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这是用10个点做分割的最小区间来做的，涨跌幅度看后面的F和R就知道了。例如，“| 3920354 | 0 | 0 |”这一条，表示涨跌都在10个点以内的振幅小且方向不确定的数据超过392万条，占全部样本的72％。不得不说，这个比例实在是太大了，相当于其他178个分类总共才占28％——这是一个非常“倾斜”的分类方式。
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我们可以尝试再做一下细分，用5个点作为一个分档。
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mysql＞ SELECT COUNT(*), F, R FROM(SELECT FALL_PIP DIV 0.0005 AS F, RISE_PIP DIV 0.0005 AS R FROMEURUSD_TRAINING_15M)R GROUP BY F, R;+–––-+––+––+| COUNT(*)| F | R |+–––-+––+––+| 1916865 | 0 | 0 || 895584 | 0 | 1 || 334411 | 0 | 2 || 134729 | 0 | 3 || 60612 | 0 | 4 || 29028 | 0 | 5 |……| 894166 | 1 | 0 || 213739 | 1 | 1 || 71067 | 1 | 2 || 31033 | 1 | 3 || 15198 | 1 | 4 |……| 4 | 34 | 0 || 1 | 34 | 1 || 1 | 34 | 3 || 9 | 35 | 0 || 1 | 37 | 0 || 1 | 37 | 1 || 1 | 38 | 2 || 1 | 38 | 3 || 1 | 40 | 0 || 1 | 40 | 2 || 1 | 42 | 1 || 1 | 42 | 3 || 1 | 44 | 0 || 1 | 44 | 14 || 1 | 46 | 4 |+–––-+––+––+513 rows in set(4.31 sec)
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在这个划分中，虽然涨跌都在5个点的分类“| 1916865 | 0 | 0 |”仍然有191万条记录，但是占比已经下降到35％左右。
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下面，我们用其他处理技巧作为辅助，继续这个熵减过程。
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ALTER TABLE EURUSD_TRAINING_15M ADD COLUMN(F INT);ALTER TABLE EURUSD_TRAINING_15M ADD COLUMN(R INT);UPDATE EURUSD_TRAINING_15M SET R=RISE_PIP DIV 0.0005, F=FALL_PIP DIV 0.0005;COMMIT;
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要想给EURUSD_TRAINING_15M这个表上加上标签，可以先画一个表，看看它们的分布是什么样子（如图18-21所示）。
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图18-21 分类分布
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我是这样做的：把F和R两种数值在二维表格中画出来，在没有做任何分类之前，整个表格出现的都是“0”这个类别，即熵最大的情况；“1”是对角线的部分，就是F和R振幅相当的情况；右下侧的部分是振幅很大（虽然两侧振幅不相等，但是幅度很大）的分类，明显是震荡盘面，不适合下单；“2”和“3”是单边振幅明显较大的分类，“2”是上涨，“3”是下跌；“4”和“5”分别是涨幅6～10个点与跌幅0～5个点的分类、跌幅0～5个点与涨幅6～10个点的分类，仍属于单方面比较确定的方向，只不过是幅度很小的情况。
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对其他分类，分别按照其R和F的标识即可进行标注。从理论上说，除了“0”和“1”两个分类以外，其他的分类都可以尝试入场。
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用SQL做一下更新。
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#WHITEUPDATE EURUSD_TRAINING_15MSET CLASSIFICATION=0;#YELLOWUPDATE EURUSD_TRAINING_15MSET CLASSIFICATION=1WHERE R＞=10 AND F＞=10;UPDATE EURUSD_TRAINING_15MSET CLASSIFICATION=1WHERE ABS(R-F)＜=1;#RED-RUPDATE EURUSD_TRAINING_15MSET CLASSIFICATION=2WHERE R＞=F+10;#RED-FUPDATE EURUSD_TRAINING_15MSET CLASSIFICATION=3WHERE F＞=R+10;#CYAN-RUPDATE EURUSD_TRAINING_15MSET CLASSIFICATION=4WHERE R=1 AND F=0;#CYAN-FUPDATE EURUSD_TRAINING_15MSET CLASSIFICATION=5WHERE R=0 AND F=1;#GREEN-RUPDATE EURUSD_TRAINING_15MSET CLASSIFICATION=6WHERE R=2 AND F=0;#GREEN-FUPDATE EURUSD_TRAINING_15MSET CLASSIFICATION=7WHERE R=0 AND F=2;#BLUE-RUPDATE EURUSD_TRAINING_15MSET CLASSIFICATION=8WHERE R=3 AND F=0;UPDATE EURUSD_TRAINING_15MSET CLASSIFICATION=8WHERE R=2 AND F=1;#BLUE-FUPDATE EURUSD_TRAINING_15MSET CLASSIFICATION=9WHERE R=0 AND F=3;UPDATE EURUSD_TRAINING_15MSET CLASSIFICATION=9WHERE R=1 AND F=2;#PURPLE-RUPDATE EURUSD_TRAINING_15MSET CLASSIFICATION=10WHERE R=4 AND F=0;UPDATE EURUSD_TRAINING_15MSET CLASSIFICATION=10WHERE R=3 AND F=1;#PURPLE-FUPDATE EURUSD_TRAINING_15MSET CLASSIFICATION=11WHERE R=0 AND F=4;UPDATE EURUSD_TRAINING_15MSET CLASSIFICATION=11WHERE R=1 AND F=3;
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将这些训练样本导出为文本，编辑文件make_file_15m.py。
