#%% Import all the stuff, load data, define constants from sklearn.utils import shuffle from load_data import load_files, create_target_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(path='data/', own_asset='BTC_ETH', load_other_assets=True, log_returns=False, add_date_features=True, own_technical_features='level2', other_technical_features='level2', exogenous_features='none', index_column='int' ) target_col = 'target' data = create_target_classes(data, 'BTC_ETH_returns', 1, 'two') 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 = 60 future = 10 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(1): 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_basic_lstm_model(input_shape=(n_timestamps, n_features), num_classes=num_classes) # model = create_basic_cnn_model(input_shape=(n_timestamps, n_features), num_classes=num_classes) 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) loss = keras.losses.CategoricalCrossentropy(from_logits=True) model.compile(optimizer=optimizer, loss=loss, 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")