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https://github.com/dr413677671/lstm-stock-price-prediction
Stock price predicetion (classification and regression) using LSTM.
https://github.com/dr413677671/lstm-stock-price-prediction
deep-learning lstm quantitative-finance signal-analysis signal-processing stock-market tensorflow
Last synced: 24 days ago
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Stock price predicetion (classification and regression) using LSTM.
- Host: GitHub
- URL: https://github.com/dr413677671/lstm-stock-price-prediction
- Owner: dr413677671
- License: gpl-3.0
- Created: 2022-11-29T12:31:04.000Z (about 2 years ago)
- Default Branch: main
- Last Pushed: 2022-11-29T14:11:20.000Z (about 2 years ago)
- Last Synced: 2023-07-04T07:28:44.678Z (over 1 year ago)
- Topics: deep-learning, lstm, quantitative-finance, signal-analysis, signal-processing, stock-market, tensorflow
- Language: Python
- Homepage:
- Size: 497 KB
- Stars: 1
- Watchers: 3
- Forks: 0
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- License: LICENSE
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README
[![Contributors][contributors-shield]][contributors-url]
[![Forks][forks-shield]][forks-url]
[![Stargazers][stars-shield]][stars-url]
[![Issues][issues-shield]][issues-url]
LSTM-stock-price-prediction
Stock price predicetion (classification and regression) using LSTM.
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Table of Contents
## About The Project
Stock price predicetion (classification and regression) using LSTM. Integrated with another homemade light-weight [quant framework](https://github.com/dr413677671/Quantflow-deep-learning-quant-framework). Support Sliding windows, hyper-parameter search, backtesting, Reversing Trade and etc.
LSTM股票价格预测，调用了另一个[自制框架](https://github.com/dr413677671/Quantflow-deep-learning-quant-framework)。支持滑窗, 超参数搜索, 反向对冲, 回测等。
## Features:
- [x] Model
- [x] LSTM
- [x] Seq2seq
- [x] Resnet50-1D
- [x] Prediction
- [x] Signal Classification (Buy, Sell, Hold) 信号分类
- [x] Regression (avg price in next window) 回归
- [x] Backtesting Metrics 回调指标
- [x] Sharpe 夏普
- [x] Maximum Drawdown 最大回撤
- [x] Alpha (regression/annualized) (回归法/年化)
- [x] Beta (regression/annualized) (回归法/年化)
- [x] Interval rate of return 平均区间收益率
- [x] Annualized rate of return (baseline/stretegy) 年化收益率 (基准/策略)
- [x] backtesting rate of return 策略回测收益率
- [x] others
- [x] Reversing Trade Support 反向对冲回调策略
- [x] Sliding Window 滑窗生成器
- [x] focal_loss
- [x] class_weighed_sampling 分类权重采样 (抑制类别不均衡)
### Built With
* [![Tensorflow][Tensorflow]][Tensorflow-url]
* [![Keras][Keras]][Keras-url]
## Getting Started
### Prerequisites
> Clone repo.
```sh
git clone https://github.com/dr413677671/LSTM-stock-price-prediction.git
```
### Installation
```sh
pip install /requirements.txt
```
### Usage
> Prepare raw data in csv format.
> Run relervant jupyter notebooks, and use pandas.dataframe to read raw_data.
.
├── README.md
├── docs
├── Regression # Signal Regression
├── hypertune # Hyper-parameter tuning
├── classification # Window Classification
└── lib
└── quantflow # Homemade quant framework
## Hyper-parameter Search
## Classification
## Regression
## Contact
[
](https://github.com/https://github.com/dr413677671) [
](https://www.youtube.com/channel/https://www.youtube.com/@randuan9718/videos) [
](https://www.zhihu.com/people/kumonoue)
## Acknowledgments
Based on these brilliant repos:
* [Seq2seq](https://github.com/google/seq2seq)
* [LSTM](https://www.tensorflow.org/api_docs/python/tf/keras/layers/LSTM)
* Logo genetrared by [Stable-Diffusion](https://github.com/CompVis/stable-diffusion)
[contributors-shield]: https://img.shields.io/github/contributors/dr413677671/LSTM-stock-price-prediction.svg?style=for-the-badge
[contributors-url]: https://github.com/dr413677671/LSTM-stock-price-prediction/graphs/contributors
[forks-shield]: https://img.shields.io/github/forks/dr413677671/LSTM-stock-price-prediction.svg?style=for-the-badge
[forks-url]: https://github.com/dr413677671/LSTM-stock-price-prediction/network/members
[stars-shield]: https://img.shields.io/github/stars/dr413677671/LSTM-stock-price-prediction.svg?style=for-the-badge
[stars-url]: https://github.com/dr413677671/LSTM-stock-price-prediction/stargazers
[issues-shield]: https://img.shields.io/github/issues/dr413677671/LSTM-stock-price-prediction.svg?style=for-the-badge
[issues-url]: https://github.com/dr413677671/LSTM-stock-price-prediction/issues
[python-img]: https://img.shields.io/badge/Python-FFD43B?style=for-the-badge&logo=python&logoColor=blue
[python-url]: https://www.python.org/
[Tensorflow]: https://img.shields.io/badge/TensorFlow-FF6F00?style=for-the-badge&logo=tensorflow&logoColor=white
[Tensorflow-url]: https://github.com/tensorflow/tensorflow
[Keras]: https://img.shields.io/badge/Keras-FF0000?style=for-the-badge&logo=keras&logoColor=white
[Keras-url]: https://github.com/keras-team/keras