediction.shape[0]) + + + +#test_prices = price[time_window - 1 + train_size:] +#pred_ret = [] +#actual_ret = [] +#for j in range(len(test_prices) - 1): +# # il predicted price è il prezzo di domani, lo voglio confrontare con il ritorno effettivo di domani +# pred_ret.append((predicted_prices[j] - test_prices[j])/test_prices[j]) +# actual_ret.append((test_prices[j+1] - test_prices[j])/test_prices[j]) +# +#pred_ret_np = np.array(pred_ret) +#actual_ret_np = np.array(actual_ret) +# +#sign_comp = np.sum(np.sign(pred_ret_np) == np.sign(actual_ret_np))/len(pred_ret_np) +#sign_comp_red_nottoomuch = np.sum(np.sign(pred_ret_np[:200]) == np.sign(actual_ret_np[:200]))/len(pred_ret_np[:200]) +#sign_comp_red = np.sum(np.sign(pred_ret_np[:100]) == np.sign(actual_ret_np[:100]))/len(pred_ret_np[:100]) +#sign_comp_red_alot = np.sum(np.sign(pred_ret_np[:50]) == np.sign(actual_ret_np[:50]))/len(pred_ret_np[:50]) +#print(sign_comp) +#print(sign_comp_red_nottoomuch) +#print(sign_comp_red) +#print(sign_comp_red_alot) + +#rmse = calculate_rmse(test_prices[1:], predicted_prices) +#mape = calculate_mape(test_prices[1:], predicted_prices) +# +#print("RMSE: ", rmse) +#print("MAPE: ", mape) +# +#rmse = calculate_rmse(test_prices[1:301], predicted_prices[:300]) +#mape = calculate_mape(test_prices[1:301], predicted_prices[:300]) +# +#print("RMSE su 300 gg: ", rmse) +#print("MAPE su 300 gg: ", mape) + +#plt.plot(pred_ret, color=seshadri[0]) +#plt.plot(daily_returns[1:], color=seshadri[1]) + +fig = plt.figure(1, figsize=(12,10)) +plt.plot(Y_test, color=seshadri[0], label="Registered Closing Price") +plt.plot(prediction, color=seshadri[1], label="Prediction") + +#plot params +#plt.xlim([0,450]) +#plt.ylim([-0.5,16]) +plt.minorticks_on() +plt.tick_params(labelsize=14) +plt.tick_params(labelbottom=True, labeltop=False, labelright=False, labelleft=True) +#xticks = np.arange(0, 1e4,10) +#yticks = np.arange(0,16.1,4) + +plt.tick_params(direction='in',which='minor', length=5, bottom=True, top=True, left=True, right=True) +plt.tick_params(direction='in',which='major', length=10, bottom=True, top=True, left=True, right=True) +#plt.xticks(xticks) +#plt.yticks(yticks) + + +#plt.text(1,325, f'y={Decimal(coefs[3]):.4f}x$^3$+{Decimal(coefs[2]):.2f}x$^2$+{Decimal(coefs[1]):.2f}x+{Decimal(coefs[0]):.1f}',fontsize =13) + + +plt.xlabel(r'Days (from last training)', fontsize=14) +plt.ylabel(r'Price (USD)',fontsize=14) # label the y axis + + +plt.legend(fontsize=14, loc="upper right", bbox_to_anchor=(0.99, 0.99)) # add the legend (will default to 'best' location) + +plt.savefig("plots/LSTM_advanced_rets_1.png", dpi=300) + +plt.show() +#with open("plots/data/MLP_20_10_5_2.csv", "a") as f: +# f.write(f"{time_window};{train_score};{score};\n") \ No newline at end of file diff --git a/MultiLayer_Perceptron.py b/MultiLayer_Perceptron.py new file mode 100644 index 0000000..944fd54 --- /dev/null +++ b/MultiLayer_Perceptron.py @@ -0,0 +1,119 @@ +import numpy as np +import matplotlib.pyplot as plt +import pandas as pd +import seaborn as sns + +import yfinance as yf +from datetime import datetime +import os, sys + +from sklearn import preprocessing + +#bodacious colors +colors=sns.color_palette("rocket", 8) +#Ram's colors, if desired +seshadri = ['#c3121e', '#0348a1', '#ffb01c', '#027608', '#0193b0', '#9c5300', '#949c01', '#7104b5'] +# 0sangre, 1neptune, 2pumpkin, 3clover, 4denim, 5cocoa, 6cumin, 7berry + +train_quota = 0.8 + +def enlarge_lag(to_enlarge, time_window=1): + # to_enlarge is the data already present, should be a numpy array + enlarged = [] + for i in range(to_enlarge.shape[0] - time_window + 1): + new_element = [] + for j in range(time_window): + new_element.extend(to_enlarge[i + time_window - 1 - j, :]) + enlarged.append(new_element) + + return np.array(enlarged) + + +if len(sys.argv) > 1: + time_window = int(sys.argv[1]) +else: + time_window = 1 + +#time_window = 10 + +stock_data = pd.read_pickle("data/MSFT_data.pkl") + +daily_returns = ((stock_data["Close"] - stock_data["Open"]) / stock_data["Open"]).to_numpy() +prices = stock_data[["Open", "High", "Low", "Close"]].to_numpy() +volume = stock_data["Volume"].to_numpy() + +minmax_scaler = preprocessing.MinMaxScaler() +std_scaler = preprocessing.StandardScaler() + +features = np.vstack((daily_returns, volume)).T + +# Necessary for MAs +part_features = std_scaler.fit_transform(features) + +# Aggiunta EMA +EMA_20 = stock_data["Close"].ewm(span=20, adjust=False).mean() +EMA_50 = stock_data["Close"].ewm(span=50, adjust=False).mean() +EMAs = np.vstack((EMA_20, EMA_50)).T +norm_EMAs = minmax_scaler.fit_transform(EMAs.reshape(-1, 1)).reshape(-1, 2) + +#EMA_200 = stock_data["Close"].ewm(span=200, adjust=False).mean() +#EMAs = np.vstack((EMA_20, EMA_50, EMA_200)).T +#norm_EMAs = minmax_scaler.fit_transform(EMAs.reshape(-1, 1)).reshape(-1, 3) +norm_features = np.hstack((part_features, norm_EMAs)) + + +# merge data into 2d numpy array +Y = np.zeros(features.shape[0] - 1) + + +for i in range(Y.size): + if daily_returns[i+1] >= 0: + Y[i] = 1 + else: + Y[i] = 0 + +# per quando su usano ma fino a 200 +#Y = Y[49:] +#Y = Y[199:] + +print(norm_features.shape, Y.shape) + +if time_window > 1: + norm_features = enlarge_lag(norm_features, time_window) + Y = Y[time_window-1:] + +train_size = int(norm_features.shape[0] * 0.8) +X_train = norm_features[:train_size, ] +Y_train = Y[:train_size] + +X_test = norm_features[train_size:-1, ] +Y_test = Y[train_size:] + + + +# Iterations vs Accuracy plot +#plt.figure() +#plt.plot(np.arange(0, len(acc_array)) * 100, acc_array) +#plt.xlabel("Iterations") +#plt.ylabel("Accuracy") +# +## Iterations vs Loss plot +#plt.figure() +#plt.plot(np.arange(0, len(acc_array)) * 100, losses) +#plt.xlabel("Iterations") +#plt.ylabel("Losses") +# +#plt.show() + + + +#lets try sklearn +from sklearn.neural_network import MLPClassifier +#classifier = LogisticRegression(random_state=0, solver="saga").fit(X_train, Y_train) +clf = MLPClassifier(hidden_layer_sizes=(20,10,5,2), max_iter=30000, verbose=True).fit(X_train, Y_train) +train_score = clf.score(X_train, Y_train) +score = clf.score(X_test, Y_test) +print("sklearn score, all default: ", score, " train ", train_score) + +with open("plots/data/MLP_20_10_5_2.csv", "a") as f: + f.write(f"{time_window};{train_score};{score};\n") \ No newline at end of file diff --git a/appunti.md b/appunti.md index 5195cbb..914f2ba 100644 --- a/appunti.md +++ b/appunti.md @@ -9,4 +9,137 @@ Per prima cosa si testa la performance di un modello non trainato, semplice, che Si riporta anche un piccolo grafico a barre per avere un'idea della distribuzione dei ritorni. -winrate detected: 0.47638123852445335 \ No newline at end of file +winrate detected: 0.47638123852445335 + +Primi test con logistic regression, aggiungendo come features giorni passati: lieve increase, troppi giorni porta a overfitting + +provare a effettuare lo stesso test ma aggiungendo qualche metrica (es. moving average) -> C'è un lieve miglioramento + +Nell'MLP, nei nomi dei file di dati, i numeri sono la dimensione degli hidden layer, in ordine di profondità +Primo test semplice semplice, architettura di seguito: +Model: "sequential" +_________________________________________________________________ + Layer (type) Output Shape Param # +================================================================= + lstm (LSTM) (None, 20, 50) 10400 + + dropout (Dropout) (None, 20, 50) 0 + + lstm_1 (LSTM) (None, 20, 50) 20200 + + dropout_1 (Dropout) (None, 20, 50) 0 + + lstm_2 (LSTM) (None, 50) 20200 + + dropout_2 (Dropout) (None, 50) 0 + + dense (Dense) (None, 1) 51 + +================================================================= +Total params: 50,851 +Trainable params: 50,851 +Non-trainable params: 0 +semplici 25 epoche e split 0.8 / 0.2 +il plot che si ottiene è quello + +con dati (win rate sui ritorni): +tutto il testing set (): 0.4991624790619765 +primi 200 giorni: 0.605 +primi 100 giorni: 0.58 +primi 50 giorni: 0.66 + +su tutto ho +RMSE: 76.4 (dollari ?) +MAPE: 21.8 % + +su 300 giorni: +RMSE su 300 gg: 6.4 $ +MAPE su 300 gg: 2.9 % + +In presentazione metto prima grafico con mape e rmse su tutto facendo considerazioni, poi mi allargo con mape e rmse specifiche + winrate su meno giorni + + +nel firts advanced l'architettura è: +Model: "sequential" +_________________________________________________________________ + Layer (type) Output Shape Param # +================================================================= + lstm (LSTM) (None, 10, 10) 480 + + dropout (Dropout) (None, 10, 10) 0 + + lstm_1 (LSTM) (None, 10) 840 + + dropout_1 (Dropout) (None, 10) 0 + + dense (Dense) (None, 5) 55 + + dropout_2 (Dropout) (None, 5) 0 + + dense_1 (Dense) (None, 1) 6 + +================================================================= +Total params: 1,381 +Trainable params: 1,381 +Non-trainable params: 0 +_________________________________________________________________ + + +LTSM advanced 2: training data ridotta a 2000 giorni, arch: +Model: "sequential" +_________________________________________________________________ + Layer (type) Output Shape Param # +================================================================= + lstm (LSTM) (None, 10, 20) 1760 + + dropout (Dropout) (None, 10, 20) 0 + + lstm_1 (LSTM) (None, 20) 3280 + + dropout_1 (Dropout) (None, 20) 0 + + dense (Dense) (None, 5) 105 + + dropout_2 (Dropout) (None, 5) 0 + + dense_1 (Dense) (None, 1) 6 + +================================================================= +Total params: 5,151 +Trainable params: 5,151 +Non-trainable params: 0 + +risultati +RMSE: 10.799429328578809 +MAPE: 3.1894335488381116 +RMSE su 300 gg: 11.607057105021592 +MAPE su 300 gg: 3.591834377775106 + +training di 50 epoche +ma win rate sul ritorno del giorno dopo sempre ~0.5 + + +Il 3 ha un'architettura molto semplificata e tiene una timewindow di soli 5 gg: +Model: "sequential" +_________________________________________________________________ + Layer (type) Output Shape Param # +================================================================= + lstm (LSTM) (None, 10) 480 + + dropout (Dropout) (None, 10) 0 + + dense (Dense) (None, 1) 11 + +================================================================= +Total params: 491 +Trainable params: 491 +Non-trainable params: 0 +_________________________________________________________________ +RMSE: 