From 63decc0e68e876347c5d7376b85a0911a0cb27fc Mon Sep 17 00:00:00 2001 From: medusa Date: Sun, 2 Jun 2024 00:28:38 +0000 Subject: [PATCH] Update financial_docs/ml_trading.md --- financial_docs/ml_trading.md | 309 +++++++++++++++++++++++++++++++++++ 1 file changed, 309 insertions(+) diff --git a/financial_docs/ml_trading.md b/financial_docs/ml_trading.md index e8532ea..d850a76 100644 --- a/financial_docs/ml_trading.md +++ b/financial_docs/ml_trading.md @@ -1,3 +1,312 @@ +Certainly! Let's break down the Python code for each component of the forex time series analysis pipeline and highlight the important values and parameters. I'll use pseudocode for unnecessary code to keep the focus on the key aspects. + +### 1. Data Preparation + +```python +import requests +import pandas as pd +from timescaledb import TimescaleDB + +# OANDA API configuration +API_KEY = "your_api_key" +ACCOUNT_ID = "your_account_id" +OANDA_URL = "https://api-fxtrade.oanda.com" + +# TimescaleDB configuration +DB_HOST = "your_host" +DB_PORT = "your_port" +DB_NAME = "your_database" +DB_USER = "your_username" +DB_PASSWORD = "your_password" + +def fetch_forex_data(instrument, start_date, end_date, granularity): + # Fetch forex data from OANDA API + # Handle authentication, API rate limits, and error handling + # Return the retrieved data as a DataFrame + +def preprocess_data(data): + # Fill missing values using forward fill or interpolation + # Handle outliers using z-score normalization or Tukey's fences + # Normalize or standardize the data + # Return the preprocessed data + +def store_data(data, db_connection): + # Store the preprocessed data in TimescaleDB + # Utilize TimescaleDB's hypertable feature for optimal performance + # Implement efficient data insertion queries + +# Initialize TimescaleDB connection +db_connection = TimescaleDB(DB_HOST, DB_PORT, DB_NAME, DB_USER, DB_PASSWORD) + +# Fetch and preprocess forex data +instrument = "EUR_USD" +start_date = "2022-01-01" +end_date = "2023-06-01" +granularity = "H1" # Hourly data + +forex_data = fetch_forex_data(instrument, start_date, end_date, granularity) +preprocessed_data = preprocess_data(forex_data) + +# Store the preprocessed data in TimescaleDB +store_data(preprocessed_data, db_connection) +``` + +Important values and parameters: +- `API_KEY`, `ACCOUNT_ID`, `OANDA_URL`: OANDA API configuration for fetching forex data. +- `DB_HOST`, `DB_PORT`, `DB_NAME`, `DB_USER`, `DB_PASSWORD`: TimescaleDB configuration for storing preprocessed data. +- `instrument`: The forex pair to analyze (e.g., "EUR_USD"). +- `start_date`, `end_date`: The date range for fetching historical data. +- `granularity`: The timeframe of the data (e.g., "H1" for hourly data). + +### 2. Feature Engineering + +```python +import numpy as np +import pandas as pd +from timescaledb import TimescaleDB + +def create_lag_features(data, lag_values): + # Create lag features by shifting the time series data + # Use the specified lag values (e.g., [1, 2, 3, 6, 12, 24]) + # Return the data with lag features + +def calculate_rolling_statistics(data, window_sizes): + # Calculate rolling mean, variance, and standard deviation + # Use the specified window sizes (e.g., [5, 10, 20, 50, 100]) + # Implement efficient algorithms for feature generation + # Return the data with rolling statistics + +def store_engineered_features(data, db_connection): + # Store the engineered features in TimescaleDB + # Extend the database schema to accommodate the new features + # Optimize data insertion queries for efficient storage + +# Retrieve preprocessed data from TimescaleDB +preprocessed_data = retrieve_data(db_connection) + +# Create lag features +lag_values = [1, 2, 3, 6, 12, 24] +data_with_lags = create_lag_features(preprocessed_data, lag_values) + +# Calculate rolling statistics +window_sizes = [5, 10, 20, 50, 100] +data_with_rolling_stats = calculate_rolling_statistics(data_with_lags, window_sizes) + +# Store the engineered features in TimescaleDB +store_engineered_features(data_with_rolling_stats, db_connection) +``` + +Important values and parameters: +- `lag_values`: The lag values used for creating lag features (e.g., [1, 2, 3, 6, 12, 24]). +- `window_sizes`: The window sizes used for calculating rolling statistics (e.g., [5, 10, 20, 50, 100]). + +### 3. Correlation Analysis + +```python +import numpy as np +import pandas as pd +from timescaledb import TimescaleDB +import seaborn as sns +import matplotlib.pyplot as plt + +def calculate_correlation_matrix(data): + # Calculate the Pearson correlation coefficient between forex pairs + # Handle missing values and ensure proper alignment of time series data + # Implement efficient algorithms for correlation calculation + # Return the correlation matrix + +def visualize_correlation_matrix(correlation_matrix): + # Create a heatmap to visualize the correlation matrix + # Use seaborn or matplotlib to generate the visualization + # Highlight highly correlated pairs + +def store_correlation_results(correlation_matrix, db_connection): + # Store the correlation results in TimescaleDB + # Design a suitable database schema for storing correlation matrices + # Optimize data insertion queries for efficient storage + +# Retrieve feature-engineered data from TimescaleDB +feature_engineered_data = retrieve_data(db_connection) + +# Calculate the correlation matrix +correlation_matrix = calculate_correlation_matrix(feature_engineered_data) + +# Visualize the correlation matrix +visualize_correlation_matrix(correlation_matrix) + +# Store the correlation results in TimescaleDB +store_correlation_results(correlation_matrix, db_connection) +``` + +Important values and parameters: +- `feature_engineered_data`: The feature-engineered data retrieved from TimescaleDB. +- `correlation_matrix`: The calculated correlation matrix. + +### 4. Trend Identification + +```python +import numpy as np +import pandas as pd +from timescaledb import TimescaleDB + +def calculate_moving_averages(data, window_sizes): + # Calculate simple moving averages (SMA) and exponential moving averages (EMA) + # Use the specified window sizes (e.g., [10, 20, 50, 100, 200]) + # Implement efficient algorithms for moving average calculation + # Return the data with moving averages + +def calculate_trend_indicators(data): + # Calculate trend indicators (e.g., MACD, RSI) + # Implement the necessary calculations for each indicator + # Return the data with trend indicators + +def store_trend_data(data, db_connection): + # Store the trend data in TimescaleDB + # Extend the database schema to incorporate trend indicators and moving averages + # Optimize data insertion queries for efficient storage + +# Retrieve feature-engineered data from TimescaleDB +feature_engineered_data = retrieve_data(db_connection) + +# Calculate moving averages +window_sizes = [10, 20, 50, 100, 200] +data_with_moving_averages = calculate_moving_averages(feature_engineered_data, window_sizes) + +# Calculate trend indicators +data_with_trend_indicators = calculate_trend_indicators(data_with_moving_averages) + +# Store the trend data in TimescaleDB +store_trend_data(data_with_trend_indicators, db_connection) +``` + +Important values and parameters: +- `window_sizes`: The window sizes used for calculating moving averages (e.g., [10, 20, 50, 100, 200]). +- `data_with_moving_averages`: The data with calculated moving averages. +- `data_with_trend_indicators`: The data with calculated trend indicators. + +### 5. Model Training + +```python +import numpy as np +import pandas as pd +from timescaledb import TimescaleDB +from statsmodels.tsa.arima.model import ARIMA +from sklearn.preprocessing import StandardScaler +from tensorflow.keras.models import Sequential +from tensorflow.keras.layers import LSTM, Dense, Dropout +from transformers import TFAutoModelForSequenceClassification, AutoTokenizer + +def prepare_data_for_training(db_connection): + # Retrieve feature-engineered data from TimescaleDB + # Design efficient queries to fetch relevant features and target variables + # Implement data batching and caching mechanisms to optimize data loading + # Handle data preprocessing steps specific to each model + # Return the prepared data for training + +def train_arima_model(data, p, d, q): + # Train the ARIMA model using the specified p, d, q parameters + # Evaluate the model's performance + # Return the trained ARIMA model + +def train_lstm_model(data, num_layers, hidden_units, dropout, learning_rate, batch_size, epochs): + # Design the