Machine Learning

import matplotlib
import matplotlib.pyplot as plt

import matplotlib.ticker as mticker
import matplotlib.dates as mdates
import numpy as np
import time
totalStart=time.time()
date,bid,ask=np.loadtxt('GBPUSD1d.txt',unpack=True, delimiter=',',
converters={0:mdates.strpdate2num('%Y%m%d%H%M%S')})
def percentChange(startPoint,currentPoint):
try:
x=((float(currentPoint)-startPoint)/abs(startPoint))*100.00
if x==0.0:
return 0.0000000001
else:
return x
except:
return 0.0000000001

def patternStorage():
patStartTime=time.time()
x=len(avgLine)-60
y=31
while y<x:
pattern=[]
p1=percentChange(avgLine[y-30],avgLine[y-29])
p30=percentChange(avgLine[y-30],avgLine[y])
outcomeRange=avgLine[y+20:y+30]
currentPoint=avgLine[y]
try:
avgOutcome= reduce(lambda x,y:x+y,outcomeRange)/len(outcomeRange)
except Exception, e:
print str(e)
avgOutcome=0
futureOutcome=percentChange(currentPoint,avgOutcome)
pattern.append(p1)
pattern.append(p2)
pattern.append(p3)
pattern.append(p4)
pattern.append(p5)
pattern.append(p6)
pattern.append(p7)
pattern.append(p8)
pattern.append(p9)
pattern.append(p10)
pattern.append(p11)
pattern.append(p12)
pattern.append(p13)
pattern.append(p14)
pattern.append(p15)
pattern.append(p16)
pattern.append(p17)
pattern.append(p18)
pattern.append(p19)
pattern.append(p20)
pattern.append(p21)
pattern.append(p22)
pattern.append(p23)
pattern.append(p24)
pattern.append(p25)
pattern.append(p26)
pattern.append(p27)
pattern.append(p28)
pattern.append(p29)
pattern.append(p30)
patternAr.append(pattern)
performanceAr.append(futureOutcome)
y+=1
patEndTime=time.time()
print len(patternAr)
print len(performanceAr)
print 'pattern storage took', patEndTime-patStartTime,'seconds'
def currentPattern():

cp1=percentChange(avgLine[-31],avgLine[-30])
patForRec.append(cp1)

print patForRec

def patternRecognition():
patFound=0
predictedOutcomeAr=[]
plotPatAr=[]
for eachPattern in patternAr:
sim1=100.00-abs(percentChange(eachPattern[0],patForRec[0]))
howSim=(sim1+sim2+sim3+sim4+sim5+sim6+sim7+sim8+sim9+sim10+
sim11+sim12+sim13+sim14+sim15+sim16+sim17+sim18+sim19+sim20+
sim21+sim22+sim23+sim24+sim25+sim26+sim27+sim28+sim29+sim30)/30.
0
if howSim>70:
patdex=patternAr.index(eachPattern)
patFound=1

'''print '################################'
print patForRec
print '################################'
print '################################'
print eachPattern
print '################################'
print 'predicted outcome',performanceAr[patdex]'''

xp=[1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,2
5,26,27,28,29,30]
plotPatAr.append(eachPattern)
predArray=[]
if patFound==1:
#fig=plt.figure(figsize=(10,6))
for eachPatt in plotPatAr:
futurePoints=patternAr.index(eachPatt)
if performanceAr[futurePoints]>patForRec[29]:
pcolor='#24bc00'
predArray.append(1.0000)
else:
pcolor='#d40000'
predArray.append(-1.0000)

#plt.plot(xp,eachPatt)
predictedOutcomeAr.append(performanceAr[futurePoints])
#plt.scatter(35,performanceAr[futurePoints],c=pcolor,alpha=0.3)
realOutcomeRange=allData[toWhat+20:toWhat+30]
realAvgOutcome= reduce(lambda x,y:x+y,realOutcomeRange)/len(realOutcomeR
ange)
realMovement=percentChange(allData[toWhat],realAvgOutcome)
predictedAvgOutcome= reduce(lambda x,y:x+y,predictedOutcomeAr)/len(predi
ctedOutcomeAr)

#plt.scatter(40,realMovement,c='#54fff7',s=25)
#plt.scatter(40,predictedAvgOutcome,c='b',s=25)
#plt.plot(xp,patForRec,'#54fff7',linewidth=3)
#plt.grid(True)
#plt.title('Pattern Recognition')
#plt.show()

def graphRawFX():

fig=plt.figure(figsize=(10,7))
ax1=plt.subplot2grid((40,40),(0,0),rowspan=40,colspan=40)
ax1.plot(date,bid)
ax1.plot(date,ask)
plt.gca().get_yaxis().get_major_formatter().set_useOffset(False)
ax1.xaxis.set_major_formatter(mdates.DateFormatter('%Y-%m-%d %H:%M:%S'))
for label in ax1.xaxis.get_ticklabels():
label.set_rotation(45)
ax1_2=ax1.twinx()
ax1_2.fill_between(date,0,(ask-bid),facecolor='g',alpha=0.3)
plt.subplots_adjust(bottom=0.23)
plt.grid(True)
plt.show()
dataLength=int(bid.shape[0])
print 'data length is',dataLength
toWhat=37000
allData=((bid+ask)/2)
accuracyArray=[]
samps=0
while toWhat<dataLength:
#avgLine=((bid+ask)/2)
avgLine=allData[:toWhat]

patternAr=[]
performanceAr=[]
patForRec=[]

patternStorage()
currentPattern()
patternRecognition()
totalTime=time.time()-totalStart
print 'Entire processing time took:',totalTime
moveOn=raw_input('Press Enter to continue.....')
samps+=1
toWhat+=1

Machine Learning

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import matplotlib

import matplotlib.pyplot as plt

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