1.获取数据
import tushare as ts
# 获取代号为000300的股票价格
cons=ts.get_apis()
df=ts.bar('000001', conn=cons, asset='INDEX', start_date='2018-01-01', end_date='')
2. 对于获取的数据按日期进行升序排列,因为我们要通过历史的情况预测未来的情况
df=df.sort_index(ascending=True)
print(df.head(5))
3.取开盘价,收盘价,最高价,最低价,交易量五个特征,并做标准化
df=df[["open","close","high","low","vol"]]
df=df.apply(lambda x:(x-min(x))/(max(x)-min(x)))
4.构造X和Y
思路:我们根据前n天的数据,预测当天的收盘价(close),例如,根据1月1日,1月2日,1月3日的数据(包含5个特征) 预测 1月4日的收盘价(一个值)
比如:X=[ ["open1","close1","high1","low1","vol1"] ,["open2","close2","high2","low2","vol2"]["open3","close3","high3","low3","vol3"] ] Y=[ close4 ]
这个例子中,X对应的sequence length为3,input_size=5 (这tm就是nlp中词的embedding的概念)
我这边是设定 sequence 长度为5 ,就是根据前5天的数据来预测收盘价
sequence=5
X=[]
Y=[]
for i in range(df.shape[0]-sequence):
X.append(np.array(df.iloc[i:(i+sequence),].values,dtype=np.float32))
Y.append(np.array(df.iloc[(i+sequence),1],dtype=np.float32))
print(X[0])
print(Y[0])
5.划分训练集,测试集,构造数据迭代器等常规操作
class Mydataset(Dataset):
def __init__(self,xx,yy,transform=None):
self.x=xx
self.y=yy
self.tranform = transform
def __getitem__(self,index):
x1=self.x[index]
y1=self.y[index]
if self.tranform !=None:
return self.tranform(x1),y1
return x1,y1
def __len__(self):
return len(self.x)
# # 构建batch
trainx,trainy=X[:int(0.7*total_len)],Y[:int(0.7*total_len)]
testx,testy=X[int(0.7*total_len):],Y[int(0.7*total_len):]
train_loader=DataLoader(dataset=Mydataset(trainx,trainy,transform=transforms.ToTensor()), batch_size=12, shuffle=True)
test_loader=DataLoader(dataset=Mydataset(testx,testy), batch_size=12, shuffle=True)
6. 定义LSTM模型
class lstm(nn.Module):
def __init__(self,input_size=5,hidden_size=32,output_size=1):
super(lstm, self).__init__()
# lstm的输入 #batch,seq_len, input_size
self.hidden_size=hidden_size
self.input_size=input_size
self.output_size=output_size
self.rnn=nn.LSTM(input_size=self.input_size,hidden_size=self.hidden_size,batch_first=True)
self.linear=nn.Linear(self.hidden_size,self.output_size)
def forward(self,x):
out,(hidden,cell)=self.rnn(x) # x.shape : batch,seq_len,hidden_size , hn.shape and cn.shape : num_layes * direction_numbers,batch,hidden_size
a,b,c=hidden.shape
out=self.linear(hidden.reshape(a*b,c))
return out
7.开始训练模型
criterion=nn.MSELoss()
optimizer=optim.Adam(model.parameters(),lr=0.001)
preds=[]
labels=[]
for i in range(100):
total_loss=0
for idx,(data,label) in enumerate(train_loader):
data1=data.squeeze(1)
pred=model(Variable(data1))
label=label.unsqueeze(1)
loss=criterion(pred,label)
optimizer.zero_grad()
loss.backward()
optimizer.step()
total_loss+=loss.item()
8.开始测试,将预测的收盘价与实际的收盘价画个图,红色表示预测的收盘价,蓝色表示实际的收盘价
preds=[]
labels=[]
for idx, (x, label) in enumerate(test_loader):
x = x.squeeze(1) # batch_size,seq_len,input_size
pred=model(x)
preds.extend(pred.data.squeeze(1).tolist())
labels.extend(label.tolist())
下面画图,因为之前做了标准化到0-1区间,所以我图中要将收盘价恢复到原始的情况,全部取太密集,所以我只取了前50个进行比对
import matplotlib.pyplot as plt
plt.plot([ele*(close_max-close_min)+close_min for ele in preds[0:50]],"r",label="pred")
plt.plot([ele*(close_max-close_min)+close_min for ele in labels[0:50]],"b",label="real")
plt.show()
完整代码:
import tushare as ts
import torch.nn as nn
import torch
import torch.optim as optim
from torch.utils.data import DataLoader,Dataset
import numpy as np
