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Trading Strategy Using Keras/Tensorflow LSTM and Custom Loss Function

License: Apache License 2.0

Python 99.97% Batchfile 0.03%

deeptraderiskesti_txf's Introduction

DeepTradeRiskEsti_TXF

Trading Strategy Using Keras/Tensorflow LSTM and Custom Loss Function

使用LSTM來做台指期預測，自定義損失函數

損失函數概念參考自 https://github.com/happynoom/DeepTrade

用意在最大化收益率。

但因為原始的概念是用在操作股票，reLU激勵之後只會有正數，如果用在台指期上就變成只會做多了 因此在keras 的activations 下面自己新增了一個 relu_inverse 函數，截斷x為正的情形，變成只輸出負數 (請參考__keras_modifications__) ,修改位置位於 \Anaconda35\Lib\site-packages\keras

模型訓練： start_train.bat (可修改裡面參數，0 為model0，只輸出做多訊號，1 為 model1，只輸出做空訊號 ) 模型驗證： start_predict.bat ，因為train完模型輸出名稱一律叫做output.30，要自己改名成model0_positive 或是 model1_negative

dataset download: https://drive.google.com/open?id=0B9JaGZQ0H8ksNWNDQ1pkSzhhc1E

下載完後放在 datasetLoader 目錄下

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