12.955399161548117 +MAPE: 3.7480157718302904 +RMSE su 300 gg: 11.019121338505466 +MAPE su 300 gg: 3.3382726092879706 + +non si guadagna molto in winrate + +semilog histo diff --git a/autocorr_plot.py b/autocorr_plot.py new file mode 100644 index 0000000..7f07e1d --- /dev/null +++ b/autocorr_plot.py @@ -0,0 +1,134 @@ +import numpy as np +import matplotlib.pyplot as plt +import pandas as pd +import seaborn as sns + +import yfinance as yf +from datetime import datetime +import os, sys + +from sklearn import preprocessing + +#bodacious colors +colors=sns.color_palette("rocket", 8) +#Ram's colors, if desired +seshadri = ['#c3121e', '#0348a1', '#ffb01c', '#027608', '#0193b0', '#9c5300', '#949c01', '#7104b5'] +# 0sangre, 1neptune, 2pumpkin, 3clover, 4denim, 5cocoa, 6cumin, 7berry + +stock_data = pd.read_pickle("data/MSFT_data.pkl") + +daily_returns = ((stock_data["Close"] - stock_data["Open"]) / stock_data["Open"]).to_numpy() * 100 +prices = stock_data[["Open", "High", "Low", "Close"]].to_numpy() +volume = stock_data["Volume"].to_numpy() + +minmax_scaler = preprocessing.MinMaxScaler() +std_scaler = preprocessing.StandardScaler() + +features = np.vstack((daily_returns, volume)).T + +# Scale volume data to obtain better results +#minmax_scaler = preprocessing.MinMaxScaler() +#norm_ret = std_scaler.fit_transform(daily_returns.reshape(-1,1)).flatten() +#norm_vol = minmax_scaler.fit_transform(volume.reshape(-1,1)).flatten() +#norm_features = np.vstack((norm_ret, norm_vol)).T + +# Solo volumi e ritorni +#norm_features = std_scaler.fit_transform(features) + +# Aggiunta di prezzi +#norm_prices = minmax_scaler.fit_transform(prices.reshape(-1, 1)).reshape(-1, 4) +#norm_ret_and_vol = std_scaler.fit_transform(features) +#norm_features = np.hstack((norm_ret_and_vol, norm_prices)) + +# Necessary for MAs +part_features = std_scaler.fit_transform(features) + +# Aggiunta SMA +#SMA_20 = stock_data["Close"].rolling(20).mean().to_numpy() +#SMA_50 = stock_data["Close"].rolling(50).mean().to_numpy() +#SMA_200 = stock_data["Close"].rolling(200).mean().to_numpy() +#SMAs = np.vstack((SMA_20, SMA_50)).T +#norm_SMAs = minmax_scaler.fit_transform(SMAs[49:, ].reshape(-1, 1)).reshape(-1, 2) +#norm_features = np.hstack((part_features[49:, ], norm_SMAs)) + +#SMAs = np.vstack((SMA_20, SMA_50, SMA_200)).T +#norm_SMAs = minmax_scaler.fit_transform(SMAs[199:, ].reshape(-1, 1)).reshape(-1, 3) +#norm_features = np.hstack((part_features[199:, ], norm_SMAs)) + +# Aggiunta EMA +EMA_20 = stock_data["Close"].ewm(span=20, adjust=False).mean() +EMA_50 = stock_data["Close"].ewm(span=50, adjust=False).mean() +EMAs = np.vstack((EMA_20, EMA_50)).T +norm_EMAs = minmax_scaler.fit_transform(EMAs.reshape(-1, 1)).reshape(-1, 2) + +#EMA_200 = stock_data["Close"].ewm(span=200, adjust=False).mean() +#EMAs = np.vstack((EMA_20, EMA_50, EMA_200)).T +#norm_EMAs = minmax_scaler.fit_transform(EMAs.reshape(-1, 1)).reshape(-1, 3) +norm_features = np.hstack((part_features, norm_EMAs)) + +dfeat = {"Daily Returns" : norm_features[:,0], +"Volume" : norm_features[:,1], +"EMA20" : norm_features[:,2], +"EMA50" : norm_features[:,3] +} + +corr = pd.DataFrame(dfeat).corr() +fig = plt.figure(1, (11, 10)) +sns.heatmap(corr, vmin=-1, vmax=1, center=0, cmap="mako") +plt.tick_params(labelsize=14) + +plt.savefig("plots/Correlation_EMAs.png", dpi=300) + +# merge data into 2d numpy array +Y = np.zeros(features.shape[0] - 1) + + +for i in range(Y.size): + if daily_returns[i+1] >= 0: + Y[i] = 1 + else: + Y[i] = 0 + +# per quando su usano ma fino a 200 +#Y = Y[49:] +#Y = Y[199:] + +print(norm_features.shape, Y.shape) + +fig, ax = plt.subplots(figsize=(15,10)) + + +#plot params +#plt.xlim([-12,12]) +#plt.ylim([-0.5,16]) +ax.minorticks_on() +ax.tick_params(labelsize=14) +ax.tick_params(labelbottom=True, labeltop=False, labelright=False, labelleft=True) +#xticks = np.arange(0, 1e4,10) +#yticks = np.arange(0,16.1,4) + +ax.tick_params(direction='in',which='minor', length=5, bottom=True, top=True, left=True, right=True) +ax.tick_params(direction='in',which='major', length=10, bottom=True, top=True, left=True, right=True) +#plt.xticks(xticks) +#plt.yticks(yticks) + + +#plt.text(1,325, f'y={Decimal(coefs[3]):.4f}x$^3$+{Decimal(coefs[2]):.2f}x$^2$+{Decimal(coefs[1]):.2f}x+{Decimal(coefs[0]):.1f}',fontsize =13) + +ax.set_xlim([0, 500]) +#ax.set_ylim([-0.5, 0.5]) + + + + +pd.plotting.autocorrelation_plot(daily_returns, ax=ax, color=seshadri[0], label="Daily Returns") +pd.plotting.autocorrelation_plot(np.abs(daily_returns), ax=ax, color=seshadri[1], label="Absolute Daily Returns") +pd.plotting.autocorrelation_plot(volume, ax=ax, color=seshadri[2], label="Volume") + +ax.grid(False) +ax.set_xlabel(r'Lag', fontsize=14) +ax.set_ylabel(r'Autocorrelation',fontsize=14) # label the y axis + + +ax.legend(fontsize=14, loc="upper right", bbox_to_anchor=(0.99, 0.99)) # add the legend (will default to 'best' location) +plt.savefig("plots/Autocorrelation_returns_volume_abs.png", dpi=300) diff --git a/data/.~lock.MSFT_data.csv# b/data/.~lock.MSFT_data.csv# deleted file mode 100644 index 6646504..0000000 --- a/data/.