用akshare,gym,tensorflow写出股票强化学习代码,包括模型的保存,应用
时间: 2024-02-20 18:56:18 浏览: 93
好的,这是一个比较复杂的问题,需要分几步来回答。
1. 安装相关的库
首先需要安装 `akshare`, `gym`, `tensorflow` 等相关的库。可以使用 `pip` 命令进行安装,例如:
```
pip install akshare gym tensorflow
```
2. 数据获取
使用 `akshare` 库可以方便地获取股票数据。例如,以下代码可以获取中国平安(601318.SH)的股票数据:
```python
import akshare as ak
stock_df = ak.stock_zh_a_daily(symbol="sh601318")
```
3. 强化学习环境的构建
使用 `gym` 库可以构建一个强化学习环境。例如,以下代码可以构建一个简单的股票交易环境:
```python
import gym
from gym import spaces
import numpy as np
class StockTradingEnv(gym.Env):
metadata = {'render.modes': ['human']}
def __init__(self, data):
super(StockTradingEnv, self).__init__()
# 股票数据
self.data = data
self.n_step = len(data)
self.current_step = 0
# 动作空间
self.action_space = spaces.Box(low=-1, high=1, shape=(1,), dtype=np.float32)
# 观测空间
self.observation_space = spaces.Box(low=0, high=np.inf, shape=(6,), dtype=np.float32)
def reset(self):
self.current_step = 0
self.account_value = 100000 # 初始账户价值
self.position = 0 # 初始持仓
obs = np.array([
self.data.iloc[self.current_step]['open'],
self.data.iloc[self.current_step]['high'],
self.data.iloc[self.current_step]['low'],
self.data.iloc[self.current_step]['close'],
self.account_value,
self.position
])
return obs
def step(self, action):
# 执行动作
self.position += action[0]
self.position = np.clip(self.position, -1, 1)
# 计算奖励
reward = self.account_value * (self.data.iloc[self.current_step]['close'] - self.data.iloc[self.current_step - 1]['close']) * self.position
# 更新账户价值
self.account_value += reward
# 更新当前时间步
self.current_step += 1
# 计算是否结束
done = self.current_step >= self.n_step
# 计算观测值
obs = np.array([
self.data.iloc[self.current_step]['open'],
self.data.iloc[self.current_step]['high'],
self.data.iloc[self.current_step]['low'],
self.data.iloc[self.current_step]['close'],
self.account_value,
self.position
])
return obs, reward, done, {}
def render(self, mode='human'):
pass
```
4. 强化学习模型的构建和训练
使用 `tensorflow` 库可以构建和训练强化学习模型。以下是一个简单的模型:
```python
import tensorflow as tf
from tensorflow.keras.layers import Dense
from tensorflow.keras.optimizers import Adam
class ActorCriticModel(tf.keras.Model):
def __init__(self, state_size, action_size):
super(ActorCriticModel, self).__init__()
self.actor_hidden = Dense(32, activation='relu')
self.actor_output = Dense(action_size, activation='tanh')
self.critic_hidden = Dense(32, activation='relu')
self.critic_output = Dense(1, activation=None)
def call(self, inputs):
x = self.actor_hidden(inputs)
actions = self.actor_output(x)
y = self.critic_hidden(inputs)
values = self.critic_output(y)
return actions, values
```
然后,可以使用以下代码训练模型:
```python
env = StockTradingEnv(stock_df)
state_size = env.observation_space.shape[0]
action_size = env.action_space.shape[0]
model = ActorCriticModel(state_size, action_size)
optimizer = Adam(lr=0.001)
def compute_loss(action_probs, values, returns, advantages):
actions_log_probs = tf.math.log(action_probs)
policy_losses = -tf.math.reduce_sum(actions_log_probs * advantages)
value_losses = tf.math.reduce_sum(tf.math.square(returns - values))
entropy_losses = -tf.math.reduce_sum(action_probs * tf.math.log(action_probs))
total_loss = policy_losses + 0.5 * value_losses - 0.01 * entropy_losses
return total_loss
@tf.function
def train_step(state, action, reward, next_state, done):
with tf.GradientTape() as tape:
# 计算动作和价值
action_probs, values = model(state)
# 计算下一个状态的动作和价值
next_action_probs, next_values = model(next_state)
# 计算TD误差和优势值
returns = reward + 0.99 * next_values * (1 - done)
td_error = returns - values
advantages = td_error - tf.math.reduce_mean(td_error)
# 计算损失并更新模型
loss = compute_loss(action_probs, values, returns, advantages)
gradients = tape.gradient(loss, model.trainable_variables)
optimizer.apply_gradients(zip(gradients, model.trainable_variables))
# 训练模型
for episode in range(100):
state = env.reset()
done = False
while not done:
# 预测动作
action_probs, _ = model(tf.expand_dims(state, 0))
action = tf.squeeze(action_probs, axis=0)
# 执行动作
next_state, reward, done, _ = env.step(action)
# 训练模型
train_step(state, action, reward, next_state, done)
# 更新状态
state = next_state
```
5. 模型的保存和应用
可以使用 `tensorflow` 库的模型保存功能来保存训练好的模型。例如,以下代码可以保存模型:
```python
model.save('model.h5')
```
然后,可以使用以下代码加载模型:
```python
model = tf.keras.models.load_model('model.h5')
```
使用加载好的模型可以进行预测和交易等操作。例如,以下代码可以使用模型进行预测:
```python
state = env.reset()
done = False
while not done:
action_probs, _ = model(tf.expand_dims(state, 0))
action = tf.squeeze(action_probs, axis=0)
next_state, reward, done, _ = env.step(action)
state = next_state
```
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