This is my first attempt in deep learning, the purpose of this code is to predict the FOREX market direction.
Here is the code:
import matplotlib.pyplot as plt
import numpy as np
import pandas as pd
from sklearn.preprocessing import MinMaxScaler
from keras.layers.core import Dense, Activation, Dropout
from keras.layers.recurrent import LSTM
from keras.models import Sequential
column_names = ['Date', 'Time', 'Open', 'High', 'Low','Close', 'Volume']
data = pd.read_csv(r"E:\Tutorial\EURUSD60.csv", header=None, names=column_names)
data['DateTime'] = pd.to_datetime(data.Date + ' ' + data.Time)
del data['Date']
del data['Time']
sequence_length = 21
n_features = len(data.columns)
val_ratio = 0.1
n_epochs = 300
batch_size = 512
data = data.as_matrix()
data_processed = []
for index in range(len(data) - sequence_length):
data_processed.append(data[index: index + sequence_length])
data_processed = np.array(data_processed)
val_split = round((1 - val_ratio) * data_processed.shape[0])
train = data_processed[: int(val_split), :]
val = data_processed[int(val_split):, :]
print('Training data: {}'.format(train.shape))
print('Validation data: {}'.format(val.shape))
train_samples, train_nx, train_ny = train.shape
val_samples, val_nx, val_ny = val.shape
train = train.reshape((train_samples, train_nx * train_ny))
val = val.reshape((val_samples, val_nx * val_ny))
preprocessor = MinMaxScaler().fit(train)
train = preprocessor.transform(train)
val = preprocessor.transform(val)
train = train.reshape((train_samples, train_nx, train_ny))
val = val.reshape((val_samples, val_nx, val_ny))
X_train = train[:, : -1]
y_train = train[:, -1][:, -1]
X_val = val[:, : -1]
y_val = val[:, -1][:, -1]
X_train = np.reshape(X_train, (X_train.shape[0], X_train.shape[1], n_features))
X_val = np.reshape(X_val, (X_val.shape[0], X_val.shape[1], n_features))
model = Sequential()
model.add(LSTM(input_shape=(X_train.shape[1:]), units=128, return_sequences=True))
model.add(Dropout(0.5))
model.add(LSTM(128, return_sequences=False))
model.add(Dropout(0.25))
model.add(Dense(units=1))
model.add(Activation("linear"))
model.compile(loss="mse", optimizer="adam")
history = model.fit(
X_train,
y_train,
batch_size=batch_size,
epochs=n_epochs,
verbose=2)
preds_val = model.predict(X_val)
diff = []
for i in range(len(y_val)):
pred = preds_val[i][0]
diff.append(y_val[i] - pred)
real_min = preprocessor.data_min_[104]
real_max = preprocessor.data_max_[104]
print(preprocessor.data_min_[104])
print(preprocessor.data_max_[104])
preds_real = preds_val * (real_max - real_min) + real_min
y_val_real = y_val * (real_max - real_min) + real_min
plt.plot(preds_real, label='Predictions')
plt.plot(y_val_real, label='Actual values')
plt.xlabel('test')
plt.legend(loc=0)
plt.show()
Here is the error:
Using TensorFlow backend. 2017-12-03 13:26:44.494199: W
C:\tf_jenkins\home\workspace\rel-win\M\windows\PY\36\tensorflow\core\platform\cpu_feature_guard.cc:45] The TensorFlow library wasn't compiled to use AVX instructions, but
these are available on your machine and could speed up CPU
computations. 2017-12-03 13:26:44.494660: W
C:\tf_jenkins\home\workspace\rel-win\M\windows\PY\36\tensorflow\core\platform\cpu_feature_guard.cc:45] The TensorFlow library wasn't compiled to use AVX2 instructions, but
these are available on your machine and could speed up CPU
computations. Training data: (1824, 21, 6) Validation data: (203, 21,
6) Traceback (most recent call last): File "E:/Tutorial/Deep