~lock.MSFT_data.csv# +++ /dev/null @@ -1 +0,0 @@ -,master-roby3,master-roby3,27.10.2023 01:59,file:///home/master-roby3/.config/libreoffice/4; \ No newline at end of file diff --git a/data/AAPL_data.csv b/data/AAPL_data.csv new file mode 100644 index 0000000..bbaf9e3 --- /dev/null +++ b/data/AAPL_data.csv @@ -0,0 +1,5993 @@ +Date,Open,High,Low,Close,Adj Close,Volume +2000-01-03,0.9363840222358704,1.004464030265808,0.9079239964485168,0.9994419813156128,0.8483229279518127,535796800 +2000-01-04,0.966517984867096,0.9877229928970337,0.9034600257873535,0.9151790142059326,0.7768007516860962,512377600 +2000-01-05,0.9263389706611633,0.9871649742126465,0.919642984867096,0.9285709857940674,0.7881676554679871,778321600 +2000-01-06,0.9475449919700623,0.955357015132904,0.8482139706611633,0.8482139706611633,0.7199612259864807,767972800 +2000-01-07,0.861607015132904,0.9017860293388367,0.8526790142059326,0.888392984867096,0.7540647387504578,460734400 +2000-01-10,0.9107139706611633,0.9129459857940674,0.845982015132904,0.872767984867096,0.740802526473999,505064000 +2000-01-11,0.8565850257873535,0.8872770071029663,0.8080360293388367,0.828125,0.7029094099998474,441548800 +2000-01-12,0.8482139706611633,0.8526790142059326,0.7723209857940674,0.7784600257873535,0.6607540845870972,976068800 +2000-01-13,0.8436099886894226,0.8816959857940674,0.825892984867096,0.8638389706611633,0.733223557472229,1032684800 +2000-01-14,0.892857015132904,0.9129459857940674,0.8872770071029663,0.896763026714325,0.7611691951751709,390376000 +2000-01-18,0.9017860293388367,0.9464290142059326,0.896763026714325,0.928013026714325,0.7876942753791809,459177600 +2000-01-19,0.9430800080299377,0.970982015132904,0.9229909777641296,0.9514510035514832,0.8075883388519287,597643200 +2000-01-20,1.03125,1.0848209857940674,1.0133930444717407,1.0133930444717407,0.86016446352005,1831132800 +2000-01-21,1.020089030265808,1.020089030265808,0.9838169813156128,0.993861973285675,0.8435865640640259,495924800 +2000-01-24,0.9681919813156128,1.0066959857940674,0.9386159777641296,0.9486610293388367,0.8052202463150024,440876800 +2000-01-25,0.9375,1.010045051574707,0.9140629768371582,1.0022319555282593,0.8506910800933838,497145600 +2000-01-26,0.982142984867096,1.019531011581421,0.9799110293388367,0.9838169813156128,0.8350602388381958,367158400 +2000-01-27,0.9715399742126465,1.0089290142059326,0.955357015132904,0.982142984867096,0.8336395621299744,340144000 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+2023-10-20,13157.76953125,13177.349609375,12977.4296875,12983.8095703125,12983.8095703125,4622840000 +2023-10-23,12930.849609375,13143.2197265625,12848.830078125,13018.330078125,13018.330078125,4669060000 +2023-10-24,13084.990234375,13170.3896484375,13022.849609375,13139.8701171875,13139.8701171875,4604720000 +2023-10-25,13039.8603515625,13042.51953125,12804.2998046875,12821.2197265625,12821.2197265625,4599850000 diff --git a/data/IXIC_data.pkl b/data/IXIC_data.pkl new file mode 100644 index 0000000..a375dbc Binary files /dev/null and b/data/IXIC_data.pkl differ diff --git a/logistic_regression.py b/logistic_regression.py new file mode 100644 index 0000000..b86dde7 --- /dev/null +++ b/logistic_regression.py @@ -0,0 +1,228 @@ +import numpy as np +import matplotlib.pyplot as plt +import pandas as pd +import seaborn as sns + +import yfinance as yf +from datetime import datetime +import os, sys + +from sklearn import preprocessing + +#bodacious colors +colors=sns.color_palette("rocket", 8) +#Ram's colors, if desired +seshadri = ['#c3121e', '#0348a1', '#ffb01c', '#027608', '#0193b0', '#9c5300', '#949c01', '#7104b5'] +# 0sangre, 1neptune, 2pumpkin, 3clover, 4denim, 5cocoa, 6cumin, 7berry + +train_quota = 0.8 + +def enlarge_lag(to_enlarge, time_window=1): + # to_enlarge is the data already present, should be a numpy array + enlarged = [] + for i in range(to_enlarge.shape[0] - time_window + 1): + new_element = [] + for j in range(time_window): + new_element.extend(to_enlarge[i + time_window - 1 - j, :]) + enlarged.append(new_element) + + return np.array(enlarged) + +def sigmoid(z): + return 1 / (1 + np.exp(-z)) + + +def logreg_inference(x, w, b): + z = (x @ w) + b + p = sigmoid(z) + return p + + +def cross_entropy(P, Y): + return (-Y * np.log(P) - (1 - Y) * np.log(1 - P)).mean() + + +def logreg_train(X, Y, lambda_, lr = 1e-4, steps=100000): + # The training samples are defined as such (each row of X is a sample): + # X[0, :] -> Y[0] + # X[1, :] -> Y[1] + + m, n = X.shape + + # Initial values for the parameters + w = np.zeros(n) + b = 0 + + # Initial values for the "precedent loss" and "convergence" variables, used to check convergence + prec_loss = 0 + convergence = 0 + + for step in range(steps): + P = logreg_inference(X, w, b) + loss = cross_entropy(P, Y) + + + if step % 1000 == 0: + print(step, loss) + + # Difference between "precedent loss" and "current loss" + diff = np.absolute(prec_loss - loss) + prec_loss = loss + if diff < 0.00001: + # If convergence is reached, the algorithm is stopped + convergence = step + break + + # Derivative of the loss function with respect to bias + grad_b = (P - Y).mean() + + # Gradient of the loss function with respect to weights + grad_w = (X.T @ (P - Y)) / m + + w -= lr * grad_w + b -= lr * grad_b + + # Every 100 iteration the values of accuracy and loss are saved for plotting + if step%100 == 0: + Yhat = (P > 0.5) + acc_array.append((Y == Yhat).mean() * 100) + losses.append(loss) + + # Print the iterations needed for convergence before returning + print("Convergence = ", convergence) + + return w, b + + +if len(sys.argv) > 1: + time_window = int(sys.argv[1]) +else: + time_window = 1 + +#time_window = 10 + +stock_data = pd.read_pickle("data/MSFT_data.pkl") + +daily_returns = ((stock_data["Close"] - stock_data["Open"]) / stock_data["Open"]).to_numpy() +prices = stock_data[["Open", "High", "Low", "Close"]].to_numpy() +volume = stock_data["Volume"].to_numpy() + +minmax_scaler = preprocessing.MinMaxScaler() +std_scaler = preprocessing.StandardScaler() + +features = np.vstack((daily_returns, volume)).T + +# Scale volume data to obtain better results +#minmax_scaler = preprocessing.MinMaxScaler() +#norm_ret = std_scaler.fit_transform(daily_returns.reshape(-1,1)).flatten() +#norm_vol = minmax_scaler.fit_transform(volume.reshape(-1,1)).flatten() +#norm_features = np.vstack((norm_ret, norm_vol)).T + +# Solo volumi e ritorni +#norm_features = std_scaler.fit_transform(features) + +# Aggiunta di prezzi +#norm_prices = minmax_scaler.fit_transform(prices.reshape(-1, 1)).reshape(-1, 4) +#norm_ret_and_vol = std_scaler.fit_transform(features) +#norm_features = np.hstack((norm_ret_and_vol, norm_prices)) + +# Necessary for MAs +part_features = std_scaler.fit_transform(features) + +# Aggiunta SMA +#SMA_20 = stock_data["Close"].rolling(20).mean().to_numpy() +#SMA_50 = stock_data["Close"].rolling(50).mean().to_numpy() +#SMA_200 = stock_data["Close"].rolling(200).mean().to_numpy() +#SMAs = np.vstack((SMA_20, SMA_50)).T +#norm_SMAs = minmax_scaler.fit_transform(SMAs[49:, ].reshape(-1, 1)).reshape(-1, 2) +#norm_features = np.hstack((part_features[49:, ], norm_SMAs)) + +#SMAs = np.vstack((SMA_20, SMA_50, SMA_200)).T +#norm_SMAs = minmax_scaler.fit_transform(SMAs[199:, ].reshape(-1, 1)).reshape(-1, 3) +#norm_features = np.hstack((part_features[199:, ], norm_SMAs)) + +# Aggiunta EMA +EMA_20 = stock_data["Close"].ewm(span=20, adjust=False).mean() +EMA_50 = stock_data["Close"].ewm(span=50, adjust=False).mean() +EMAs = np.vstack((EMA_20, EMA_50)).T +norm_EMAs = minmax_scaler.fit_transform(EMAs.reshape(-1, 1)).reshape(-1, 2) + +#EMA_200 = stock_data["Close"].ewm(span=200, adjust=False).mean() +#EMAs = np.vstack((EMA_20, EMA_50, EMA_200)).T +#norm_EMAs = minmax_scaler.fit_transform(EMAs.reshape(-1, 1)).reshape(-1, 3) +norm_features = np.hstack((part_features, norm_EMAs)) + + +# merge data into 2d numpy array +Y = np.zeros(features.shape[0] - 1) + + +for i in range(Y.size): + if daily_returns[i+1] >= 0: + Y[i] = 1 + else: + Y[i] = 0 + +# per quando su usano ma fino a 200 +#Y = Y[49:] +#Y = Y[199:] + +print(norm_features.shape, Y.shape) + +if time_window > 1: + norm_features = enlarge_lag(norm_features, time_window) + Y = Y[time_window-1:] + +train_size = int(norm_features.shape[0] * 0.8) +X_train = norm_features[:train_size, ] +Y_train = Y[:train_size] + +X_test = norm_features[train_size:-1, ] +Y_test = Y[train_size:] + +#if time_window > 1: +# X_train = enlarge_lag(X_train) +# Y_train = Y_train[time_window-1:] +# +# X_test = enlarge_lag(X_test) +# Y_test = Y_test[time_window-1:] + + +# Lists to save accuracy and loss +acc_array = [] +losses = [] + +w, b = logreg_train(X_train, Y_train, 0.0, 1e-3, 1000000) +print("Weights: ", w) +print("Bias: ", b) + +# Iterations vs Accuracy plot +#plt.figure() +#plt.plot(np.arange(0, len(acc_array)) * 100, acc_array) +#plt.xlabel("Iterations") +#plt.ylabel("Accuracy") +# +## Iterations vs Loss plot +#plt.figure() +#plt.plot(np.arange(0, len(acc_array)) * 100, losses) +#plt.xlabel("Iterations") +#plt.ylabel("Losses") +# +#plt.show() +# Training accuracy of the model, is the last value recorded in the array +print("Training Acc: ", acc_array[-1]) + +P_test = logreg_inference(X_test, w, b) +Yhat_test = (P_test > 0.5) +accuracy_test = (Y_test == Yhat_test).mean() +print("Test accuracy: ", 100*accuracy_test) + + +#lets try sklearn +#from sklearn.linear_model import LogisticRegression +#classifier = LogisticRegression(random_state=0, solver="saga").fit(X_train, Y_train) +#score = classifier.score(X_test, Y_test) +#print("sklearn score, all default: ", score) + +with open("plots/data/logistic_regression_EMA_20_50.csv", "a") as f: + f.write(f"{time_window};{acc_array[-1]};{accuracy_test};\n") \ No newline at end of file diff --git a/logistic_regression_enlarge_only_rets.py b/logistic_regression_enlarge_only_rets.py new file mode 100644 index 0000000..61a3cf6 --- /dev/null +++ b/logistic_regression_enlarge_only_rets.py @@ -0,0 +1,203 @@ +import numpy as np +import matplotlib.pyplot as plt +import pandas as pd +import seaborn as sns + +import yfinance as yf +from datetime import datetime +import os, sys + +from sklearn import preprocessing + +#bodacious colors +colors=sns.color_palette("rocket", 8) +#Ram's colors, if desired +seshadri = ['#c3121e', '#0348a1', '#ffb01c', '#027608', '#0193b0', '#9c5300', '#949c01', '#7104b5'] +# 0sangre, 1neptune, 2pumpkin, 3clover, 4denim, 