mirror of
https://github.com/OpenBB-finance/OpenBB.git
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83 lines
4.0 KiB
Python
83 lines
4.0 KiB
Python
import argparse
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import numpy as np
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from helper_funcs import *
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import pandas as pd
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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 import linear_model
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from sklearn import pipeline
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from sklearn import preprocessing
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USER_INPUT = 0
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LINEAR = 1
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QUADRATIC = 2
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CUBIC = 3
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# -------------------------------------------------- REGRESSION --------------------------------------------------
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def regression(l_args, s_ticker, s_interval, df_stock, polynomial):
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parser = argparse.ArgumentParser(prog='regression',
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description="""Regression attempts to model the relationship between
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two variables by fitting a linear/quadratic/cubic/other equation to
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observed data. One variable is considered to be an explanatory variable,
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and the other is considered to be a dependent variable. """)
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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('-d', "--days", action="store", dest="n_days", type=check_positive, default=5, help='prediction days')
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parser.add_argument('-j', "--jumps", action="store", dest="n_jumps", type=check_positive, default=1, help='number of jumps in training data')
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if polynomial == USER_INPUT:
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parser.add_argument('-p', "--polynomial", action="store", dest="n_polynomial", type=check_positive, required=True, help='polynomial associated with regression')
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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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# Split training data
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stock_x, stock_y = splitTrain.split_train(df_stock['5. adjusted close'].values, ns_parser.n_inputs, ns_parser.n_days, ns_parser.n_jumps)
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# Machine Learning model
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if polynomial == LINEAR:
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model = linear_model.LinearRegression(n_jobs=-1)
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else:
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if polynomial == USER_INPUT:
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polynomial = ns_parser.n_polynomial
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model = pipeline.make_pipeline(preprocessing.PolynomialFeatures(polynomial), linear_model.Ridge())
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model.fit(stock_x, stock_y)
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l_predictions = model.predict(df_stock['5. adjusted close'].values[-ns_parser.n_inputs:].reshape(1, -1))[0]
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# Prediction data
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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(l_predictions, 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=2)
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plt.title(f"Regression (polynomial {polynomial}) 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, linewidth=1, linestyle='--', color='k')
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plt.show()
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# Print prediction data
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print("Predicted share price:")
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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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