Python 机器学习之 SVM 预测买卖

from sklearn import svm

import numpy as np



def main():

    preTime = 0

    n = 0

    success = 0

    predict = None

    pTime = None

    marketPosition = 0

    initAccount = exchange.GetAccount()

    Log("Running...")

    while True:

        r = exchange.GetRecords()

        if len(r) < 60:

            continue

        bar = r[len(r)-1]

        if bar.Time > preTime:

            preTime = bar.Time

            if pTime is not None and r[len(r)-2].Time == pTime:

                diff = r[len(r)-2].Close - r[len(r)-3].Close

                if diff > SpreadVal:

                    success += 1 if predict == 0 else 0

                elif diff < -SpreadVal:

                    success += 1 if predict == 1 else 0

                else:

                    success += 1 if predict == 2 else 0

                pTime = None

                LogStatus("预测次数", n, "成功次数", success, "准确率:", '%.3f %%' % round(float(success) * 100 / n, 2))

        else:

            Sleep(1000)

            continue

        inputs_X, output_Y = , 

        sets = [None, None, None]

        for i in xrange(1, len(r)-2, 1):

            inputs_X.append([r[i].Open, r[i].Close])

            Y = 0

            diff = r[i+1].Close - r[i].Close

            if diff > SpreadVal:

                Y = 0

                sets[0] = True

            elif diff < -SpreadVal:

                Y = 1

                sets[1] = True

            else:

                Y = 2

                sets[2] = True

            output_Y.append(Y)

        if None in sets:

            Log("样本不足, 无法预测 ...")

            continue

        n += 1

        clf = svm.LinearSVC()

        clf.fit(inputs_X, output_Y)

        predict = clf.predict(np.array([bar.Open, bar.Close]).reshape((1, -1)))

        pTime = bar.Time

        

        Log("预测当前Bar结束:", bar.Time, ['涨', '跌', '横'][predict])

        if marketPosition == 0:

            if predict == 0:

                exchange.Buy(initAccount.Balance/2)

                marketPosition = 1

            elif predict == 1:

                exchange.Sell(initAccount.Stocks/2)

                marketPosition = -1

        else:

            nowAccount = exchange.GetAccount()

            if marketPosition > 0 and predict != 0:

                exchange.Sell(nowAccount.Stocks - initAccount.Stocks)

                nowAccount = exchange.GetAccount()

                marketPosition = 0

            elif marketPosition < 0 and predict != 1:

                while True:

                    dif = initAccount.Stocks - nowAccount.Stocks

                    if dif < 0.01:

                        break

                    ticker = exchange.GetTicker()

                    exchange.Buy(ticker.Sell + (ticker.Sell-ticker.Buy)*2, dif)

                    while True:

                        Sleep(1000)

                        orders = exchange.GetOrders()

                        for order in orders:

                            exchange.CancelOrder(order.Id)

                        if len(orders) == 0:

                            break

                    nowAccount = exchange.GetAccount()

                marketPosition = 0

            if marketPosition == 0:

                LogProfit(_N(nowAccount.Balance - initAccount.Balance, 4), nowAccount)

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