5cocoa, 6cumin, 7berry + +train_quota = 0.8 + +def enlarge_lag(to_enlarge, time_window=1): + # to_enlarge is the data already present, should be a numpy array + enlarged = [] + for i in range(to_enlarge.shape[0] - time_window + 1): + new_element = [] + for j in range(time_window): + new_element.extend(to_enlarge[i + time_window - 1 - j, :]) + enlarged.append(new_element) + + return np.array(enlarged) + +def sigmoid(z): + return 1 / (1 + np.exp(-z)) + + +def logreg_inference(x, w, b): + z = (x @ w) + b + p = sigmoid(z) + return p + + +def cross_entropy(P, Y): + return (-Y * np.log(P) - (1 - Y) * np.log(1 - P)).mean() + + +def logreg_train(X, Y, lambda_, lr = 1e-4, steps=100000): + # The training samples are defined as such (each row of X is a sample): + # X[0, :] -> Y[0] + # X[1, :] -> Y[1] + + m, n = X.shape + + # Initial values for the parameters + w = np.zeros(n) + b = 0 + + # Initial values for the "precedent loss" and "convergence" variables, used to check convergence + prec_loss = 0 + convergence = 0 + + for step in range(steps): + P = logreg_inference(X, w, b) + loss = cross_entropy(P, Y) + + + if step % 1000 == 0: + print(step, loss) + + # Difference between "precedent loss" and "current loss" + diff = np.absolute(prec_loss - loss) + prec_loss = loss + if diff < 0.00001: + # If convergence is reached, the algorithm is stopped + convergence = step + break + + # Derivative of the loss function with respect to bias + grad_b = (P - Y).mean() + + # Gradient of the loss function with respect to weights + grad_w = (X.T @ (P - Y)) / m + + w -= lr * grad_w + b -= lr * grad_b + + # Every 100 iteration the values of accuracy and loss are saved for plotting + if step%100 == 0: + Yhat = (P > 0.5) + acc_array.append((Y == Yhat).mean() * 100) + losses.append(loss) + + # Print the iterations needed for convergence before returning + print("Convergence = ", convergence) + + return w, b + + +if len(sys.argv) > 1: + time_window = int(sys.argv[1]) +else: + time_window = 1 + +#time_window = 10 + +stock_data = pd.read_pickle("data/MSFT_data.pkl") + +daily_returns = ((stock_data["Close"] - stock_data["Open"]) / stock_data["Open"]).to_numpy() +prices = stock_data[["Open", "High", "Low", "Close"]].to_numpy() +volume = stock_data["Volume"].to_numpy() + +minmax_scaler = preprocessing.MinMaxScaler() +std_scaler = preprocessing.StandardScaler() + +features = np.vstack((daily_returns, volume)).T + +# Necessary for MAs +part_features = std_scaler.fit_transform(features) + +# merge data into 2d numpy array +Y = np.zeros(features.shape[0] - 1) + +for i in range(Y.size): + if daily_returns[i+1] >= 0: + Y[i] = 1 + else: + Y[i] = 0 + +import copy + +if time_window > 1: + large_rets = enlarge_lag(part_features[:, 0].reshape(-1, 1), time_window) + Y = Y[time_window-1:] +else: + large_rets = copy.deepcopy(part_features[:, 0].reshape(-1, 1)) + +part_features = np.hstack((large_rets, part_features[time_window-1:, 1].reshape(-1, 1))) + + +# Aggiunta EMA +EMA_20 = stock_data["Close"].ewm(span=20, adjust=False).mean() +EMA_50 = stock_data["Close"].ewm(span=50, adjust=False).mean() +EMAs = np.vstack((EMA_20, EMA_50)).T +norm_EMAs = minmax_scaler.fit_transform(EMAs.reshape(-1, 1)).reshape(-1, 2) + +norm_features = np.hstack((part_features, norm_EMAs[time_window-1:,])) + + +print(norm_features.shape, Y.shape) + + + +train_size = int(norm_features.shape[0] * 0.8) +X_train = norm_features[:train_size, ] +Y_train = Y[:train_size] + +X_test = norm_features[train_size:-1, ] +Y_test = Y[train_size:] + +#if time_window > 1: +# X_train = enlarge_lag(X_train) +# Y_train = Y_train[time_window-1:] +# +# X_test = enlarge_lag(X_test) +# Y_test = Y_test[time_window-1:] + + +# Lists to save accuracy and loss +acc_array = [] +losses = [] + +w, b = logreg_train(X_train, Y_train, 0.0, 1e-3, 1000000) +print("Weights: ", w) +print("Bias: ", b) + +# Iterations vs Accuracy plot +#plt.figure() +#plt.plot(np.arange(0, len(acc_array)) * 100, acc_array) +#plt.xlabel("Iterations") +#plt.ylabel("Accuracy") +# +## Iterations vs Loss plot +#plt.figure() +#plt.plot(np.arange(0, len(acc_array)) * 100, losses) +#plt.xlabel("Iterations") +#plt.ylabel("Losses") +# +#plt.show() +# Training accuracy of the model, is the last value recorded in the array +print("Training Acc: ", acc_array[-1]) + +P_test = logreg_inference(X_test, w, b) +Yhat_test = (P_test > 0.5) +accuracy_test = (Y_test == Yhat_test).mean() +print("Test accuracy: ", 100*accuracy_test) + + +#lets try sklearn +#from sklearn.linear_model import LogisticRegression +#classifier = LogisticRegression(random_state=0, solver="saga").fit(X_train, Y_train) +#score = classifier.score(X_test, Y_test) +#print("sklearn score, all default: ", score) + +with open("plots/data/logistic_regression_EMA_20_50_only_daily_enlarged.csv", "a") as f: + f.write(f"{time_window};{acc_array[-1]};{accuracy_test};\n") \ No newline at end of file diff --git a/logistic_regression_only_returns.py b/logistic_regression_only_returns.py new file mode 100644 index 0000000..ddc9872 --- /dev/null +++ b/logistic_regression_only_returns.py @@ -0,0 +1,170 @@ +import numpy as np +import matplotlib.pyplot as plt +import pandas