mt_make_model: Function to train Deep Learning Classification model for...

In vzhomeexperiments/lazytrade: Learn Computer and Data Science using Algorithmic Trading

Function to train Deep Learning Classification model for Market Type recognition

Description

Function is training h2o deep learning model to match classified patterns of the financial indicator. Main idea is to be able to detect Market Type by solely relying on the current indicator pattern. This is in the attempt to evaluate current market type for trading purposes.

Selected Market Periods could be manually classified according to the theory from Van K. Tharp:

1. Bull normal, BUN

2. Bull volatile, BUV

3. Bear normal, BEN

4. Bear volatile, BEV

5. Sideways quiet, RAN

6. Sideways volatile, RAV

For automatic classification, could only be used: BUN, BEN, RAN market types

Usage

mt_make_model(
  indicator_dataset,
  num_bars = 64,
  timeframe = 60,
  path_model,
  path_data,
  activate_balance = TRUE,
  num_nn_options = 24,
  fixed_nn_struct = c(100, 100),
  num_epoch = 100,
  is_cluster = FALSE
)

Arguments

indicator_dataset	Data frame, Data set containing indicator patterns to train the model
num_bars	Integer, Number of bars used to detect pattern
timeframe	Integer, Data time frame in minutes.
path_model	String, Path where the models are be stored
path_data	String, Path where the aggregated historical data is stored, if exists, in rds format
activate_balance	Boolean, option to choose to balance market type classes or not, default TRUE
num_nn_options	Integer, value from 0 to 24 or more as multiple of 3. Used to change number of variants for 3 hidden layer structure. Random neural network structures will be generated. When value 0 is set then a fixed structure will be used as defined by parameter fixed_nn_struct. To avoid warnings make sure to set this value as multiple of 3. Higher values will increase computation time.
fixed_nn_struct	Integer vector with numeric elements, see par hidden in ?h2o.deeplearning, default value is c(100,100). Note this will only work if num_nn_options is 0
num_epoch	Integer, see parameter epochs in ?h2o.deeplearning, default value is 100 Higher number may lead to long code execution
is_cluster	Boolean, set TRUE to use automatically clustered data

Details

Function is using labeled dataset and tries several different random neural network structures. Once the best neural network is found then the better model is selected and stored. Dataset can be either manually labelled or generated using function mt_stat_transf.R. In the latter case parameter is_cluster shall be set to TRUE.

Value

Function is writing file object with the model

Author(s)

(C) 2020, 2021 Vladimir Zhbanko

Examples

library(dplyr)
library(magrittr)
library(readr)
library(h2o)
library(lazytrade)
library(stats)

path_model <- normalizePath(tempdir(),winslash = "/")
path_data <- normalizePath(tempdir(),winslash = "/")

data(macd_ML60M)

Sys.sleep(5)

# start h2o engine
h2o.init(nthreads = 2)


# performing Deep Learning Classification using manually labelled data
mt_make_model(indicator_dataset = macd_ML60M,
              num_bars = 64,
              timeframe = 60,
              path_model = path_model,
              path_data = path_data,
              activate_balance = TRUE,
              num_nn_options = 3,
              num_epoch = 10)

data(price_dataset_big)
data <- head(price_dataset_big, 5000) #reduce computational time

ai_class <- mt_stat_transf(indicator_dataset = data,
                      num_bars = 64,
                      timeframe = 60,
                      path_data = path_data,
                      mt_classes = c('BUN', 'BEN', 'RAN'))

# performing Deep Learning Classification using the custom function auto clustered data
mt_make_model(indicator_dataset = ai_class,
              num_bars = 64,
              timeframe = 60,
              path_model = path_model,
              path_data = path_data,
              activate_balance = TRUE,
              num_nn_options = 6,
              num_epoch = 10,
              is_cluster = TRUE)

# performing Deep Learning Classification using the custom function auto clustered data
# and fixed nn structure
mt_make_model(indicator_dataset = ai_class,
              num_bars = 64,
              timeframe = 60,
              path_model = path_model,
              path_data = path_data,
              activate_balance = TRUE,
              num_nn_options = 0,
              fixed_nn_struct = c(10, 10),
              num_epoch = 10,
              is_cluster = TRUE)
              
# stop h2o engine
h2o.shutdown(prompt = FALSE)

#set delay to insure h2o unit closes properly before the next test
Sys.sleep(5)

vzhomeexperiments/lazytrade documentation built on Feb. 20, 2024, 6:09 p.m.