神经网络python源码分享

panrenlong

2017-12-15

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神经网络的逻辑应该都是熟知的了，在这里想说明一下交叉验证

交叉验证方法：

神经网络python源码分享

看图大概就能理解了，大致就是先将数据集分成K份，对这K份中每一份都取不一样的比例数据进行训练和测试。得出K个误差，将这K个误差平均得到最终误差

这第一个部分是BP神经网络的建立

参数选取参照论文：基于数据挖掘技术的股价指数分析与预测研究_胡林林

import math
import random
import tushare as ts
import pandas as pd
random.seed(0)
def getData(id,start,end):
  df = ts.get_hist_data(id,start,end)
  DATA=pd.DataFrame(columns=['rate1', 'rate2','rate3','pos1','pos2','pos3','amt1','amt2','amt3','MA20','MA5','r'])
  P1 = pd.DataFrame(columns=['high','low','close','open','volume'])
  DATA2=pd.DataFrame(columns=['R'])
  DATA['MA20']=df['ma20']
  DATA['MA5']=df['ma5']
  P=df['close']
  P1['high']=df['high']
  P1['low']=df['low']
  P1['close']=df['close']
  P1['open']=df['open']
  P1['volume']=df['volume']

  DATA['rate1']=(P1['close'].shift(1)-P1['open'].shift(1))/P1['open'].shift(1)
  DATA['rate2']=(P1['close'].shift(2)-P1['open'].shift(2))/P1['open'].shift(2)
  DATA['rate3']=(P1['close'].shift(3)-P1['open'].shift(3))/P1['open'].shift(3)
  DATA['pos1']=(P1['close'].shift(1)-P1['low'].shift(1))/(P1['high'].shift(1)-P1['low'].shift(1))
  DATA['pos2']=(P1['close'].shift(2)-P1['low'].shift(2))/(P1['high'].shift(2)-P1['low'].shift(2))
  DATA['pos3']=(P1['close'].shift(3)-P1['low'].shift(3))/(P1['high'].shift(3)-P1['low'].shift(3))
  DATA['amt1']=P1['volume'].shift(1)/((P1['volume'].shift(1)+P1['volume'].shift(2)+P1['volume'].shift(3))/3)
  DATA['amt2']=P1['volume'].shift(2)/((P1['volume'].shift(2)+P1['volume'].shift(3)+P1['volume'].shift(4))/3)
  DATA['amt3']=P1['volume'].shift(3)/((P1['volume'].shift(3)+P1['volume'].shift(4)+P1['volume'].shift(5))/3)
  templist=(P-P.shift(1))/P.shift(1)
  tempDATA = []
  for indextemp in templist:
    tempDATA.append(1/(1+math.exp(-indextemp*100)))
  DATA['r'] = tempDATA
  DATA=DATA.dropna(axis=0)
  DATA2['R']=DATA['r']
  del DATA['r']
  DATA=DATA.T
  DATA2=DATA2.T
  DATAlist=DATA.to_dict("list")
  result = []
  for key in DATAlist:
    result.append(DATAlist[key])
  DATAlist2=DATA2.to_dict("list")
  result2 = []
  for key in DATAlist2:
    result2.append(DATAlist2[key])
  return result
def getDataR(id,start,end):
  df = ts.get_hist_data(id,start,end)
  DATA=pd.DataFrame(columns=['rate1', 'rate2','rate3','pos1','pos2','pos3','amt1','amt2','amt3','MA20','MA5','r'])
  P1 = pd.DataFrame(columns=['high','low','close','open','volume'])
  DATA2=pd.DataFrame(columns=['R'])
  DATA['MA20']=df['ma20'].shift(1)
  DATA['MA5']=df['ma5'].shift(1)
  P=df['close']
  P1['high']=df['high']
  P1['low']=df['low']
  P1['close']=df['close']
  P1['open']=df['open']
  P1['volume']=df['volume']