LSTM network architecture + # Select appropriate hyperparameters + # Implement the LSTM model using TensorFlow or PyTorch + # Train the LSTM model on the prepared data + # Return the trained LSTM model + +def train_transformer_model(data, model_name, num_labels, learning_rate, batch_size, epochs): + # Load the pre-trained Transformer model and tokenizer + # Build the Transformer model architecture + # Train the Transformer model using the specified hyperparameters + # Return the trained Transformer model + +def store_trained_models(arima_model, lstm_model, transformer_model, db_connection): + # Serialize and store the trained models + # Store the associated preprocessing scalers + # Implement versioning and metadata management for model tracking + +# Prepare data for training +training_data = prepare_data_for_training(db_connection) + +# Train ARIMA model +p, d, q = 2, 1, 2 # Specify the optimal p, d, q parameters +arima_model = train_arima_model(training_data, p, d, q) + +# Train LSTM model +num_layers = 2 +hidden_units = 64 +dropout = 0.2 +learning_rate = 0.001 +batch_size = 32 +epochs = 50 +lstm_model = train_lstm_model(training_data, num_layers, hidden_units, dropout, learning_rate, batch_size, epochs) + +# Train Transformer model +model_name = "transformer_model" +num_labels = 2 # Binary classification (up/down trend) +learning_rate = 0.00001 +batch_size = 16 +epochs = 10 +transformer_model = train_transformer_model(training_data, model_name, num_labels, learning_rate, batch_size, epochs) + +# Store the trained models +store_trained_models(arima_model, lstm_model, transformer_model, db_connection) +``` + +Important values and parameters: +- `p`, `d`, `q`: The optimal p, d, q parameters for the ARIMA model. +- `num_layers`, `hidden_units`, `dropout`, `learning_rate`, `batch_size`, `epochs`: Hyperparameters for the LSTM model. +- `model_name`, `num_labels`, `learning_rate`, `batch_size`, `epochs`: Hyperparameters for the Transformer model. + +### 6. Model Evaluation + +```python +import numpy as np +import pandas as pd +from timescaledb import TimescaleDB +from sklearn.metrics import mean_squared_error + +def evaluate_model(model, test_data): + # Evaluate the model using the test data + # Calculate the Root Mean Squared Error (RMSE) + # Implement cross-validation techniques (e.g., rolling window, time series split) + # Return the evaluation metrics + +def store_evaluation_results(model_name, evaluation_metrics, db_connection): + # Store the evaluation results in TimescaleDB + # Design a database schema to store model evaluation metrics and configurations + # Implement data insertion queries for efficient storage + +# Retrieve the trained models and test data +arima_model = load_trained_model("arima_model") +lstm_model = load_trained_model("lstm_model") +transformer_model = load_trained_model("transformer_model") +test_data = prepare_test_data(db_connection) + +# Evaluate ARIMA model +arima_metrics = evaluate_model(arima_model, test_data) +store_evaluation_results("arima_model", arima_metrics, db_connection) + +# Evaluate LSTM model +lstm_metrics = evaluate_model(lstm_model, test_data) +store_evaluation_results("lstm_model", lstm_metrics, db_connection) + +# Evaluate Transformer model +transformer_metrics = evaluate_model(transformer_model, test_data) +store_evaluation_results("transformer_model", transformer_metrics, db_connection) +``` + +Important values and parameters: +- `test_data`: The test data used for model evaluation. +- `arima_metrics`, `lstm_metrics`, `transformer_metrics`: The evaluation metrics obtained for each model. + +This pseudocode provides an overview of the Python code structure for each component of the forex time series analysis pipeline. The important values and parameters are highlighted for each section, focusing on the key aspects that influence the performance and accuracy of the models. + +Remember to adapt the code based on your specific requirements, libraries, and frameworks. The pseudocode sections can be replaced with the actual implementation code, taking into account the necessary data structures, algorithms, and best practices for each component. + +--- + ### Technical Guide for Forex Time Series Analysis Using AI/ML Models #### Objective