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import os,sys,MySQLdbimport numpy as npdb=MySQLdb.connect(host=‘localhost’, user=‘root’, passwd=‘111111’, db=‘FOREX’)cursor=db.cursor()cursor.execute(‘USE FOREX;’)sql=‘SELECT * FROM EURUSD_TRAINING_15M;’cursor.execute(sql)result=cursor.fetchall()for i in range(cursor.rowcount): printstr(result[i][0])+’,’+str(result[i][1])+’,’+str(result[i][2])+’,’+str(result[i][3])+’,’+str(r esult[i][4])+’,’+str(result[i][5])+’,’+str(result[i][6])+’,’+str(result[i][7])+’,’+str(result[i][8])cursor.close()db.close()
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在Shell下调用。
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python make_file_15m.py ＞＞ record_15M.txt
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截断文件，只保留最后的350万条记录。
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tail-3500000 record_15M.txt ＞＞ record_15M_3500000.txt
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编辑训练文件train_1.py。
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from keras.models import Sequentialfrom keras.layers import Dense, Dropout, Activationfrom keras.optimizers import SGDimport os,sys,timeimport numpy as npprint “Start to generate network”model=Sequential()model.add(Dense(120, input_dim=63))model.add(Activation(‘sigmoid’))model.add(Dense(80, input_dim=100))model.add(Activation(‘sigmoid’))model.add(Dense(60, input_dim=70))model.add(Activation(‘sigmoid’))model.add(Dense(50, input_dim=120))model.add(Activation(‘sigmoid’))model.add(Dense(40, input_dim=50))model.add(Activation(‘sigmoid’))model.add(Dense(30, input_dim=40))model.add(Activation(‘sigmoid’))model.add(Dense(12, input_dim=30))model.add(Activation(‘softmax’))model.compile(loss=‘categorical_crossentropy’, optimizer=‘rmsprop’, metrics=[‘accuracy’])print “start to load data”records=open(‘./record_15M_3500000.txt’,‘r’)X_train=[]y_train=[]line_pointer=-1for line in records.readlines(): line_pointer=line_pointer + 1 X_train.append([]) y_train.append([]) values=line.split(‘,’) if(line_pointer＜=14): line_length=line_pointer else: line_length=14 the_time=time.strptime(str(values[0]),”%Y-%m-%d %H:%M:%S”) X_train[line_pointer].append(float(time.strftime(“%H”,the_time))) X_train[line_pointer].append(float(time.strftime(“%m”,the_time))) X_train[line_pointer].append(float(time.strftime(“%w”,the_time))) X_train[line_pointer].append(float(values[1])) X_train[line_pointer].append(float(values[2])) X_train[line_pointer].append(float(values[3])) X_train[line_pointer].append(float(values[4])) for j in range(line_length): X_train[line_pointer].append(X_train[line_pointer-1][j*4+4]) X_train[line_pointer].append(X_train[line_pointer-1][j*4+5]) X_train[line_pointer].append(X_train[line_pointer-1][j*4+6]) X_train[line_pointer].append(X_train[line_pointer-1][j*4+7]) for i in range(63-len(X_train[line_pointer])): X_train[line_pointer].append(0) for k in range(12): y_train[line_pointer].append(0) y_train[line_pointer][int(values[8])]=1 if line_pointer%10000==0: print line_pointerprint “start training”#print X_train[0]#print X_train[100]model.fit(X_train, y_train, nb_epoch=20, batch_size=2000, validation_split=0.15)json_string=model.to_json()open(‘./my_model_architecture_1.json’, ‘w’).write(json_string)model.save_weights(‘./my_model_weights_1.h5’)pre=model.predict(X_train)predicted=np.zeros((12,12))for i in range(len(pre)): max_train=0 max_pre=0 for m in range(12): if(y_train[i][m]==1): max_train=m for m in range(12): if(pre[i][max_pre] ＜ pre[i][m]): max_pre=m predicted[max_train][max_pre]=predicted[max_train][max_pre] + 1for i in range(12): for j in range(12): print predicted[i][j], print ””