  DATA['rate1']=(P1['close'].shift(1)-P1['open'].shift(1))/P1['open'].shift(1)
  DATA['rate2']=(P1['close'].shift(2)-P1['open'].shift(2))/P1['open'].shift(2)
  DATA['rate3']=(P1['close'].shift(3)-P1['open'].shift(3))/P1['open'].shift(3)
  DATA['pos1']=(P1['close'].shift(1)-P1['low'].shift(1))/(P1['high'].shift(1)-P1['low'].shift(1))
  DATA['pos2']=(P1['close'].shift(2)-P1['low'].shift(2))/(P1['high'].shift(2)-P1['low'].shift(2))
  DATA['pos3']=(P1['close'].shift(3)-P1['low'].shift(3))/(P1['high'].shift(3)-P1['low'].shift(3))
  DATA['amt1']=P1['volume'].shift(1)/((P1['volume'].shift(1)+P1['volume'].shift(2)+P1['volume'].shift(3))/3)
  DATA['amt2']=P1['volume'].shift(2)/((P1['volume'].shift(2)+P1['volume'].shift(3)+P1['volume'].shift(4))/3)
  DATA['amt3']=P1['volume'].shift(3)/((P1['volume'].shift(3)+P1['volume'].shift(4)+P1['volume'].shift(5))/3)
  templist=(P-P.shift(1))/P.shift(1)
  tempDATA = []
  for indextemp in templist:
    tempDATA.append(1/(1+math.exp(-indextemp*100)))
  DATA['r'] = tempDATA
  DATA=DATA.dropna(axis=0)
  DATA2['R']=DATA['r']
  del DATA['r']
  DATA=DATA.T
  DATA2=DATA2.T
  DATAlist=DATA.to_dict("list")
  result = []
  for key in DATAlist:
    result.append(DATAlist[key])
  DATAlist2=DATA2.to_dict("list")
  result2 = []
  for key in DATAlist2:
    result2.append(DATAlist2[key])
  return result2
def rand(a, b):
  return (b - a) * random.random() + a
def make_matrix(m, n, fill=0.0):
  mat = []
  for i in range(m):
    mat.append([fill] * n)
  return mat
def sigmoid(x):
  return 1.0 / (1.0 + math.exp(-x))
def sigmod_derivate(x):
  return x * (1 - x)
class BPNeuralNetwork:
  def __init__(self):
    self.input_n = 0
    self.hidden_n = 0
    self.output_n = 0
    self.input_cells = []
    self.hidden_cells = []
    self.output_cells = []
    self.input_weights = []
    self.output_weights = []
    self.input_correction = []
    self.output_correction = []

  def setup(self, ni, nh, no):
    self.input_n = ni + 1
    self.hidden_n = nh
    self.output_n = no
    # init cells
    self.input_cells = [1.0] * self.input_n
    self.hidden_cells = [1.0] * self.hidden_n
    self.output_cells = [1.0] * self.output_n
    # init weights
    self.input_weights = make_matrix(self.input_n, self.hidden_n)
    self.output_weights = make_matrix(self.hidden_n, self.output_n)
    # random activate
    for i in range(self.input_n):
      for h in range(self.hidden_n):
        self.input_weights[i][h] = rand(-0.2, 0.2)
    for h in range(self.hidden_n):
      for o in range(self.output_n):
        self.output_weights[h][o] = rand(-2.0, 2.0)
    # init correction matrix
    self.input_correction = make_matrix(self.input_n, self.hidden_n)
    self.output_correction = make_matrix(self.hidden_n, self.output_n)

