python cnn 股市_CNN运用在股票数据

from __future__ import division from __future__ import

print_function import numpy as np import pandas as pd import

matplotlib.pylab as plt import seaborn as sns import tensorflow as

tf from tensorflow.python.ops import rnn, rnn_cell import tushare

as ts def getData(id,start,end,num,flag): df =

ts.get_hist_data(id,start,end) #df =

(df-np.sum(df)/len(df))/(np.std(df)) if(flag=="true"): df =

df[1:num] else: df = df[:num] df1 = np.array(df) #df2 =

np.array(df.index) ##df = df.T x = [] for i in range(len(df1)):

#temp = np.append(df2[i],df1[i]) temp = df1[i] newresult = [] for

item in temp: newresult.append(item) x.append(newresult)

x.reverse() return x def getDataR(id,start,end,num): df =

ts.get_hist_data(id,start,end) df1 = np.array(df) x = [] for i in

range(len(df1)): temp = df1[i] newresult = [] for item in temp:

newresult.append(item) x.append(newresult) P=df['close']

#实际上是没有end那一天的数据，这里是预测未来一天相对于现在的收盘价 templist=(P.shift(1)-P)/P

templist = templist[:num] templist = np.array(templist) templist =

templist.tolist() templist.reverse() tempDATA = [] for i in

range(len(templist)): if((i+1)%10!=0): pass else:

if(templist[i]>0): #tempDATA.append(templist[i])

tempDATA.append([1,0,0]) elif(templist[i]<=0):

#tempDATA.append(templist[i]) tempDATA.append([0,1,0]) else:

#tempDATA.append(templist[i]) tempDATA.append([0,0,1]) y=tempDATA

return y #df_sh = ts.get_sz50s()['code'] df_sh =["600016"] fac = []

ret = [] facT = [] retT = [] predFAC = [] for ishare in df_sh:

#取最近的260天数据 newfac =

getData(ishare,'2008-07-22','2016-08-01',601,"true") newret =

getDataR(ishare,'2008-07-22','2016-08-01',601) #fac.append(newfac)

for i in range(len(newfac)): fac.append(newfac[i]) for i in

range(len(newret)): ret.append(newret[i]) newfacT =

getData(ishare,'2016-08-01','2017-01-19',101,"true") newretT =

getDataR(ishare,'2016-08-01','2017-01-19',101) #fac.append(newfac)

for i in range(len(newfacT)): facT.append(newfacT[i]) for i in

range(len(newretT)): retT.append(newretT[i]) newpredFAC =

getData(ishare,'2016-08-01','2017-01-20',11,"false") for i in

range(len(newpredFAC)): predFAC.append(newpredFAC[i]) fac =

np.array(fac) ret = np.array(ret) meanfac = np.sum(fac,

axis=0)/len(fac) stdfac = np.std(fac, axis=0) fac =

(fac-meanfac)/stdfac facT = np.array(facT) retT = np.array(retT)

facT = (facT-meanfac)/stdfac newf = [] newfa = [] for i in

range(len(fac)): if((i+1)%10!=0): newf.append(fac[i]) else:

newf.append(fac[i]) newfa.append(newf) newf = [] fac =

np.array(newfa) newfT = [] newfaT = [] for i in range(len(facT)):

if((i+1)%10!=0): newfT.append(facT[i]) else: newfT.append(facT[i])

newfaT.append(newfT) newfT = [] facT = np.array(newfaT) predFAC =

(predFAC-meanfac)/stdfac learning_rate = 0.001 batch_size = 10

print(int(fac.shape[0])) training_iters =

int(fac.shape[0]/batch_size) display_step = 10 # Network Parameters

n_input = 14 n_steps = 10 n_hidden = 1024 n_classes = 3 dropout =

0.8 # tf Graph input x = tf.placeholder('float',[None, n_steps,

n_input]) y = tf.placeholder('float',[None, n_classes]) keep_prob =

tf.placeholder(tf.float32) #dropout (keep probability) def

CNN_Net_five(x,weights,biases,dropout=0.8,m=1): x = tf.reshape(x,

shape=[-1,10,14,1]) # 卷积层1 x = tf.nn.conv2d(x, weights['wc1'],

strides=[1,m,m,1],padding='SAME') x =

tf.nn.bias_add(x,biases['bc1']) x = tf.nn.relu(x) # 卷积层2 x =

tf.nn.conv2d(x, weights['wc2'], strides=[1,m,m,1],padding='SAME') x

= tf.nn.bias_add(x,biases['bc2']) x = tf.nn.relu(x) # 卷积层3 x =

tf.nn.conv2d(x, weights['wc3'], strides=[1,m,m,1],padding='SAME') x

= tf.nn.bias_add(x,biases['bc3']) x = tf.nn.relu(x) # 卷积层4 x =

tf.nn.conv2d(x, weights['wc4'], strides=[1,m,m,1],padding='SAME') x

= tf.nn.bias_add(x,biases['bc4']) x = tf.nn.relu(x) # 卷积层5 x =

tf.nn.conv2d(x, weights['wc5'], strides=[1,m,m,1],padding='SAME') x

= tf.nn.bias_add(x,biases['bc5']) x = tf.nn.relu(x) # 全连接层 x =

tf.reshape(x,[-1,weights['wd1'].get_shape().as_list()[0]]) x =

tf.add(tf.matmul(x,weights['wd1']),biases['bd1']) x = tf.nn.relu(x)