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这段代码只执行了20轮，执行后会输出下面的内容。
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Train on 2975000 samples, validate on 525000 samplesEpoch 1/202975000/2975000 [==============================]-14s-loss: 1.8795-acc: 0.3742-val_loss:1.6941-val_acc: 0.4185Epoch 2/202975000/2975000 [==============================]-14s-loss: 1.8547-acc: 0.3751-val_loss:1.6928-val_acc: 0.4185Epoch 3/202975000/2975000 [==============================]-14s-loss: 1.8531-acc: 0.3751-val_loss:1.6813-val_acc: 0.4185Epoch 4/202975000/2975000 [==============================]-14s-loss: 1.8504-acc: 0.3751-val_loss:1.6750-val_acc: 0.4185Epoch 5/202975000/2975000 [==============================]-14s-loss: 1.8476-acc: 0.3750-val_loss:1.6702-val_acc: 0.4185Epoch 6/202975000/2975000 [==============================]-14s-loss: 1.8458-acc: 0.3750-val_loss:1.6696-val_acc: 0.4180Epoch 7/202975000/2975000 [==============================]-14s-loss: 1.8448-acc: 0.3751-val_loss:1.6637-val_acc: 0.4187Epoch 8/202975000/2975000 [==============================]-14s-loss: 1.8439-acc: 0.3752-val_loss:1.6783-val_acc: 0.4174Epoch 9/202975000/2975000 [==============================]-14s-loss: 1.8428-acc: 0.3752-val_loss:1.6555-val_acc: 0.4186Epoch 10/202975000/2975000 [==============================]-14s-loss: 1.8415-acc: 0.3752-val_loss:1.6528-val_acc: 0.4186Epoch 11/202975000/2975000 [==============================]-14s-loss: 1.8405-acc: 0.3752-val_loss:1.6534-val_acc: 0.4185Epoch 12/202975000/2975000 [==============================]-14s-loss: 1.8398-acc: 0.3753-val_loss:1.6525-val_acc: 0.4185Epoch 13/202975000/2975000 [==============================]-14s-loss: 1.8391-acc: 0.3753-val_loss:1.6504-val_acc: 0.4186Epoch 14/202975000/2975000 [==============================]-14s-loss: 1.8384-acc: 0.3754-val_loss:1.6573-val_acc: 0.4186Epoch 15/202975000/2975000 [==============================]-14s-loss: 1.8376-acc: 0.3754-val_loss:1.6475-val_acc: 0.4185Epoch 16/202975000/2975000 [==============================]-14s-loss: 1.8366-acc: 0.3754-val_loss:1.6498-val_acc: 0.4186Epoch 17/202975000/2975000 [==============================]-14s-loss: 1.8348-acc: 0.3754-val_loss:1.6688-val_acc: 0.4168Epoch 18/202975000/2975000 [==============================]-14s-loss: 1.8321-acc: 0.3756-val_loss:1.6759-val_acc: 0.4167Epoch 19/202975000/2975000 [==============================]-13s-loss: 1.8280-acc: 0.3760-val_loss:1.6991-val_acc: 0.4127Epoch 20/202975000/2975000 [==============================]-13s-loss: 1.8239-acc: 0.3762-val_loss:1.7493-val_acc: 0.407727434.0 144944.0 0.0 0.0 0.0 197.0 0.0 0.0 0.0 0.0 0.0 0.028574.0 1305778.0 0.0 0.0 9.0 1268.0 0.0 0.0 0.0 0.0 0.0 0.01115.0 5092.0 0.0 0.0 0.0 5.0 0.0 0.0 0.0 0.0 0.0 0.01067.0 5173.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.017999.0 533833.0 0.0 0.0 5.0 1337.0 0.0 0.0 0.0 0.0 0.0 0.017493.0 528829.0 0.0 0.0 36.0 1471.0 0.0 0.0 0.0 0.0 0.0 0.013725.0 205288.0 0.0 0.0 0.0 728.0 0.0 0.0 0.0 0.0 0.0 0.013521.0 202727.0 0.0 0.0 10.0 713.0 0.0 0.0 0.0 0.0 0.0 0.015244.0 135881.0 0.0 0.0 0.0 375.0 0.0 0.0 0.0 0.0 0.0 0.014773.0 134573.0 0.0 0.0 0.0 416.0 0.0 0.0 0.0 0.0 0.0 0.08522.0 61368.0 0.0 0.0 0.0 125.0 0.0 0.0 0.0 0.0 0.0 0.08434.0 61777.0 0.0 0.0 0.0 141.0 0.0 0.0 0.0 0.0 0.0 0.0
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为了展示得清晰一些，我们把这个表格放到Excel里面去，如图18-22所示。
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