  def predict(self, inputs):
    # activate input layer
    for i in range(self.input_n - 1):
      self.input_cells[i] = inputs[i]
    # activate hidden layer
    for j in range(self.hidden_n):
      total = 0.0
      for i in range(self.input_n):
        total += self.input_cells[i] * self.input_weights[i][j]
      self.hidden_cells[j] = sigmoid(total)
    # activate output layer
    for k in range(self.output_n):
      total = 0.0
      for j in range(self.hidden_n):
        total += self.hidden_cells[j] * self.output_weights[j][k]
      self.output_cells[k] = sigmoid(total)
    return self.output_cells[:]
  def back_propagate(self, case, label, learn, correct):
    # feed forward
    self.predict(case)
    # get output layer error
    output_deltas = [0.0] * self.output_n
    for o in range(self.output_n):
      error = label[o] - self.output_cells[o]
      output_deltas[o] = sigmod_derivate(self.output_cells[o]) * error
    # get hidden layer error
    hidden_deltas = [0.0] * self.hidden_n
    for h in range(self.hidden_n):
      error = 0.0
      for o in range(self.output_n):
        error += output_deltas[o] * self.output_weights[h][o]
      hidden_deltas[h] = sigmod_derivate(self.hidden_cells[h]) * error
    # update output weights
    for h in range(self.hidden_n):
      for o in range(self.output_n):
        change = output_deltas[o] * self.hidden_cells[h]
        self.output_weights[h][o] += learn * change + correct * self.output_correction[h][o]
        self.output_correction[h][o] = change
    # update input weights
    for i in range(self.input_n):
      for h in range(self.hidden_n):
        change = hidden_deltas[h] * self.input_cells[i]
        self.input_weights[i][h] += learn * change + correct * self.input_correction[i][h]
        self.input_correction[i][h] = change
    # get global error
    error = 0.0
    for o in range(len(label)):
      error += 0.5 * (label[o] - self.output_cells[o]) ** 2
    return error
  def train(self, cases, labels, limit=10000, learn=0.05, correct=0.1):
    for i in range(limit):
      error = 0.0
      for i in range(len(cases)):
        label = labels[i]
        case = cases[i]
        error += self.back_propagate(case, label, learn, correct)
  def test(self,id):
    result=getData("000001", "2015-01-05", "2015-01-09")
    result2=getDataR("000001", "2015-01-05", "2015-01-09")
    self.setup(11, 5, 1)
    self.train(result, result2, 10000, 0.05, 0.1)
    for t in resulttest:
      print(self.predict(t))

下面是选取14-15年数据进行训练，16年数据作为测试集，调仓周期为20个交易日，大约1个月，对上证50中的股票进行预测，选取预测的涨幅前10的股票买入，对每只股票分配一样的资金,初步运行没有问题，但就是太慢了，等哪天有空了再运行

import BPnet
import tushare as ts
import pandas as pd
import math
import xlrd
import datetime as dt
import time

#
#nn =BPnet.BPNeuralNetwork()
#nn.test('000001')
#for i in ts.get_sz50s()['code']:
holdList=pd.DataFrame(columns=['time','id','value'])
share=ts.get_sz50s()['code']
time2=ts.get_k_data('000001')['date']
newtime = time2[400:640]
newcount=0
for itime in newtime:
  print(itime)
  if newcount % 20 == 0:
        sharelist = pd.DataFrame(columns=['time','id','value'])
    for ishare in share:
      backwardtime = time.strftime('%Y-%m-%d',time.localtime(time.mktime(time.strptime(itime,'%Y-%m-%d'))-432000*4))
      trainData = BPnet.getData(ishare, '2014-05-22',itime)
      trainDataR = BPnet.getDataR(ishare, '2014-05-22',itime)
      testData = BPnet.getData(ishare, backwardtime,itime)
      try:
        print(testData)
        testData = testData[-1]
        print(testData)
        nn = BPnet.BPNeuralNetwork()
        nn.setup(11, 5, 1)
        nn.train(trainData, trainDataR, 10000, 0.05, 0.1)
        value = nn.predict(testData)
        newlist= pd.DataFrame({'time':itime,"id":ishare,"value":value},index=["0"])
        sharelist = sharelist.append(newlist,ignore_index=True)
      except: 
        pass
    sharelist=sharelist.sort(columns ='value',ascending=False)
    sharelist = sharelist[:10]
    holdList=holdList.append(sharelist,ignore_index=True)
  newcount+=1
  print(holdList)

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