python - 为回测和机器学习指定测试行
问题描述
我想使用机器学习来预测资产的价格变动。到目前为止,我得到了数据和结果。现在我想回测模型。前提很简单:只要预测值为1就买入并持有。我想应用预测模型并从下到上迭代测试行到指定的数字,检查预测的输出是否与相应的标签匹配(这里的标签是-1,1),然后做一些计算。
这是代码:
def backtest():
x = df[['open', 'high', 'low', 'close', 'vol']]
y = df['label']
z = np.array(df['log_ret'].values)
test_size = 366
rf = RandomForestClassifier(n_estimators = 100)
rf.fit(x[:-test_size],y[:-test_size])
invest_amount = 1000
trade_qty = 0
correct_count = 0
for i in range(1, test_size):
if rf.predict(x[-i])[0] == y[-i]:
correct_count += 1
if rf.predict(x[-i])[0] == 1:
invest_return = invest_amount + (invest_amount * (z[-i]/100))
trade_qty += 1
print('accuracy:', (correct_count/test_size)*100)
print('total trades:', trade_qty)
print('profits:', invest_return)
backtest()
到目前为止,我坚持这一点:
---------------------------------------------------------------------------
KeyError Traceback (most recent call last)
~\anaconda3\lib\site-packages\pandas\core\indexes\base.py in get_loc(self, key, method, tolerance)
2645 try:
-> 2646 return self._engine.get_loc(key)
2647 except KeyError:
pandas\_libs\index.pyx in pandas._libs.index.IndexEngine.get_loc()
pandas\_libs\index.pyx in pandas._libs.index.IndexEngine.get_loc()
pandas\_libs\hashtable_class_helper.pxi in pandas._libs.hashtable.PyObjectHashTable.get_item()
pandas\_libs\hashtable_class_helper.pxi in pandas._libs.hashtable.PyObjectHashTable.get_item()
KeyError: -1
During handling of the above exception, another exception occurred:
KeyError Traceback (most recent call last)
<ipython-input-29-feab89792f26> in <module>
22
23 for i in range(1, test_size):
---> 24 if rf.predict(x[-i])[0] == y[-i]:
25 correct_count += 1
26
~\anaconda3\lib\site-packages\pandas\core\frame.py in __getitem__(self, key)
2798 if self.columns.nlevels > 1:
2799 return self._getitem_multilevel(key)
-> 2800 indexer = self.columns.get_loc(key)
2801 if is_integer(indexer):
2802 indexer = [indexer]
~\anaconda3\lib\site-packages\pandas\core\indexes\base.py in get_loc(self, key, method, tolerance)
2646 return self._engine.get_loc(key)
2647 except KeyError:
-> 2648 return self._engine.get_loc(self._maybe_cast_indexer(key))
2649 indexer = self.get_indexer([key], method=method, tolerance=tolerance)
2650 if indexer.ndim > 1 or indexer.size > 1:
pandas\_libs\index.pyx in pandas._libs.index.IndexEngine.get_loc()
pandas\_libs\index.pyx in pandas._libs.index.IndexEngine.get_loc()
pandas\_libs\hashtable_class_helper.pxi in pandas._libs.hashtable.PyObjectHashTable.get_item()
pandas\_libs\hashtable_class_helper.pxi in pandas._libs.hashtable.PyObjectHashTable.get_item()
KeyError: -1
解决方案
下面的代码通过一些修改解决了这个问题:
def backtest():
x = df[['open', 'high', 'low', 'close', 'vol']]
y = df['label']
z = np.array(df['log_ret'].values)
test_size = 366
rf = RandomForestClassifier(n_estimators = 100)
rf.fit(x[:-test_size],y[:-test_size])
invest_amount = 1000
trade_qty = 0
correct_count = 0
for i in range(1, test_size)[::-1]:
if rf.predict(x[x.index == i])[0] == y[i]:
correct_count += 1
if rf.predict(x[x.index == i])[0] == 1:
invest_return = invest_amount + (invest_amount * (z[i]/100))
trade_qty += 1
print('accuracy:', (correct_count/test_size)*100)
print('total trades:', trade_qty)
print('profits:', invest_return)
backtest()
解释修改:
- 通过过滤索引访问数据帧行
x[x.index == i]
; - 以较少的适应修改后向范围的负索引
range(1, test_size)[::-1]
;
生成测试用例:
import numpy as np
import pandas as pd
from sklearn.ensemble import RandomForestClassifier
data = {'open': np.random.rand(1000),
'high': np.random.rand(1000),
'low': np.random.rand(1000),
'close': np.random.rand(1000),
'vol': np.random.rand(1000),
'log_ret': np.random.rand(1000),
'label': np.random.choice([-1,1], 1000)}
df = pd.DataFrame(data)
这会产生以下结果:
>> backtest()
accuracy: 99.72677595628416
total trades: 181
profits: 1006.8351193358026
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