基于Random Forest的决策策略
最后更新于:2022-04-01 21:54:52
# 基于Random Forest的决策策略
> 来源:https://uqer.io/community/share/54a10ef8f9f06c4bb886324b
版本:1.0
作者:李丞
联系:cheng.li@datayes.com
利用随机树分类算法,通过历史价格的上升状态变化规律,预测下一日股价变动的方向。预测上涨则买入,下跌则卖出(如果可以的话);
```py
from sklearn.ensemble import RandomForestClassifier
from collections import deque
import pandas as pd
import numpy as np
start = pd.datetime(2010, 4, 1)
end = pd.datetime(2014, 9, 16)
longest_history = 1
bm = 'HS300'
universe = ['600000.XSHG']
csvs = []
capital_base = 1e5
refresh_rate = 1
window_length = 10
def initialize(account):
account.security = universe[0]
account.window_length = window_length
account.classifier = RandomForestClassifier()
# 先进先出的deque序列,设定了最长的长度,在序列超过最长长度的时候,会将头部序列移出
account.recent_prices = deque(maxlen=account.window_length+2) # 保存最近的股价
account.X = deque(maxlen=100) # 自变量
account.Y = deque(maxlen=100) # 应变量
account.prediction = 0 # 保存最近的预测值
def handle_data(account):
hist = account.get_history(1)
if account.security in hist:
account.recent_prices.append(hist[account.security]['closePrice'][0]) # 更新最近的股价
if len(account.recent_prices) >= account.window_length+2: # 如果我们已经获取了足够的股价
RecentPrice=list(account.recent_prices) # 将deque转换为对应的list
# 制作一组1和0,标记股价是否相对于上一日价格上升。
changes = np.diff(RecentPrice) > 0
account.X.append(RecentPrice[1:-1])
account.Y.append(changes[-1])
if len(account.Y) >= 100: # 已经拥有足够的数据im
account.classifier.fit(account.X, account.Y) # 设定模型
account.prediction = account.classifier.predict(changes[1:]) # 预测
# 如果过大0.5,买入;小于0.5,卖出
if account.prediction > 0.5:
buyAmount = int(account.position.cash / hist[account.security]['closePrice'][0])
order(account.security, buyAmount)
else:
order_to(account.security, 0)
```
![](https://docs.gechiui.com/gc-content/uploads/sites/kancloud/2016-07-30_579cbdac47ad8.jpg)
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