feat(Core): added the first classification model & the feature necessary (#4)

* feat(Core): added the first classification model & the feature necessary

* feat(Models): added basic transformers model

model_classification_keras.py

@@ -0,0 +1,122 @@
+#%% Import all the stuff, load data, define constants
+from sklearn.utils import shuffle
+from load_data import load_files, create_target_pos_neg_classes
+import pandas as pd
+from tensorflow import keras
+from utils.normalize import normalize
+import tensorflow as tf
+from utils.visualize import visualize_loss
+from sklearn.preprocessing import MinMaxScaler
+from utils.evaluate import print_classification_metrics
+import numpy as np
+from utils.rolling import rolling_window
+from keras_models.classification import create_basic_cnn_model, create_basic_lstm_model, create_resnet_cnn_model
+from keras_models.classification_transformer import create_basic_transformer_model
+
+data = load_files('data/', add_features=True, log_returns=False)
+data.reset_index(drop=True, inplace=True)
+data = data[[column for column in data.columns if not column.endswith('volume')]]
+# data = data[["BTC_returns", "BTC_mom_10", "BTC_mom_20", "BTC_mom_30", "BTC_mom_60", "BTC_vol_10", "BTC_vol_20", "BTC_vol_60", "day_month", "day_week", "month"]]
+
+target_col = 'target'
+data = create_target_pos_neg_classes(data, 'ETH_returns', 30)
+
+num_classes = 2
+learning_rate = 0.002
+batch_size = 64
+epochs = 100
+
+split_fraction = 0.8
+train_split = int(split_fraction * int(data.shape[0]))
+
+past = 10
+future = 1
+
+start = past + future
+end = start + train_split
+
+#%% split data into training - validation sets
+train_data = data.loc[0 : train_split - 1]
+val_data = data.loc[train_split:]
+
+#%% create features and target for training set & keras dataset
+feature_scaler = MinMaxScaler(feature_range= (-1, 1))
+
+x_train = feature_scaler.fit_transform(train_data.drop(target_col, axis=1).values) # you get the mean and std
+y_train = keras.utils.to_categorical(data.iloc[start:end][target_col].values)
+
+dataset_train = keras.preprocessing.timeseries_dataset_from_array(
+    x_train,
+    y_train,
+    sequence_length=past,
+    batch_size=batch_size,
+)
+
+
+#%% create features and target for validation set & keras dataset
+x_end = len(val_data) - past - future
+label_start = train_split + past + future
+
+x_val = feature_scaler.transform(val_data.drop(target_col, axis=1).iloc[:x_end].values) # you use the training data's mean and std
+y_val = keras.utils.to_categorical(data.iloc[label_start:][target_col].values)
+
+dataset_val = keras.utils.timeseries_dataset_from_array(
+    x_val,
+    y_val,
+    sequence_length=past,
+    batch_size=batch_size,
+    shuffle=False,
+)
+
+
+#%%
+
+for batch in dataset_train.take(10):
+    batch_inputs, batch_targets = batch
+
+print("Input shape:", batch_inputs.shape)
+print("Target shape:", batch_targets.shape)
+
+n_timestamps = batch_inputs.shape[1]
+n_features = batch_inputs.shape[2]
+# print(batch_inputs)
+# print(batch_targets)
+
+# %%
+# model = create_resnet_cnn_model(input_shape=(n_timestamps, n_features), num_classes=num_classes)
+model = create_basic_transformer_model(
+    input_shape=(n_timestamps, n_features),
+    n_classes=num_classes,
+    head_size=64,
+    num_heads=4,
+    ff_dim=4,
+    num_transformer_blocks=4,
+    mlp_units=[64],
+    mlp_dropout=0.4,
+    dropout=0.25,
+)
+
+optimizer = keras.optimizers.Adam(learning_rate=learning_rate)
+model.compile(optimizer=optimizer, loss="categorical_crossentropy", metrics=['accuracy'])
+model.summary()
+
+# %%
+
+path_checkpoint = "model_checkpoint.h5"
+
+history = model.fit(
+    dataset_train,
+    epochs=epochs,
+    validation_data=dataset_val,
+)
+
+#%%
+
+# pred = model.predict(rolling_window(x_val, 11))
+# pred = pred.reshape(pred.shape[0], 1)
+
+
+#%%
+# print_classification_metrics(y_val, pred)
+
+visualize_loss(history, "Training and Validation Loss")