diff --git a/tutorial_lstm.py b/tutorial_lstm.py new file mode 100644 index 0000000..e4e02fe --- /dev/null +++ b/tutorial_lstm.py @@ -0,0 +1,110 @@ +#%% +from math import sqrt +from numpy import concatenate +import numpy as np +from matplotlib import pyplot +from pandas import read_csv +from pandas import DataFrame +from pandas import concat +from sklearn.preprocessing import MinMaxScaler +from sklearn.preprocessing import LabelEncoder +from sklearn.metrics import mean_squared_error +from keras.models import Sequential +from keras.layers import Dense +from keras.layers import LSTM +#%% + +# convert series to supervised learning +def series_to_supervised(data, n_in=1, n_out=1, dropnan=True): + n_vars = 1 if type(data) is list else data.shape[1] + df = DataFrame(data) + cols, names = list(), list() + # input sequence (t-n, ... t-1) + for i in range(n_in, 0, -1): + cols.append(df.shift(i)) + names += [('var%d(t-%d)' % (j+1, i)) for j in range(n_vars)] + # forecast sequence (t, t+1, ... t+n) + for i in range(0, n_out): + cols.append(df.shift(-i)) + if i == 0: + names += [('var%d(t)' % (j+1)) for j in range(n_vars)] + else: + names += [('var%d(t+%d)' % (j+1, i)) for j in range(n_vars)] + # put it all together + agg = concat(cols, axis=1) + agg.columns = names + # drop rows with NaN values + if dropnan: + agg.dropna(inplace=True) + return agg + +#%% load dataset +from load_data import load_files +data = load_files('data/', True) +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_vol_10"]] + +values = data.values +# ensure all data is float +# values = values.astype('float32') + +#%% +np.isposinf(values).sum() + +#%% normalize features +scaler = MinMaxScaler(feature_range=(-1, 1)) +scaled = scaler.fit_transform(values) + + +# specify the number of lag hours +past = 10 +n_features = 8 +#%% frame as supervised learning +reframed = series_to_supervised(scaled, past, 1) +print(reframed.shape) + +#%% split into train and test sets +values = reframed.values +n_train_hours = 365 * 24 +train = values[:n_train_hours, :] +test = values[n_train_hours:, :] +# split into input and outputs +n_obs = past * n_features +train_X, train_y = train[:, :n_obs], train[:, -n_features] +test_X, test_y = test[:, :n_obs], test[:, -n_features] +print(train_X.shape, len(train_X), train_y.shape) +# reshape input to be 3D [samples, timesteps, features] +train_X = train_X.reshape((train_X.shape[0], past, n_features)) +test_X = test_X.reshape((test_X.shape[0], past, n_features)) +print(train_X.shape, train_y.shape, test_X.shape, test_y.shape) + +#%% design network +model = Sequential() +model.add(LSTM(50, input_shape=(train_X.shape[1], train_X.shape[2]))) +model.add(Dense(1)) +model.compile(loss='mae', optimizer='adam') + +#%% fit network +history = model.fit(train_X, train_y, epochs=50, batch_size=72, validation_data=(test_X, test_y), verbose=2, shuffle=False) +# plot history +pyplot.plot(history.history['loss'], label='train') +pyplot.plot(history.history['val_loss'], label='test') +pyplot.legend() +pyplot.show() + +# make a prediction +yhat = model.predict(test_X) +test_X = test_X.reshape((test_X.shape[0], n_hours*n_features)) +# invert scaling for forecast +inv_yhat = concatenate((yhat, test_X[:, -7:]), axis=1) +inv_yhat = scaler.inverse_transform(inv_yhat) +inv_yhat = inv_yhat[:,0] +# invert scaling for actual +test_y = test_y.reshape((len(test_y), 1)) +inv_y = concatenate((test_y, test_X[:, -7:]), axis=1) +inv_y = scaler.inverse_transform(inv_y) +inv_y = inv_y[:,0] +# calculate RMSE +rmse = sqrt(mean_squared_error(inv_y, inv_yhat)) +print('Test RMSE: %.3f' % rmse) \ No newline at end of file