as pd +import seaborn as sns + +import yfinance as yf +from datetime import datetime +import os, sys + +from sklearn import preprocessing + +#bodacious colors +colors=sns.color_palette("rocket", 8) +#Ram's colors, if desired +seshadri = ['#c3121e', '#0348a1', '#ffb01c', '#027608', '#0193b0', '#9c5300', '#949c01', '#7104b5'] +# 0sangre, 1neptune, 2pumpkin, 3clover, 4denim, 5cocoa, 6cumin, 7berry + +train_quota = 0.8 + +def enlarge_lag(to_enlarge, time_window=1): + # to_enlarge is the data already present, should be a numpy array + enlarged = [] + for i in range(to_enlarge.shape[0] - time_window + 1): + new_element = [] + for j in range(time_window): + new_element.extend(to_enlarge[i + time_window - 1 - j, :]) + enlarged.append(new_element) + + return np.array(enlarged) + +def sigmoid(z): + return 1 / (1 + np.exp(-z)) + + +def logreg_inference(x, w, b): + z = (x @ w) + b + p = sigmoid(z) + return p + + +def cross_entropy(P, Y): + return (-Y * np.log(P) - (1 - Y) * np.log(1 - P)).mean() + + +def logreg_train(X, Y, lambda_, lr = 1e-4, steps=100000): + # The training samples are defined as such (each row of X is a sample): + # X[0, :] -> Y[0] + # X[1, :] -> Y[1] + + m, n = X.shape + + # Initial values for the parameters + w = np.zeros(n) + b = 0 + + # Initial values for the "precedent loss" and "convergence" variables, used to check convergence + prec_loss = 0 + convergence = 0 + + for step in range(steps): + P = logreg_inference(X, w, b) + loss = cross_entropy(P, Y) + + + if step % 1000 == 0: + print(step, loss) + + # Difference between "precedent loss" and "current loss" + diff = np.absolute(prec_loss - loss) + prec_loss = loss + if diff < 0.00001: + # If convergence is reached, the algorithm is stopped + convergence = step + break + + # Derivative of the loss function with respect to bias + grad_b = (P - Y).mean() + + # Gradient of the loss function with respect to weights + grad_w = (X.T @ (P - Y)) / m + + w -= lr * grad_w + b -= lr * grad_b + + # Every 100 iteration the values of accuracy and loss are saved for plotting + if step%100 == 0: + Yhat = (P > 0.5) + acc_array.append((Y == Yhat).mean() * 100) + losses.append(loss) + + # Print the iterations needed for convergence before returning + print("Convergence = ", convergence) + + return w, b + + +if len(sys.argv) > 1: + time_window = int(sys.argv[1]) +else: + time_window = 1 + +#time_window = 10 + +stock_data = pd.read_pickle("data/MSFT_data.pkl") + +daily_returns = ((stock_data["Close"] - stock_data["Open"]) / stock_data["Open"]).to_numpy().reshape(-1,1) + + +# merge data into 2d numpy array +Y = np.zeros(daily_returns.shape[0] - 1) + +print(daily_returns.shape, Y.shape) + +for i in range(Y.size): + if daily_returns[i+1] >= 0: + Y[i] = 1 + else: + Y[i] = 0 +import copy +norm_features = copy.deepcopy(daily_returns) +if time_window > 1: + norm_features = enlarge_lag(norm_features, time_window) + Y = Y[time_window-1:] + +train_size = int(norm_features.shape[0] * 0.8) +X_train = norm_features[:train_size, ] +Y_train = Y[:train_size] + +X_test = norm_features[train_size:-1, ] +Y_test = Y[train_size:] + + +# Lists to save accuracy and loss +acc_array = [] +losses = [] + +w, b = logreg_train(X_train, Y_train, 0.0, 1e-3, 1000000) +print("Weights: ", w) +print("Bias: ", b) + +# Iterations vs Accuracy plot +#plt.figure() +#plt.plot(np.arange(0, len(acc_array)) * 100, acc_array) +#plt.xlabel("Iterations") +#plt.ylabel("Accuracy") +# +## Iterations vs Loss plot +#plt.figure() +#plt.plot(np.arange(0, len(acc_array)) * 100, losses) +#plt.xlabel("Iterations") +#plt.ylabel("Losses") +# +#plt.show() +# Training accuracy of the model, is the last value recorded in the array +print("Training Acc: ", acc_array[-1]) + +P_test = logreg_inference(X_test, w, b) +Yhat_test = (P_test > 0.5) +accuracy_test = (Y_test == Yhat_test).mean() +print("Test accuracy: ", 100*accuracy_test) + + +#lets try sklearn +#from sklearn.linear_model import LogisticRegression +#classifier = LogisticRegression(random_state=0, solver="saga").fit(X_train, Y_train) +#score = classifier.score(X_test, Y_test) +#print("sklearn score, all default: ", score) + +with open("plots/data/logistic_regression_only_rets.csv", "a") as f: + f.write(f"{time_window};{acc_array[-1]};{accuracy_test};\n") \ No newline at end of file diff --git a/logistic_regression_run_script.sh b/logistic_regression_run_script.sh new file mode 100644 index 0000000..879f38c --- /dev/null +++ b/logistic_regression_run_script.sh @@ -0,0 +1,8 @@ +#!/bin/bash + +for i in $(seq 1 50); +do + echo "Running with time window $i" + python3 logistic_regression_enlarge_only_rets.py $i +done + diff --git a/mlp_run_script.sh b/mlp_run_script.sh new file mode 100644 index 0000000..006eb39 --- /dev/null +++ b/mlp_run_script.sh @@ -0,0 +1,8 @@ +#!