Learning.py", line 42, in preprocessor = MinMaxScaler().fit(train) File "C:\Users\sydgo\Anaconda3\lib\site-packages\sklearn\preprocessing\data.py",
line 308, in fit
return self.partial_fit(X, y) File "C:\Users\sydgo\Anaconda3\lib\site-packages\sklearn\preprocessing\data.py",
line 334, in partial_fit
estimator=self, dtype=FLOAT_DTYPES) File "C:\Users\sydgo\Anaconda3\lib\site-packages\sklearn\utils\validation.py",
line 433, in check_array array = np.array(array, dtype=dtype, order=order, copy=copy) TypeError: float() argument must be a string or a number, not
'Timestamp'
This is the code after fixing the error
import matplotlib.pyplot as plt
import numpy as np
import pandas as pd
from sklearn.preprocessing import MinMaxScaler
from keras.layers.core import Dense, Activation, Dropout
from keras.layers.recurrent import LSTM
from keras.models import Sequential
column_names = ['Date', 'Time', 'Open', 'High', 'Low','Close', 'Volume']
df = pd.read_csv(r"E:\Tutorial\EURUSD60.csv", header=None, names=column_names)
df['DateTime'] = pd.to_datetime(df.Date + ' ' + df.Time)
del df['Date']
del df['Time']
df.rename(columns={'DateTime': 'timestamp', 'Open': 'open',
'High': 'high', 'Low': 'low', 'Close': 'close', 'Volume': 'volume'}, inplace=True)
df['timestamp'] = pd.to_datetime(df['timestamp'], infer_datetime_format=True)
df.set_index('timestamp', inplace=True)
df = df.astype(float)
df['hour'] = df.index.hour
df['day'] = df.index.weekday
df['week'] = df.index.week
sequence_length = 21
n_features = len(df.columns)
val_ratio = 0.1
n_epochs = 300
batch_size = 512
data = df.as_matrix()
data_processed = []
for index in range(len(data) - sequence_length):
data_processed.append(data[index: index + sequence_length])
data_processed = np.array(data_processed)
val_split = round((1 - val_ratio) * data_processed.shape[0])
train = data_processed[: int(val_split), :]
val = data_processed[int(val_split):, :]
print('Training data: {}'.format(train.shape))
print('Validation data: {}'.format(val.shape))
train_samples, train_nx, train_ny = train.shape
val_samples, val_nx, val_ny = val.shape
train = train.reshape((train_samples, train_nx * train_ny))
val = val.reshape((val_samples, val_nx * val_ny))
preprocessor = MinMaxScaler().fit(train)
train = preprocessor.transform(train)
val = preprocessor.transform(val)
train = train.reshape((train_samples, train_nx, train_ny))
val = val.reshape((val_samples, val_nx, val_ny))
X_train = train[:, : -1]
y_train = train[:, -1][:, -1]
X_val = val[:, : -1]
y_val = val[:, -1][:, -1]
X_train = np.reshape(X_train, (X_train.shape[0], X_train.shape[1], n_features))
X_val = np.reshape(X_val, (X_val.shape[0], X_val.shape[1], n_features))
model = Sequential()
model.add(LSTM(input_shape=(X_train.shape[1:]), units=128, return_sequences=True))
model.add(Dropout(0.5))
model.add(LSTM(128, return_sequences=False))
model.add(Dropout(0.25))
model.add(Dense(units=1))
model.add(Activation("linear"))
model.compile(loss="mse", optimizer="adam")
history = model.fit(
X_train,
y_train,
batch_size=batch_size,
epochs=n_epochs,
verbose=2)
preds_val = model.predict(X_val)
diff = []
for i in range(len(y_val)):
pred = preds_val[i][0]
diff.append(y_val[i] - pred)
real_min = preprocessor.data_min_[104]
real_max = preprocessor.data_max_[104]
print(preprocessor.data_min_[:120])
print(preprocessor.data_max_[:120])
preds_real = preds_val * (real_max - real_min) + real_min
y_val_real = y_val * (real_max - real_min) + real_min
plt.plot(preds_real, label='Predictions')
plt.plot(y_val_real, label='Actual values')
plt.xlabel('test')
plt.legend(loc=0)
plt.show()