# Apply Dropout x = tf.nn.dropout(x,dropout) # Output, class

prediction x = tf.add(tf.matmul(x,weights['out']),biases['out'])

return x # Store layers weight & bias weights = {

'wc1': tf.Variable(tf.random_normal([5, 5, 1, 16])), 'wc2':

tf.Variable(tf.random_normal([5, 5, 16, 32])), 'wc3':

tf.Variable(tf.random_normal([5, 5, 32, 64])), 'wc4':

tf.Variable(tf.random_normal([5, 5, 64, 32])), 'wc5':

tf.Variable(tf.random_normal([5, 5, 32, 16])), # fully connected,

7*7*64 inputs, 1024 outputs 'wd1':

tf.Variable(tf.random_normal([n_steps*n_input*16, 1024])), 'out':

tf.Variable(tf.random_normal([1024, n_classes])) } biases = {

'bc1': tf.Variable(tf.random_normal([16])), 'bc2':

tf.Variable(tf.random_normal([32])), 'bc3':

tf.Variable(tf.random_normal([64])), 'bc4':

tf.Variable(tf.random_normal([32])), 'bc5':

tf.Variable(tf.random_normal([16])), 'bd1':

tf.Variable(tf.random_normal([1024])), 'out':

tf.Variable(tf.random_normal([n_classes])) } pred =

CNN_Net_five(x,weights,biases,dropout=keep_prob) cost =

tf.reduce_mean(tf.nn.softmax_cross_entropy_with_logits(pred,y))

optimizer =

tf.train.AdamOptimizer(learning_rate=learning_rate).minimize(cost)

correct_pred = tf.equal(tf.argmax(pred,1),tf.arg_max(y,1)) #

tf.argmax(input,axis=None) 由于标签的数据格式是 -1 0 1

3列，该语句是表示返回值最大也就是1的索引，两个索引相同则是预测正确。 accuracy =

tf.reduce_mean(tf.cast(correct_pred, tf.float32)) # 更改数据格式，降低均值

init = tf.global_variables_initializer() with tf.Session() as sess:

sess.run(init) print("**") print(training_iters) for tr in

range(15): #for tr in range(3): for i in

range(int(len(fac)/batch_size)): batch_x =

fac[i*batch_size:(i+1)*batch_size].reshape([batch_size,n_steps,n_input])

batch_y =

ret[i*batch_size:(i+1)*batch_size].reshape([batch_size,n_classes])

sess.run(optimizer,feed_dict={x:batch_x,y:batch_y,keep_prob:dropout})

if(i%50==0): print(i,'----',(int(len(fac)/batch_size))) loss, acc =

sess.run([cost, accuracy], feed_dict={x: batch_x,y: batch_y,

keep_prob:0.8}) print("Iter " + str(tr*batch_size) + ", Minibatch

Loss= " +"{:.26f}".format(loss) + ", Training Accuracy= "

+"{:.26f}".format(acc)) print("Optimization Finished!")

print("Accuracy in data set") test_data =

fac[:batch_size].reshape([batch_size,n_steps,n_input]) test_label =

ret[:batch_size].reshape([batch_size,n_classes]) loss, acc =

sess.run([cost, accuracy], feed_dict={x: test_data,y: test_label,

keep_prob:1.}) print("Accuracy= " +"{:.26f}".format(acc))

print("Accuracy out of data set") test_dataT =

facT[:len(facT)].reshape([len(facT),n_steps,n_input]) test_labelT =

retT[:len(facT)].reshape([len(facT),n_classes]) loss, acc =

sess.run([cost, accuracy], feed_dict={x: test_dataT,y: test_labelT,

keep_prob:1.}) print("Accuracy= " +"{:.26f}".format(acc))

pred_dataT = predFAC[:batch_size].reshape([1,n_steps,n_input])

pred_lable = sess.run([pred],feed_dict={x: pred_dataT,

keep_prob:1.}) list_lable = pred_lable[0][0] maxindex =

np.argmax(list_lable) #print("Predict_label is " +

str(pred_lable[0][0])) if(maxindex==0): print("up") else:

print("down") sess.close()