104 lines
3.3 KiB
Python
104 lines
3.3 KiB
Python
##################################################
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# Copyright (c) Xuanyi Dong [GitHub D-X-Y], 2021 #
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##################################################
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# A Simple Model that reused the prices of last day
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##################################################
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from __future__ import division
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from __future__ import print_function
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import random
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import numpy as np
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import pandas as pd
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from qlib.log import get_module_logger
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from qlib.model.base import Model
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from qlib.data.dataset import DatasetH
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from qlib.data.dataset.handler import DataHandlerLP
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class NAIVE_V2(Model):
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"""NAIVE Version 2 Quant Model"""
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def __init__(self, d_feat=6, seed=None, **kwargs):
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# Set logger.
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self.logger = get_module_logger("NAIVE")
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self.logger.info("NAIVE version...")
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# set hyper-parameters.
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self.d_feat = d_feat
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self.seed = seed
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self.logger.info(
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"NAIVE parameters setting: d_feat={:}, seed={:}".format(
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self.d_feat, self.seed
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)
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)
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if self.seed is not None:
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random.seed(self.seed)
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np.random.seed(self.seed)
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self.fitted = False
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def process_data(self, features):
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features = features.reshape(len(features), self.d_feat, -1)
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features = features.transpose((0, 2, 1))
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return features[:, :59, 0]
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def mse(self, preds, labels):
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masks = ~np.isnan(labels)
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masked_preds = preds[masks]
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masked_labels = labels[masks]
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return np.square(masked_preds - masked_labels).mean()
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def model(self, x):
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x = 1 / x - 1
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masks = ~np.isnan(x)
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results = []
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for rowd, rowm in zip(x, masks):
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temp = rowd[rowm]
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if rowm.any():
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results.append(float(rowd[rowm][-1]))
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else:
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results.append(0)
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return np.array(results, dtype=x.dtype)
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def fit(self, dataset: DatasetH):
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def _prepare_dataset(df_data):
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features = df_data["feature"].values
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features = self.process_data(features)
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labels = df_data["label"].values.squeeze()
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return dict(features=features, labels=labels)
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df_train, df_valid, df_test = dataset.prepare(
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["train", "valid", "test"],
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col_set=["feature", "label"],
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data_key=DataHandlerLP.DK_L,
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)
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train_dataset, valid_dataset, test_dataset = (
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_prepare_dataset(df_train),
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_prepare_dataset(df_valid),
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_prepare_dataset(df_test),
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)
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# df_train['feature']['CLOSE1'].values
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# train_dataset['features'][:, -1]
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train_mse_loss = self.mse(
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self.model(train_dataset["features"]), train_dataset["labels"]
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)
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valid_mse_loss = self.mse(
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self.model(valid_dataset["features"]), valid_dataset["labels"]
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)
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self.logger.info("Training MSE loss: {:}".format(train_mse_loss))
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self.logger.info("Validation MSE loss: {:}".format(valid_mse_loss))
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self.fitted = True
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def predict(self, dataset):
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if not self.fitted:
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raise ValueError("The model is not fitted yet!")
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x_test = dataset.prepare("test", col_set="feature")
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index = x_test.index
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preds = self.model(self.process_data(x_test.values))
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return pd.Series(preds, index=index)
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