AdaBoost-股票涨跌预测模型搭建

1.引入之后需要用到的库

import tushare as ts  # 股票基本数据相关库
import numpy as np  # 科学计算相关库
import pandas as pd  # 科学计算相关库  
import talib  # 股票衍生变量数据相关库
import matplotlib.pyplot as plt  # 引入绘图相关库
from sklearn.metrics import accuracy_score  # 引入准确度评分函数
import warnings
warnings.filterwarnings("ignore") # 忽略警告信息，警告非报错，不影响代码执行股票涨跌预测模型搭建

2.股票数据处理与衍生变量生成

# 1.股票基本数据获取
df = ts.get_k_data('000002',start='2015-01-01',end='2019-12-31')
df = df.set_index('date')  # 设置日期为索引

# 2.简单衍生变量构造
df['close-open'] = (df['close'] - df['open'])/df['open']
df['high-low'] = (df['high'] - df['low'])/df['low']

df['pre_close'] = df['close'].shift(1)  # 该列所有往下移一行形成昨日收盘价
df['price_change'] = df['close']-df['pre_close']
df['p_change'] = (df['close']-df['pre_close'])/df['pre_close']*100

# 3.移动平均线相关数据构造
df['MA5'] = df['close'].rolling(5).mean()
df['MA10'] = df['close'].rolling(10).mean()
df.dropna(inplace=True)  # 删除空值

# 4.通过Ta_lib库构造衍生变量
df['RSI'] = talib.RSI(df['close'], timeperiod=12)  # 相对强弱指标
df['MOM'] = talib.MOM(df['close'], timeperiod=5)  # 动量指标
df['EMA12'] = talib.EMA(df['close'], timeperiod=12)  # 12日指数移动平均线
df['EMA26'] = talib.EMA(df['close'], timeperiod=26)  # 26日指数移动平均线
df['MACD'], df['MACDsignal'], df['MACDhist'] = talib.MACD(df['close'], fastperiod=12, slowperiod=26, signalperiod=9)  # MACD值
df.dropna(inplace=True)  # 删除空值
# 查看此时的df后五行
df.tail()

3.特征变量和目标变量提取 

X = df[['close', 'volume', 'close-open', 'MA5', 'MA10', 'high-low', 'RSI', 'MOM', 'EMA12', 'MACD', 'MACDsignal', 'MACDhist']]
y = np.where(df['price_change'].shift(-1)> 0, 1, -1)

4.训练集和测试集数据划分

X_length = X.shape[0]  # shape属性获取X的行数和列数，shape[0]即表示行数 
split = int(X_length * 0.9)

X_train, X_test = X[:split], X[split:]
y_train, y_test = y[:split], y[split:]

5.模型搭建

from sklearn.ensemble import AdaBoostClassifier
model = AdaBoostClassifier(random_state=123)
model.fit(X_train, y_train)

 6. 模型使用与评估

6.1.预测下一天的涨跌情况

y_pred = model.predict(X_test)
print(y_pred)

a = pd.DataFrame()  # 创建一个空DataFrame 
a['预测值'] = list(y_pred)
a['实际值'] = list(y_test)
a.head()

 

# 查看预测概率
y_pred_proba = model.predict_proba(X_test)
y_pred_proba[0:5]

 6.2.模型准确度评估

from sklearn.metrics import accuracy_score
score = accuracy_score(y_pred, y_test)
print(score)

6.3 混淆矩阵

#混淆矩阵
from sklearn.metrics import confusion_matrix
m = confusion_matrix(y_test, y_pred)  # 传入预测值和真实值
print(m)
# 计算ROC曲线需要的假警报率（fpr）、命中率（tpr）及阈值（thres）
from sklearn.metrics import roc_curve
fpr, tpr, thres = roc_curve(y_test, y_pred_proba[:,1])
# .查看假警报率（fpr）、命中率（tpr）及阈值（thres）
a = pd.DataFrame()  # 创建一个空DataFrame 
a['阈值'] = list(thres)
a['假警报率'] = list(fpr)
a['命中率'] = list(tpr)
a.head()
# .绘制ROC曲线
import matplotlib.pyplot as plt
plt.rcParams['font.sans-serif'] = ['SimHei']  # 设置中文
plt.plot(fpr, tpr)  # 通过plot()函数绘制折线图
plt.title('ROC曲线')  # 添加标题，注意如果要写中文，需要在之前添加一行代码：plt.rcParams['font.sans-serif'] = ['SimHei']
plt.xlabel('FPR')  # 添加X轴标签
plt.ylabel('TPR')  # 添加Y轴标
plt.show()
# .求出模型的AUC值
from sklearn.metrics import roc_auc_score
score = roc_auc_score(y_test, y_pred_proba[:,1])
score

 

 6.4 分析数据特征的重要性

# 通过如下代码可以更好的展示特征及其特征重要性：
features = X.columns  
importances = model.feature_importances_
a = pd.DataFrame()
a['特征'] = features
a['特征重要性'] = importances
a = a.sort_values('特征重要性', ascending=False)
a

以上仅代表个人观点，如有错误，希望多多包涵！