130 lines
5.2 KiB
Python
Executable File
130 lines
5.2 KiB
Python
Executable File
import yfinance as yf
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import pandas as pd
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from datetime import datetime, timedelta
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from sklearn.ensemble import RandomForestClassifier
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import numpy as np
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from xgboost import XGBClassifier
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from sklearn.metrics import precision_score, recall_score, f1_score, roc_auc_score, accuracy_score
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from sklearn.model_selection import train_test_split
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from sklearn.preprocessing import MinMaxScaler, StandardScaler
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from keras.models import Sequential
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from keras.layers import LSTM, Dense, Conv1D, Dropout, BatchNormalization, MaxPooling1D, Bidirectional
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from keras.optimizers import Adam
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from keras.callbacks import EarlyStopping, ModelCheckpoint, ReduceLROnPlateau
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from keras.models import load_model
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from sklearn.feature_selection import SelectKBest, f_classif
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from tensorflow.keras.backend import clear_session
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from keras import regularizers
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from keras.layers import Layer
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from tqdm import tqdm
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from collections import defaultdict
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import asyncio
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import aiohttp
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import aiofiles
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import pickle
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import time
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# Based on the paper: https://arxiv.org/pdf/1603.00751
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class FundamentalPredictor:
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def __init__(self):
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self.model = self.build_model()
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self.scaler = MinMaxScaler()
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def build_model(self):
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clear_session()
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model = Sequential()
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model.add(Dense(1000, activation='relu', kernel_regularizer=regularizers.l2(0.01)))
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model.add(Dropout(0.2))
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model.add(BatchNormalization())
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model.add(Dense(2000, activation='relu', kernel_regularizer=regularizers.l2(0.01)))
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model.add(Dropout(0.2))
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model.add(BatchNormalization())
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model.add(Dense(3000, activation='relu', kernel_regularizer=regularizers.l2(0.01)))
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model.add(Dropout(0.2))
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model.add(BatchNormalization())
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model.add(Dense(2000, activation='relu', kernel_regularizer=regularizers.l2(0.01)))
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model.add(Dropout(0.2))
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model.add(BatchNormalization())
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model.add(Dense(1000, activation='relu', kernel_regularizer=regularizers.l2(0.01)))
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model.add(Dropout(0.2))
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model.add(BatchNormalization())
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model.add(Dense(500, activation='relu', kernel_regularizer=regularizers.l2(0.01)))
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# Output layer for binary classification
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model.add(Dense(1, activation='sigmoid'))
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# Optimizer with a lower learning rate and scheduler
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optimizer = Adam(learning_rate=0.1)
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# Compile the model
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model.compile(optimizer=optimizer, loss='binary_crossentropy', metrics=['accuracy'])
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return model
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def preprocess_data(self, X):
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# X = X.applymap(lambda x: 9999 if x == 0 else x) # Replace 0 with 9999 as suggested in the paper
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X = np.where(np.isinf(X), np.nan, X)
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X = np.nan_to_num(X)
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X = self.scaler.fit_transform(X)
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return X
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def reshape_for_lstm(self, X):
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return X.reshape((X.shape[0], X.shape[1], 1))
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def train_model(self, X_train, y_train):
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X_train = self.preprocess_data(X_train)
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#X_train = self.reshape_for_lstm(X_train)
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checkpoint = ModelCheckpoint('ml_models/weights/fundamental_weights/weights.keras',
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save_best_only=True, save_freq = 1,
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monitor='val_loss', mode='min')
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early_stopping = EarlyStopping(monitor='val_loss', patience=20, restore_best_weights=True)
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reduce_lr = ReduceLROnPlateau(monitor='val_loss', factor=0.5, patience=10, min_lr=0.00001)
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self.model.fit(X_train, y_train, epochs=100_000, batch_size=64,
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validation_split=0.1, callbacks=[checkpoint, early_stopping, reduce_lr])
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self.model.save('ml_models/weights/fundamental_weights/weights.keras')
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def evaluate_model(self, X_test, y_test):
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X_test = self.preprocess_data(X_test)
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X_test = self.reshape_for_lstm(X_test)
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self.model = load_model('ml_models/weights/fundamental_weights/weights.keras')
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test_predictions = self.model.predict(X_test).flatten()
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test_predictions[test_predictions >= 0.5] = 1
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test_predictions[test_predictions < 0.5] = 0
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test_precision = precision_score(y_test, test_predictions)
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test_accuracy = accuracy_score(y_test, test_predictions)
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print("Test Set Metrics:")
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print(f"Precision: {round(test_precision * 100)}%")
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print(f"Accuracy: {round(test_accuracy * 100)}%")
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next_value_prediction = 1 if test_predictions[-1] >= 0.5 else 0
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return {'accuracy': round(test_accuracy * 100),
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'precision': round(test_precision * 100),
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'sentiment': 'Bullish' if next_value_prediction == 1 else 'Bearish'}, test_predictions
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def feature_selection(self, X_train, y_train, k=100):
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print('feature selection:')
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print(X_train.shape, y_train.shape)
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selector = SelectKBest(score_func=f_classif, k=k)
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selector.fit(X_train, y_train)
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selector.transform(X_train)
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selected_features = [col for i, col in enumerate(X_train.columns) if selector.get_support()[i]]
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return selected_features
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