import pandas as pd from sklearn.metrics import f1_score, precision_score, recall_score, accuracy_score import features import joblib import os # Suppress TensorFlow INFO and WARNING logs os.environ['TF_CPP_MIN_LOG_LEVEL'] = '3' # Suppress specialized XLA and autotuning logs os.environ['TF_XLA_FLAGS'] = '--tf_xla_enable_xla_devices=false' os.environ['TF_CPP_MAX_VLOG_LEVEL'] = '0' # CPU only os.environ["CUDA_VISIBLE_DEVICES"] = "-1" from sklearn.model_selection import train_test_split from keras import Sequential, layers, optimizers from keras.callbacks import ReduceLROnPlateau def TrainAI(): # Get the CWD for pathing due to being called from C# SCRIPT_DIR = os.path.dirname(os.path.abspath(__file__)) DATA_DIR = os.path.join(SCRIPT_DIR, "data") # Load the dataset dataset = pd.read_parquet(os.path.join(DATA_DIR, "stocks.parquet")) # Use external featuers to make sure loaded is the same dataset = features.MakeFeatures(dataset) # Make sure empty columns dont exist dataset = dataset.dropna() # Create the X, Y vareables X, Y, X_Scaler, Y_Scaler = features.Prepare(dataset) # Save the scalers for future use joblib.dump(X_Scaler, os.path.join(DATA_DIR, "feature_scaler.pkl")) joblib.dump(Y_Scaler, os.path.join(DATA_DIR, "target_scaler.pkl")) # Show the datatypes print(dataset.dtypes) # Split out the test and train train_features, test_features, train_labels, test_labels = train_test_split(X, Y, test_size=0.2, shuffle=False) # Keep the training and test data in order as its sequential # Create the DNN dnn_model = Sequential([ layers.Input(shape=(train_features.shape[1],)), # Load the feature count dynamically layers.Dense(256, activation='elu'), # DNN layer layers.BatchNormalization(), # Nomralize layers.Dropout(0.1), # Small dropout to prevent it from memorizing noise layers.Dense(128, activation='elu'), # DNN layer layers.BatchNormalization(), # Nomralize layers.Dropout(0.1), # Small dropout to prevent it from memorizing noise layers.Dense(24, activation='elu'), # DNN layer layers.Dense(1, activation='linear') # DNN layer ]) # Configure the model dnn_model.compile( optimizer=optimizers.Adam(learning_rate=0.0001, clipvalue=1.0), loss="mse", metrics=['mae'] # See it train while it runs ) # Show the summary before training the model dnn_model.summary() # Learning rate reducer reduce_lr = ReduceLROnPlateau(monitor='loss', factor=0.5, patience=5, min_lr=0.0000001) # Train the model Training_Data = dnn_model.fit( train_features, train_labels, batch_size=64, epochs=50, # Tuned to the point before overfitting verbose=1, # Show progress shuffle=False, # Time series data callbacks=[reduce_lr] # Reduce the learning_rate every run ) # Current Test Results: 0.3382711112499237 test_results = dnn_model.evaluate( test_features, test_labels, verbose=0 ) # Perform test on test data split earlier predictions = dnn_model.predict(test_features) # Convert to Binary Direction (The "Signal") y_true_binary = (test_labels > 0).astype(int) y_pred_binary = (predictions > 0).astype(int) # Calculate the metrics acc = accuracy_score(y_true_binary, y_pred_binary) prec = precision_score(y_true_binary, y_pred_binary) rec = recall_score(y_true_binary, y_pred_binary) f1 = f1_score(y_true_binary, y_pred_binary) # Output the meterics; this gets spit out when training from the python file directly. The C# interop does not output these print(f"Test Loss: {test_results[0]:.4f}") print(f"Test MAE: {test_results[1]:.2%}") print(f"Test Accuracy: {acc:.2%}") print(f"Test Precision: {prec:.2%}") print(f"Test Recall: {rec:.2%}") print(f"F1 Score: {f1:.2%}") # Save the model dnn_model.save(os.path.join(DATA_DIR, "model.keras")) if __name__ == "__main__": TrainAI()