写出股票强化学习的完整代码
时间: 2023-06-28 21:15:21 浏览: 174
强化学习matlab源代码
下面是一个简单的示例,展示如何使用Python编写一个股票强化学习的完整代码。
```python
import numpy as np
import pandas as pd
import gym
from gym import spaces
import tensorflow as tf
from tensorflow import keras
from tensorflow.keras import layers
class StockTradingEnv(gym.Env):
metadata = {'render.modes': ['human']}
def __init__(self, data, window_size):
super(StockTradingEnv, self).__init__()
self.data = data
self.window_size = window_size
self.action_space = spaces.Discrete(3) # 买入,卖出,持有
self.observation_space = spaces.Box(low=0, high=1, shape=(6, self.window_size + 1), dtype=np.float32)
self.profit = 0
self.total_reward = 0
self.current_step = self.window_size
self.done = False
def _next_observation(self):
obs = np.array([
self.data.loc[self.current_step - self.window_size:self.current_step, 'Open'].values / 200,
self.data.loc[self.current_step - self.window_size:self.current_step, 'High'].values / 200,
self.data.loc[self.current_step - self.window_size:self.current_step, 'Low'].values / 200,
self.data.loc[self.current_step - self.window_size:self.current_step, 'Close'].values / 200,
self.data.loc[self.current_step - self.window_size:self.current_step, 'Volume'].values / 5000000000,
self.profit / 10000
])
return obs
def reset(self):
self.profit = 0
self.total_reward = 0
self.current_step = self.window_size
self.done = False
return self._next_observation()
def step(self, action):
assert self.action_space.contains(action)
prev_val = self._get_val()
self.current_step += 1
if self.current_step == len(self.data):
self.done = True
if self.done:
reward = self.profit - self.total_reward
return self._next_observation(), reward, self.done, {}
self._take_action(action)
reward = self._get_reward()
self.total_reward += reward
obs = self._next_observation()
return obs, reward, self.done, {}
def _take_action(self, action):
if action == 0: # 买入
self.profit -= self.data.at[self.current_step, 'Close']
elif action == 1: # 卖出
self.profit += self.data.at[self.current_step, 'Close']
else: # 持有
pass
def _get_reward(self):
current_val = self._get_val()
return current_val - self.profit - self.total_reward
def _get_val(self):
return self.profit + self.data.at[self.current_step, 'Close']
def build_model(input_shape):
model = keras.Sequential([
layers.Dense(32, activation='relu', input_shape=input_shape),
layers.Dense(16, activation='relu'),
layers.Dense(3, activation='softmax')
])
model.compile(optimizer=keras.optimizers.Adam(), loss='categorical_crossentropy', metrics=['accuracy'])
return model
def train_model(model, env, total_episodes):
for episode in range(total_episodes):
state = env.reset()
state = np.reshape(state, [1, 6, env.window_size + 1])
done = False
while not done:
action = np.argmax(model.predict(state)[0])
next_state, reward, done, _ = env.step(action)
next_state =
阅读全文