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Add MLP to prediction techniques!
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didier
166
prediction_techniques/neural_networks.py
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166
prediction_techniques/neural_networks.py
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import argparse
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from helper_funcs import *
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import pandas as pd
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import numpy as np
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import matplotlib.pyplot as plt
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from pandas.plotting import register_matplotlib_converters
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register_matplotlib_converters()
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from TimeSeriesCrossValidation import splitTrain
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from sklearn.preprocessing import MinMaxScaler, StandardScaler
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from tensorflow.keras.layers import Dense, Activation, Dropout
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from tensorflow.keras.layers import LSTM, SimpleRNN
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from tensorflow.keras.models import Sequential
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from tensorflow.keras.layers import RepeatVector, TimeDistributed
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import os
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os.environ['TF_CPP_MIN_LOG_LEVEL'] = '2'
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from warnings import simplefilter
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simplefilter(action='ignore', category=FutureWarning)
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# ----------------------------------------------------------------------------------------------------
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def build_neural_network_model(Recurrent_Neural_Network, n_inputs, n_days):
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model = Sequential()
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for idx_layer, d_layer in enumerate(Recurrent_Neural_Network):
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# Recurrent Neural Network
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if str(*d_layer) is 'SimpleRNN':
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# Is this the input layer? If so, define input_shape
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if idx_layer == 0:
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model.add(SimpleRNN(**d_layer['SimpleRNN'], input_shape=(n_inputs, 1)))
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# Is this the last output layer? If so, set units to prediction days
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elif idx_layer == (len(Recurrent_Neural_Network)-1):
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model.add(SimpleRNN(**d_layer['SimpleRNN'], units=n_days))
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else:
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model.add(SimpleRNN(**d_layer['SimpleRNN']))
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# Long-Short Term-Memory
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elif str(*d_layer) is 'LSTM':
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# Is this the input layer? If so, define input_shape
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if idx_layer == 0:
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model.add(LSTM(**d_layer['LSTM'], input_shape=(n_inputs, 1)))
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# Is this the last output layer? If so, set units to prediction days
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elif idx_layer == (len(Recurrent_Neural_Network)-1):
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model.add(LSTM(**d_layer['LSTM'], units=n_days))
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else:
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model.add(LSTM(**d_layer['LSTM']))
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# Dense (Simple Neuron)
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elif str(*d_layer) is 'Dense':
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# Is this the input layer? If so, define input_shape
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if idx_layer == 0:
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model.add(Dense(**d_layer['Dense'], input_dim=n_inputs))
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# Is this the last output layer? If so, set units to prediction days
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elif idx_layer == (len(Recurrent_Neural_Network)-1):
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model.add(Dense(**d_layer['Dense'], units=n_days))
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else:
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model.add(Dense(**d_layer['Dense']))
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# Dropout (Regularization)
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elif str(*d_layer) is 'Dropout':
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model.add(Dropout(**d_layer['Dropout']))
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else:
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print(f"Incorrect neuron type: {str(*d_layer)}")
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return model
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# -------------------------------------------------- MLP --------------------------------------------------
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def mlp(l_args, s_ticker, s_interval, df_stock):
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parser = argparse.ArgumentParser(prog='mlp',
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description="""Multilayer Perceptron. """)
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parser.add_argument('-d', "--days", action="store", dest="n_days", type=check_positive, default=5, help='prediction days')
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parser.add_argument('-i', "--input", action="store", dest="n_inputs", type=check_positive, default=40, help='number of days to use for prediction')
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parser.add_argument('-e', "--epochs", action="store", dest="n_epochs", type=check_positive, default=200, help='number of training epochs')
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parser.add_argument('-f', "--freq", action="store", dest="n_jumps", type=check_positive, default=1, help='how')
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parser.add_argument('-p', "--pp", action="store", dest="s_preprocessing", default='normalization', choices=['normalization', 'standardization', 'none'], help='Pre Processing data')
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parser.add_argument('-o', "--optimizer", action="store", dest="s_optimizer", default='adam', help='Optimizer technique',
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choices=['adam', 'adagrad', 'adadelta', 'adamax', 'ftrl', 'nadam', 'optimizer', 'rmsprop', 'sgd'])
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parser.add_argument('-l', "--loss", action="store", dest="s_loss", default='mae',
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choices=['mae', 'mape', 'mse', 'msle'], help='Loss function')
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try:
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(ns_parser, l_unknown_args) = parser.parse_known_args(l_args)
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if l_unknown_args:
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print(f"The following args couldn't be interpreted: {l_unknown_args}\n")
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return
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# Pre-process data
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if ns_parser.s_preprocessing == 'standardization':
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scaler = StandardScaler()
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stock_train_data = scaler.fit_transform(np.array(df_stock['5. adjusted close'].values.reshape(-1, 1)))
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elif ns_parser.s_preprocessing == 'normalization':
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scaler = MinMaxScaler()
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stock_train_data = scaler.fit_transform(np.array(df_stock['5. adjusted close'].values.reshape(-1, 1)))