from torch.autograd import Variable
import os
import pandas as pd
from torchvision import transforms
import numpy as np
os.environ['KMP_DUPLICATE_LIB_OK'] = 'True'
from torchsummary import summary
# 获取代号为000300的股票价格
# cons=ts.get_apis()
# df=ts.bar('000001', conn=cons, asset='INDEX', start_date='2018-01-01', end_date='')
#
# df=df.sort_index(ascending=True)
df=pd.read_csv("stock.csv")
df=df.sort_index(ascending=True)
print(df.head(5))
# 提取open,close,high,low,vol 作为feature,并做标准化
df=df[["open","close","high","low","vol"]]
close_min=df['close'].min()
close_max=df["close"].max()
df=df.apply(lambda x:(x-min(x))/(max(x)-min(x)))
# 定义X和Y: 根据前n天的数据,预测当天的收盘价
# 例如根据 1月1日,1月2日,1月3日 的价格预测 1月4日的收盘价
# X=[ ["open1","close1","high1","low1","vol1"] ,["open2","close2","high2","low2","vol2"] ,["open3","close3","high3","low3","vol3"] ]
# Y=[ close4 ]
# 那么X对应的sequence=3 , [ input_size=5(5维度) ,这tm就是nlp中每个词的embedding ]
total_len=df.shape[0]
sequence=5
X=[]
Y=[]
for i in range(df.shape[0]-sequence):
X.append(np.array(df.iloc[i:(i+sequence),].values,dtype=np.float32))
Y.append(np.array(df.iloc[(i+sequence),1],dtype=np.float32))
print(X[0])
print(Y[0])
#重写Dataset
class Mydataset(Dataset):
def __init__(self,xx,yy,transform=None):
self.x=xx
self.y=yy
self.tranform = transform
def __getitem__(self,index):
x1=self.x[index]
y1=self.y[index]
if self.tranform !=None:
return self.tranform(x1),y1
return x1,y1
def __len__(self):
return len(self.x)
# # 构建batch
trainx,trainy=X[:int(0.7*total_len)],Y[:int(0.7*total_len)]
testx,testy=X[int(0.7*total_len):],Y[int(0.7*total_len):]
train_loader=DataLoader(dataset=Mydataset(trainx,trainy,transform=transforms.ToTensor()), batch_size=12, shuffle=True)
test_loader=DataLoader(dataset=Mydataset(testx,testy), batch_size=12, shuffle=True)
class lstm(nn.Module):
def __init__(self,input_size=5,hidden_size=32,output_size=1):
super(lstm, self).__init__()
# lstm的输入 #batch,seq_len, input_size
self.hidden_size=hidden_size
self.input_size=input_size
self.output_size=output_size
self.rnn=nn.LSTM(input_size=self.input_size,hidden_size=self.hidden_size,batch_first=True)
self.linear=nn.Linear(self.hidden_size,self.output_size)
def forward(self,x):
out,(hidden,cell)=self.rnn(x) # x.shape : batch,seq_len,hidden_size , hn.shape and cn.shape : num_layes * direction_numbers,batch,hidden_size
a,b,c=hidden.shape
out=self.linear(hidden.reshape(a*b,c))
return out
model=lstm()
criterion=nn.MSELoss()
optimizer=optim.Adam(model.parameters(),lr=0.001)
preds=[]
labels=[]
for i in range(100):
total_loss=0
for idx,(data,label) in enumerate(train_loader):
data1=data.squeeze(1)
pred=model(Variable(data1))
label=label.unsqueeze(1)
loss=criterion(pred,label)
optimizer.zero_grad()
loss.backward()
optimizer.step()
total_loss+=loss.item()
# 开始测试
preds=[]
labels=[]
for idx, (x, label) in enumerate(test_loader):
x = x.squeeze(1) # batch_size,seq_len,input_size
pred=model(x)
preds.extend(pred.data.squeeze(1).tolist())
labels.extend(label.tolist())
# print(len(preds[0:50]))
# print(len(labels[0:50]))
import matplotlib.pyplot as plt
plt.plot([ele*(close_max-close_min)+close_min for ele in preds[0:50]],"r",label="pred")
plt.plot([ele*(close_max-close_min)+close_min for ele in labels[0:50]],"b",label="real")
plt.show()