diff --git a/README.md b/README.md index a831415..3d1e254 100644 --- a/README.md +++ b/README.md @@ -4,7 +4,8 @@ This is my solution to the ML4T course exercises. The main page for the course is [here](http://quantsoftware.gatech.edu/Machine_Learning_for_Trading_Course). The page contains a link to the [assignments](http://quantsoftware.gatech.edu/CS7646_Spring_2020#Projects:_73.25). -There are eight projects in total. +There are eight projects in total. The summer 2020 page is +[here](http://lucylabs.gatech.edu/ml4t/summer2020/). To set up the environment I have installed the following packages on my Linux Manjaro based system. @@ -15,18 +16,16 @@ sudo pacman -S python-pandas --asdeps python-pandas-datareader python-numexpr \ python-numpy ``` -I am also using the wonderful -[mplfinance](https://github.com/matplotlib/mplfinance). You can install -mplfinance via pip and find the tutorial +I am also using [mplfinance](https://github.com/matplotlib/mplfinance) to plot +candlestick-charts. You can install mplfinance via pip and find the tutorial [here](https://github.com/matplotlib/mplfinance#tutorials). ``` pip install mplfinance --user ``` -Use unzip with the `-n` flag to extract the archives for the different -exercises. This makes sure that you do not override any of the existing files. I -might add a makefile to automize this later. +I have included the archived version of the exercise. To extract them run the +following command. The `-n` flag makes unzip never overwrite existing files. ``` unzip -n zips/*.zip -d ./ diff --git a/assess_learners/DTLearner.py b/assess_learners/DTLearner.py index bf20308..5a310b6 100644 --- a/assess_learners/DTLearner.py +++ b/assess_learners/DTLearner.py @@ -1,28 +1,51 @@ import numpy as np + class DTLearner(object): + LEAF = -1 + NA = -1 + def __init__(self, leaf_size = 1, verbose = False): - pass # move along, these aren't the drones you're looking for + self.leaf_size = leaf_size + self.verbose = verbose def author(self): return 'felixm' # replace tb34 with your Georgia Tech username - def addEvidence(self, dataX, dataY): + def create_node(self, factor: int, split: int, left: int, right: int): + return np.array((factor, split, left, right)) + + + def build_tree(self, xs, y): + assert(xs.shape[0] == y.shape[0]) + assert(xs.shape[0] > 0) # If this is 0 something went wrong. + + if xs.shape[0] == 1: + return self.create_node(self.LEAF, y[0], self.NA, self.NA) + + if np.all(y[0] == y): + return self.create_node(self.LEAV, y[0], self.NA, self.NA) + + # XXX: continue here + y = np.array([y]) + correlations = np.corrcoef(xs, y, rowvar=True) + print(f"{correlations=}") + + return 0 + + def addEvidence(self, data_x, data_y): """ @summary: Add training data to learner @param dataX: X values of data to add @param dataY: the Y training values """ + if self.verbose: + print(data_x) + print(data_y) + self.tree = self.build_tree(data_x, data_y) - # slap on 1s column so linear regression finds a constant term - newdataX = np.ones([dataX.shape[0], dataX.shape[1]+1]) - newdataX[:,0:dataX.shape[1]] = dataX - # build and save the model - self.model_coefs, residuals, rank, s = np.linalg.lstsq(newdataX, - dataY, - rcond=None) def query(self,points): """ @@ -30,7 +53,8 @@ class DTLearner(object): @param points: should be a numpy array with each row corresponding to a specific query. @returns the estimated values according to the saved model. """ - return (self.model_coefs[:-1] * points).sum(axis = 1) + self.model_coefs[-1] + return + # return (self.model_coefs[:-1] * points).sum(axis = 1) + self.model_coefs[-1] if __name__=="__main__": print("the secret clue is 'zzyzx'") diff --git a/assess_learners/testlearner.py b/assess_learners/testlearner.py index d45854f..83adb0a 100644 --- a/assess_learners/testlearner.py +++ b/assess_learners/testlearner.py @@ -33,8 +33,14 @@ if __name__=="__main__": print("Usage: python testlearner.py ") sys.exit(1) inf = open(sys.argv[1]) + # data = np.array([list(map(float,s.strip().split(',')[1:])) + # for s in inf.readlines()[1:]]) data = np.array([list(map(float,s.strip().split(',')[1:])) - for s in inf.readlines()[1:]]) + for s in inf.readlines()]) + + # XXX: Get rid of some rows and columns for easier development. + # XXX: Remove later for testing! + # data = data[:10,5:] # compute how much of the data is training and testing train_rows = int(0.6* data.shape[0]) @@ -46,15 +52,18 @@ if __name__=="__main__": testX = data[train_rows:,0:-1] testY = data[train_rows:,-1] - print(f"{testX.shape}") - print(f"{testY.shape}") + # print(f"{testX.shape}") + # print(f"{testY.shape}") # create a learner and train it # learner = lrl.LinRegLearner(verbose = True) # create a LinRegLearner learner = dtl.DTLearner(verbose = True) # create a LinRegLearner - learner.addEvidence(trainX, trainY) # train it + # learner.addEvidence(trainX, trainY) # train it #XXX split back into test and non-test + learner.addEvidence(data[:,0:-1], data[:,-1]) print(learner.author()) + sys.exit(0) + # evaluate in sample predY = learner.query(trainX) # get the predictions rmse = math.sqrt(((trainY - predY) ** 2).sum()/trainY.shape[0])