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else: # No pre-processing
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stock_train_data = np.array(df_stock['5. adjusted close'].values.reshape(-1, 1))
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# Split training data for the neural network
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stock_x, stock_y = splitTrain.split_train(stock_train_data, ns_parser.n_inputs, ns_parser.n_days, numJumps=ns_parser.n_jumps)
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stock_x = np.array(stock_x)
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stock_x = np.reshape(stock_x, (stock_x.shape[0], stock_x.shape[1]))
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stock_y = np.array(stock_y)
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stock_y = np.reshape(stock_y, (stock_y.shape[0], stock_y.shape[1]))
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# Build Neural Network model
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MultiLayer_Perceptron \
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= [ {'Dense':
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{'units':50, 'activation':'relu'} },
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{'Dense':
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{'units':100, 'activation':'relu'} },
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{'Dense':
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{'units':80, 'activation':'relu'} },
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{'Dense':
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{'units':30, 'activation':'relu'} },
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{'Dense':
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{'activation':'linear'} }]
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model = build_neural_network_model(MultiLayer_Perceptron, ns_parser.n_inputs, ns_parser.n_days)
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model.compile(optimizer=ns_parser.s_optimizer, loss=ns_parser.s_loss)
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print(model.summary())
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print("")
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# Train our model
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model.fit(stock_x, stock_y, epochs=ns_parser.n_epochs, verbose=0);
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# Prediction
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yhat = model.predict(stock_train_data[-ns_parser.n_inputs:].reshape(1, ns_parser.n_inputs), verbose=0)
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# Re-scale the data back
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if (ns_parser.s_preprocessing == 'standardization') or (ns_parser.s_preprocessing == 'normalization'):
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y_pred_test_t = scaler.inverse_transform(yhat.tolist())
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else:
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y_pred_test_t = yhat
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l_pred_days = get_next_stock_market_days(last_stock_day=df_stock['5. adjusted close'].index[-1], n_next_days=ns_parser.n_days)
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df_pred = pd.Series(y_pred_test_t[0].tolist(), index=l_pred_days, name='Price')
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# Plotting
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plt.plot(df_stock.index, df_stock['5. adjusted close'], lw=3)
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plt.title(f"MLP on {s_ticker} - {ns_parser.n_days} days prediction")
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plt.xlim(df_stock.index[0], get_next_stock_market_days(df_pred.index[-1], 1)[-1])
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plt.xlabel('Time')
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plt.ylabel('Share Price ($)')
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plt.grid(b=True, which='major', color='#666666', linestyle='-')
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plt.minorticks_on()
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plt.grid(b=True, which='minor', color='#999999', linestyle='-', alpha=0.2)
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plt.plot([df_stock.index[-1], df_pred.index[0]], [df_stock['5. adjusted close'].values[-1], df_pred.values[0]], lw=1, c='tab:green', linestyle='--')
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plt.plot(df_pred.index, df_pred, lw=2, c='tab:green')
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plt.axvspan(df_stock.index[-1], df_pred.index[-1], facecolor='tab:orange', alpha=0.2)
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xmin, xmax, ymin, ymax = plt.axis()
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plt.vlines(df_stock.index[-1], ymin, ymax, colors='k', linewidth=3, linestyle='--', color='k')
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plt.show()
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# Print prediction data
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df_pred = df_pred.apply(lambda x: f"{x:.2f} $")
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print(df_pred.to_string())
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print("")
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#except:
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# print("")
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@@ -14,6 +14,7 @@ from prediction_techniques import knn
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from prediction_techniques import regression
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from prediction_techniques import arima
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from prediction_techniques import fbprophet
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from prediction_techniques import neural_networks
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# -----------------------------------------------------------------------------------------------------------------------
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def print_prediction(s_ticker, s_start, s_interval):
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@@ -39,10 +40,7 @@ def print_prediction(s_ticker, s_start, s_interval):
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print(" regression regression (other polynomial)")
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print(" arima autoregressive integrated moving average")
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print(" prophet Facebook's prophet prediction")
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#print(" arima")
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#print(" rnn")
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#print(" lstm")
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#print(" prophet")
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print(" mlp MultiLayer Perceptron")
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print("")
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@@ -54,7 +52,7 @@ def pred_menu(df_stock, s_ticker, s_start, s_interval):
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pred_parser.add_argument('cmd', choices=['help', 'q', 'quit',
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'sma', 'knn',
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'linear', 'quadratic', 'cubic', 'regression',
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'arima', 'prophet'])
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'arima', 'prophet', 'mlp'])
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print_prediction(s_ticker, s_start, s_interval)
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@@ -111,6 +109,10 @@ def pred_menu(df_stock, s_ticker, s_start, s_interval):
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elif ns_known_args.cmd == 'prophet':
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fbprophet.fbprophet(l_args, s_ticker, s_interval, df_stock)
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# ------------------------------------------------ FBPROPHET ------------------------------------------------
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elif ns_known_args.cmd == 'mlp':
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neural_networks.mlp(l_args, s_ticker, s_interval, df_stock)
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# ------------------------------------------------------------------------------------------------------------
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else:
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print("Command not recognized!")
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