CNN--股票预测

import numpy as np

from scipy import stats

import tensorflow.compat.v1 as tf

tf.disable_v2_behavior()



#import tensorflow.compat.v1 as tf

#tf.disable_v2_behavior()



import pandas as pd

from sklearn.preprocessing import minmax_scale

from sklearn.model_selection import train_test_split

from sklearn.preprocessing import OneHotEncoder

import os



os.environ['TF_CPP_MIN_LOG_LEVEL'] = '2'



# 读取数据集

df = pd.read_csv("./dataset/tt.csv")

# 数据归一化

df['open'] = minmax_scale(df['open'])

df['high'] = minmax_scale(df['high'])

df['low'] = minmax_scale(df['low'])



# 构建向量矩阵

# 总数据矩阵/标签

data = []

label = []





# 定义窗口函数

def windows(data, size):

    start = 0

    while start < data.count():

        yield int(start), int(start + size)

        start += (size / 2)





# 返回格式数据

def segment_signal(data, window_size=90):

    segments = np.empty((0, window_size, 3))

    labels = np.empty((0))

    for (start, end) in windows(data["timestamp"], window_size):

        x = data["open"][start:end]

        y = data["high"][start:end]

        z = data["low"][start:end]

        if (len(df["timestamp"][start:end]) == window_size):

            segments = np.vstack([segments, np.dstack([x, y, z])])

            labels = np.append(labels, stats.mode(data["label"][start:end])[0][0])

    return segments, labels





data, label = segment_signal(df)

# 对标签数据进行处理

for i in range(0, len(label)):

    if label[i] == -1:

        label[i] = 0



X_train, X_test, y_train, y_test = train_test_split(data, label, test_size=0.2)

X_train = np.array(X_train).reshape(len(X_train), 90, 3)

X_test = np.array(X_test).reshape(len(X_test), 90, 3)

y_train = np.array(y_train).reshape(-1, 1)

y_test = np.array(y_test).reshape(-1, 1)



# 标签One-Hot

enc = OneHotEncoder()

enc.fit(y_train)

y_train = enc.transform(y_train).toarray()

y_test = enc.transform(y_test).toarray()



in_channels = 3

units = 256

epoch = 10000

batch_size = 5

batch = X_train.shape[0] / batch_size



# 创建占位符

X = tf.placeholder(tf.float32, shape=(None, 90, in_channels))

Y = tf.placeholder(tf.float32, shape=(None, 2))



# layer1

h1 = tf.layers.conv1d(X, 256, 4, 2, 'SAME', name='h1', use_bias=True, activation=tf.nn.relu)

p1 = tf.layers.max_pooling1d(h1, 2, 2, padding='VALID')

print(h1)

print(p1)



# layer2

h2 = tf.layers.conv1d(p1, 256, 4, 2, 'SAME', use_bias=True, activation=tf.nn.relu)

p2 = tf.layers.max_pooling1d(h2, 2, 2, padding='VALID')

print(h2)

#print(p2)



# layer3

h3 = tf.layers.conv1d(p2, 2, 4, 2, 'SAME', use_bias=True, activation=tf.nn.relu)

p3 = tf.layers.max_pooling1d(h3, 2, 2, padding='VALID')

res = tf.reshape(p3, shape=(-1, 2))



print(h3)

print(p3)

print(res)



# loss

loss = tf.reduce_mean(tf.nn.softmax_cross_entropy_with_logits_v2(logits=res, labels=Y))





# 创建正确率

ac = tf.cast(tf.equal(tf.argmax(res, 1), tf.argmax(Y, 1)), tf.float32)

acc = tf.reduce_mean(ac)



# 创建优化器

optim = tf.train.AdamOptimizer(0.0001).minimize(loss)



with tf.Session() as sess:

    sess.run(tf.global_variables_initializer())

    for i in range(10000):

        sess.run(optim, feed_dict={X: X_train, Y: y_train})

        if i % 100 == 0:

            los, accuracy = sess.run([loss, acc], feed_dict={X: X_train, Y: y_train})

            print(los, accuracy)

    ccc = sess.run(tf.argmax(res, 1), feed_dict={X: X_test, Y: y_test})

    print(ccc)