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Gathers machine learning and deep learning models for Stock forecasting including trading bots and simulations
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README.md

README.md

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Stock-Prediction-Models, Gathers machine learning and deep learning models for Stock forecasting, included trading bots and simulations.

Table of contents

Contents

Models

Deep-learning models

  1. LSTM
  2. LSTM Bidirectional
  3. LSTM 2-Path

Stacking models

  1. Deep Feed-forward Auto-Encoder Neural Network to reduce dimension + Deep Recurrent Neural Network + ARIMA + Extreme Boosting Gradient Regressor
  2. Adaboost + Bagging + Extra Trees + Gradient Boosting + Random Forest + XGB

Agents

  1. Turtle-trading agent
  2. Moving-average agent
  3. Signal rolling agent
  4. Policy-gradient agent
  5. Q-learning agent
  6. Evolution-strategy agent
  7. Double Q-learning agent
  8. Recurrent Q-learning agent
  9. Double Recurrent Q-learning agent
  10. Duel Q-learning agent
  11. Double Duel Q-learning agent
  12. Duel Recurrent Q-learning agent
  13. Double Duel Recurrent Q-learning agent
  14. Actor-critic agent
  15. Actor-critic Duel agent
  16. Actor-critic Recurrent agent
  17. Actor-critic Duel Recurrent agent
  18. Curiosity Q-learning agent
  19. Recurrent Curiosity Q-learning agent
  20. Duel Curiosity Q-learning agent
  21. Neuro-evolution agent
  22. Neuro-evolution with Novelty search agent
  23. ABCD strategy agent

Data Explorations

  1. stock market study on TESLA stock, tesla-study.ipynb
  2. Outliers study using K-means, SVM, and Gaussian on TESLA stock, outliers.ipynb
  3. Overbought-Oversold study on TESLA stock, overbought-oversold.ipynb
  4. Which stock you need to buy? which-stock.ipynb

Simulations

  1. Stock market simulation using Monte Carlo, stock-forecasting-monte-carlo.ipynb
  2. Stock market simulation using Monte Carlo Markov Chain Metropolis-Hasting, mcmc-stock-market.ipynb
  3. Portfolio optimization, portfolio-optimization.ipynb, inspired from https://pythonforfinance.net/2017/01/21/investment-portfolio-optimisation-with-python/

Tensorflow-js

I code LSTM Recurrent Neural Network and Simple signal rolling agent inside Tensorflow JS, you can try it here, huseinhouse.com/stock-forecasting-js, you can download any historical CSV and upload dynamically.

Misc

  1. fashion trending prediction with cross-validation, fashion-forecasting.ipynb
  2. Bitcoin analysis with LSTM prediction, bitcoin-analysis-lstm.ipynb
  3. Kijang Emas Bank Negara, kijang-emas-bank-negara.ipynb

Results

Results Agent

This agent only able to buy or sell 1 unit per transaction.

  1. Turtle-trading agent, turtle-agent.ipynb

  1. Moving-average agent, moving-average-agent.ipynb

  1. Signal rolling agent, signal-rolling-agent.ipynb

  1. Policy-gradient agent, policy-gradient-agent.ipynb

  1. Q-learning agent, q-learning-agent.ipynb

  1. Evolution-strategy agent, evolution-strategy-agent.ipynb

  1. Double Q-learning agent, double-q-learning-agent.ipynb

  1. Recurrent Q-learning agent, recurrent-q-learning-agent.ipynb

  1. Double Recurrent Q-learning agent, double-recurrent-q-learning-agent.ipynb

  1. Duel Q-learning agent, duel-q-learning-agent.ipynb

  1. Double Duel Q-learning agent, double-duel-q-learning-agent.ipynb

  1. Duel Recurrent Q-learning agent, duel-recurrent-q-learning-agent.ipynb

  1. Double Duel Recurrent Q-learning agent, double-duel-recurrent-q-learning-agent.ipynb

  1. Actor-critic agent, actor-critic-agent.ipynb

  1. Actor-critic Duel agent, actor-critic-duel-agent.ipynb

  1. Actor-critic Recurrent agent, actor-critic-recurrent-agent.ipynb

  1. Actor-critic Duel Recurrent agent, actor-critic-duel-recurrent-agent.ipynb

  1. Curiosity Q-learning agent, curiosity-q-learning-agent.ipynb

  1. Recurrent Curiosity Q-learning agent, recurrent-curiosity-q-learning.ipynb

  1. Duel Curiosity Q-learning agent, duel-curiosity-q-learning-agent.ipynb

  1. Neuro-evolution agent, neuro-evolution.ipynb

  1. Neuro-evolution with Novelty search agent, neuro-evolution-novelty-search.ipynb

  1. ABCD strategy agent, abcd-strategy.ipynb

Results free agent

This agent able to buy or sell N-units per transaction.

evolution strategy agent evolution-strategy-agent.ipynb

total gained 11037.529911, total investment 110.375299 %

evolution strategy with bayesian agent evolution-strategy-bayesian-agent.ipynb

total gained 13295.469683, total investment 132.954697 %

Results signal prediction

I will cut the dataset to train and test datasets,

  1. Train dataset derived from starting timestamp until last 15 days
  2. Test dataset derived from last 15 days until end of the dataset

So we will let the model do forecasting based on last 15 hours, and we will going to repeat the experiment for 10 times. You can increase it locally if you want, and tuning parameters will help you by a lot.

  1. LSTM, 95.693%

  1. LSTM Bidirectional, 97.4748%

  1. LSTM 2-Path, 96.9709%

Results analysis

  1. Outliers study using K-means, SVM, and Gaussian on TESLA stock

  1. Overbought-Oversold study on TESLA stock

  1. Which stock you need to buy?

Results simulation

  1. Stock market simulation using Monte Carlo

  1. Stock market simulation using Monte Carlo Markov Chain Metropolis-Hasting

  1. Portfolio optimization

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