/bin/bash + +for i in $(seq 1 50); +do + echo "Running with time window $i" + python3 MultiLayer_Perceptron.py $i +done + diff --git a/plots/Autocorrelation_returns_volume.png b/plots/Autocorrelation_returns_volume.png new file mode 100644 index 0000000..a2c9bc8 Binary files /dev/null and b/plots/Autocorrelation_returns_volume.png differ diff --git a/plots/Autocorrelation_returns_volume_abs.png b/plots/Autocorrelation_returns_volume_abs.png new file mode 100644 index 0000000..2e604f7 Binary files /dev/null and b/plots/Autocorrelation_returns_volume_abs.png differ diff --git a/plots/Correlation_EMAs.png b/plots/Correlation_EMAs.png new file mode 100644 index 0000000..a6b399f Binary files /dev/null and b/plots/Correlation_EMAs.png differ diff --git a/plots/First_Attempt_LSTM.png b/plots/First_Attempt_LSTM.png new file mode 100644 index 0000000..b24c4da Binary files /dev/null and b/plots/First_Attempt_LSTM.png differ diff --git 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+48;56.749369217830115;0.5067340067340067; +49;56.992639327024186;0.5092592592592593; +50;56.56289440471182;0.51010101010101; diff --git a/plots/logistic_regression_EMA.png b/plots/logistic_regression_EMA.png new file mode 100644 index 0000000..b5fd838 Binary files /dev/null and b/plots/logistic_regression_EMA.png differ diff --git a/plots/logistic_regression_SMA.png b/plots/logistic_regression_SMA.png new file mode 100644 index 0000000..d270f1f Binary files /dev/null and b/plots/logistic_regression_SMA.png differ diff --git a/plots/logistic_regression_SMA_EMA_comparison.png b/plots/logistic_regression_SMA_EMA_comparison.png new file mode 100644 index 0000000..a34d4d1 Binary files /dev/null and b/plots/logistic_regression_SMA_EMA_comparison.png differ diff --git a/plots/logistic_regression_first.png b/plots/logistic_regression_first.png new file mode 100644 index 0000000..fe42f00 Binary files /dev/null and b/plots/logistic_regression_first.png differ diff --git a/plotter.py b/plotter.py new file mode 100644 index 0000000..da127bb --- /dev/null +++ b/plotter.py @@ -0,0 +1,61 @@ +import pandas as pd +import numpy as np +import seaborn as sns +import matplotlib.pyplot as plt + +import os + +#bodacious colors +colors=sns.color_palette("rocket", 8) +#Ram's colors, if desired +seshadri = ['#c3121e', '#0348a1', '#ffb01c', '#027608', '#0193b0', '#9c5300', '#949c01', '#7104b5'] +# 0sangre, 1neptune, 2pumpkin, 3clover, 4denim, 5cocoa, 6cumin, 7berry + +data = pd.read_csv("plots/data/MLP_20_10_5_2.csv", sep=";") +#data = pd.read_csv("plots/data/logistic_regression.csv", sep=";") +#data_SMA = pd.read_csv("plots/data/logistic_regression_SMA.csv", sep=";") +#data_SMA_20_50 = pd.read_csv("plots/data/logistic_regression_SMA_20_50.csv", sep=";") +#data_EMA = pd.read_csv("plots/data/logistic_regression_EMA.csv", sep=";") +#data_EMA_20_50 = pd.read_csv("plots/data/logistic_regression_EMA_20_50.csv", sep=";") + +print(data) + +fig = plt.figure(1, figsize=(15,10)) +plt.plot(data["time_window"], data["training_accuracy"]*100, color=seshadri[0], label="Training Accuracy", linewidth=2) +plt.plot(data["time_window"], data["testing_accuracy"]*100, color=seshadri[1], label="Testing Accuracy", linewidth=2) + + + +#plt.plot(data["time_window"], data["testing_accuracy"]*100, color=seshadri[0], label="Returns and Volume", linewidth=2) +#plt.plot(data_SMA_20_50["time_window"], data_SMA_20_50["testing_accuracy"]*100, color=seshadri[1], label="With SMA 20 and 50 candles", linewidth=2) +#plt.plot(data_SMA["time_window"], data_SMA["testing_accuracy"]*100, color=seshadri[2], label="With SMA 20, 50 and 200 candles", linewidth=2) +#plt.plot(data_EMA_20_50["time_window"], data_EMA_20_50["testing_accuracy"]*100, color=seshadri[3], label="With EMA 20 and 50 candles", linewidth=2) +#plt.plot(data_EMA["time_window"], data_EMA["testing_accuracy"]*100, color=seshadri[4], label="With EMA 20, 50 and 200 candles", linewidth=2) + + +#plot params +plt.xlim([0, 50]) +#plt.ylim([50, 60]) +plt.minorticks_on() +plt.tick_params(labelsize=14) +plt.tick_params(labelbottom=True, labeltop=False, labelright=False, labelleft=True) +#xticks = np.arange(0, 1e4,10) +#yticks = np.arange(0,16.1,4) + +plt.tick_params(direction='in',which='minor', length=5, bottom=True, top=True, left=True, right=True) +plt.tick_params(direction='in',which='major', length=10, bottom=True, top=True, left=True, right=True) +#plt.xticks(xticks) +#plt.yticks(yticks) +#plt.grid(True) + +#plt.text(1,325, f'y={Decimal(coefs[3]):.4f}x$^3$+{Decimal(coefs[2]):.2f}x$^2$+{Decimal(coefs[1]):.2f}x+{Decimal(coefs[0]):.1f}',fontsize =13) + + +plt.xlabel(r'Lag (Days)', fontsize=14) +plt.ylabel(r'Accuracy (%)',fontsize=14) # label the y axis + +plt.legend(fontsize=14, loc="upper right", bbox_to_anchor=(0.99, 0.99)) # add the legend (will default to 'best' location) + +plt.savefig("plots/MLP_20_10_5_2.png", dpi=300) + +plt.show() \ No newline at end of file diff --git a/simple_sign_prediction.py b/simple_sign_prediction.py index 1acd9d5..c5cd38a 100644 --- a/simple_sign_prediction.py +++ b/simple_sign_prediction.py @@ -81,10 +81,11 @@ plt.tick_params(direction='in',which='major', length=10, bottom=True, top=True, plt.xlabel(r'Percentage daily return', fontsize=14) plt.ylabel(r'Occurrences',fontsize=14) # label the y axis +plt.yscale('log') plt.legend(fontsize=14, loc="upper right", bbox_to_anchor=(0.99, 0.99)) # add the legend (will default to 'best' location) -plt.savefig("plots/MSFT_daily_occs.png", dpi=300) +plt.savefig("plots/MSFT_daily_occs_semilogx.png", dpi=300) plt.show()