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- 基于随机森林的趋势策略
基于随机森林的趋势策略
Author:
发明者量化, Date: 2019-03-11 14:03:38
Tags:
Machine-learning
'''backtest
start: 2019-02-09 00:00:00
end: 2019-03-11 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Bitfinex","currency":"BTC_USD"}]
'''
import itertools
from collections import deque
import numpy as np
from sklearn.ensemble import RandomForestClassifier
def main():
initAccount = _C(exchange.GetAccount)
position = 0
classifier = RandomForestClassifier()
win_len = 8
input = deque(maxlen=300)
output = deque(maxlen=300)
recent_prices = deque(maxlen=win_len + 2)
interval = 3600000 # 一小时采样一次
while True:
ticker = _C(exchange.GetTicker)
recent_prices.append(ticker.Last)
if len(recent_prices) > 0:
Sleep(interval)
if len(recent_prices) < recent_prices.maxlen:
continue
# 计算波动率
price_list = list(itertools.islice(recent_prices, 0, recent_prices.maxlen - 1))
volt_list = np.divide(np.diff(recent_prices), price_list)
# 根据波动范围，将其分类标记为: 上涨(>+0.5%)、下跌(<-0.5%)、平稳(-0.5%~+0.5%)
trend_list = []
for volt in volt_list:
if 0.005 > volt > -0.005:
trend_list.append(0)
elif volt >= 0.005:
trend_list.append(1)
else:
trend_list.append(-1)
# 添加波动数据到训练集
input.append(trend_list[:-1])
output.append(trend_list[-1])
# 当训练集个数包含 200 组数据时，认为可以拟合随机森林
if len(input) < 200:
continue
classifier.fit(input, output) # 拟合
prediction = classifier.predict([trend_list[1:]]) # 预测
if position == 0:
if prediction == 1:
exchange.Buy(-1, _C(exchange.GetAccount).Balance)
position = 1
else:
if prediction == -1:
exchange.Sell(-1, _C(exchange.GetAccount).Stocks - initAccount.Stocks)
position = 0
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