stock_forecasting_lstm.py

import numpy as np
import matplotlib.pyplot as plt
import matplotlib.pyplot as plt2
import pandas as pd
from pandas import datetime
import math, time
import itertools
from sklearn import preprocessing
import datetime
from sklearn.metrics import mean_squared_error
from math import sqrt
from keras.models import Sequential
from keras.layers.core import Dense, Dropout, Activation
from keras.layers.recurrent import LSTM
from keras.models import load_model
import keras
import pandas_datareader.data as web
import h5py

#tensorflow at backend

#input parameter

stock_name = '^GSPC'
seq_len = 22
d = 0.2
shape = [4, seq_len, 1] # feature, window, output
neurons = [128, 128, 32, 1]
epochs = 300

#data from 1950

    start = datetime.datetime(1950, 1, 1)
    end = datetime.date.today()
    df = web.DataReader(stock_name, "yahoo", start, end)
    df.drop(['Volume', 'Close'], 1, inplace=True)
    
    if normalize:        
        min_max_scaler = preprocessing.MinMaxScaler()
        df['Open'] = min_max_scaler.fit_transform(df.Open.values.reshape(-1,1))
        df['High'] = min_max_scaler.fit_transform(df.High.values.reshape(-1,1))
        df['Low'] = min_max_scaler.fit_transform(df.Low.values.reshape(-1,1))
        df['Adj Close'] = min_max_scaler.fit_transform(df['Adj Close'].values.reshape(-1,1))
    return df

df = get_stock_data(stock_name, normalize=True)

#plot normalized closing price

def plot_stock(stock_name):
    df = get_stock_data(stock_name, normalize=True)
    print(df.head())
    plt.plot(df['Adj Close'], color='red', label='Adj Close')
    plt.legend(loc='best')
    plt.show()
    plot_stock(stock_name)

#set lastday closed as y

def load_data(stock, seq_len):
    amount_of_features = len(stock.columns)
    data = stock.as_matrix() 
    sequence_length = seq_len + 1 # index starting from 0
    result = []
    
    for index in range(len(data) - sequence_length): # maxmimum date = lastest date - sequence length
        result.append(data[index: index + sequence_length]) # index : index + 22days
    
    result = np.array(result)
    row = round(0.9 * result.shape[0]) # 90% split
    
    train = result[:int(row), :] # 90% date
    X_train = train[:, :-1] # all data until day m
    y_train = train[:, -1][:,-1] # day m + 1 adjusted close price
    
    X_test = result[int(row):, :-1]
    y_test = result[int(row):, -1][:,-1] 

    X_train = np.reshape(X_train, (X_train.shape[0], X_train.shape[1], amount_of_features))
    X_test = np.reshape(X_test, (X_test.shape[0], X_test.shape[1], amount_of_features))  

    return [X_train, y_train, X_test, y_test]

X_train, y_train, X_test, y_test = load_data(df, seq_len)
X_train.shape[0], X_train.shape[1], X_train.shape[2]
y_train.shape[0]

#building the network

def build_model2(layers, neurons, d):
    model = Sequential()
    
    model.add(LSTM(neurons[0], input_shape=(layers[1], layers[0]), return_sequences=True))
    model.add(Dropout(d))
        
    model.add(LSTM(neurons[1], input_shape=(layers[1], layers[0]), return_sequences=False))
    model.add(Dropout(d))
        
    model.add(Dense(neurons[2],kernel_initializer="uniform",activation='relu'))        
    model.add(Dense(neurons[3],kernel_initializer="uniform",activation='linear'))
    # model = load_model('my_LSTM_stock_model1000.h5')
    # adam = keras.optimizers.Adam(decay=0.2)
    model.compile(loss='mse',optimizer='adam', metrics=['accuracy'])
    model.summary()
    return model

#model running

model = build_model2(shape, neurons, d)
# layers = [4, 22, 1]

model.fit(
    X_train,
    y_train,
    batch_size=512,
    epochs=epochs,
    validation_split=0.1,
    verbose=1)

lists = sorted(seq_len_result.items())
x,y = zip(*lists)
plt.plot(x,y)
plt.title('Finding the best hyperparameter')
plt.xlabel('Days')
plt.ylabel('Mean Square Error')
plt.show()