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Update model_predictor.py
Browse files- model_predictor.py +833 -0
model_predictor.py
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| 1 |
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# -*- coding: utf-8 -*-
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"""model_predictor.ipynb
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Automatically generated by Colab.
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Original file is located at
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https://colab.research.google.com/drive/1pIuCvafVPCRzTLojc-rZH_MFKsxMam2L
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"""
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# model_predictor.py
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# 深度學習股價預測模型 - 適用於 HUGGING_FACE_V4.2
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import os
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import numpy as np
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import pandas as pd
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import yfinance as yf
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from datetime import datetime, timedelta
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import warnings
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warnings.filterwarnings('ignore')
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# TensorFlow/Keras 相關
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try:
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import tensorflow as tf
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from tensorflow.keras.models import Sequential, load_model
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from tensorflow.keras.layers import LSTM, Dense, Dropout, BatchNormalization, LeakyReLU
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from tensorflow.keras.optimizers import Adam
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from tensorflow.keras.callbacks import EarlyStopping, ReduceLROnPlateau
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from tensorflow.keras.regularizers import l2
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| 29 |
+
from sklearn.preprocessing import MinMaxScaler, RobustScaler
|
| 30 |
+
from sklearn.model_selection import train_test_split
|
| 31 |
+
from sklearn.metrics import mean_squared_error, mean_absolute_error, r2_score
|
| 32 |
+
TENSORFLOW_AVAILABLE = True
|
| 33 |
+
except ImportError:
|
| 34 |
+
TENSORFLOW_AVAILABLE = False
|
| 35 |
+
|
| 36 |
+
# 設定隨機種子以確保結果可重現
|
| 37 |
+
if TENSORFLOW_AVAILABLE:
|
| 38 |
+
tf.random.set_seed(42)
|
| 39 |
+
np.random.seed(42)
|
| 40 |
+
|
| 41 |
+
class StockPredictor:
|
| 42 |
+
"""股價預測模型類別"""
|
| 43 |
+
|
| 44 |
+
def __init__(self):
|
| 45 |
+
self.model = None
|
| 46 |
+
self.feature_scaler = None
|
| 47 |
+
self.target_scalers = {} # 為每個目標變數建立獨立的縮放器
|
| 48 |
+
self.feature_columns = [
|
| 49 |
+
'volume', 'rate', 'DJI', 'NAS', 'SOX', 'S&P_500', 'TSM_ADR',
|
| 50 |
+
'RSI', 'MACD', 'MACDsign', 'MACDvol', 'K', 'D',
|
| 51 |
+
'+DI', '-DI', 'ADX', 'business_climate', 'PMI'
|
| 52 |
+
]
|
| 53 |
+
self.target_columns = [
|
| 54 |
+
'close_1d', 'close_5d', 'close_10d', 'close_20d', 'close_60d'
|
| 55 |
+
]
|
| 56 |
+
self.sequence_length = 60 # 使用60天的歷史數據
|
| 57 |
+
self.model_path = 'lstm_stock_model.h5'
|
| 58 |
+
self.scalers_path = 'scalers.npz'
|
| 59 |
+
|
| 60 |
+
def fetch_yfinance_data(self, start_date='2022-09-12', end_date='2025-09-08'):
|
| 61 |
+
"""從yfinance獲取股市數據"""
|
| 62 |
+
try:
|
| 63 |
+
# 台積電 (2330.TW) 作為主要目標股票
|
| 64 |
+
taiwan_stock = yf.Ticker('2314.TW')
|
| 65 |
+
taiwan_data = taiwan_stock.history(start=start_date, end=end_date)
|
| 66 |
+
|
| 67 |
+
if taiwan_data.empty:
|
| 68 |
+
print("警告: 無法獲取台灣股市數據")
|
| 69 |
+
return None
|
| 70 |
+
|
| 71 |
+
# 獲取美國市場數據
|
| 72 |
+
symbols = {
|
| 73 |
+
'DJI': '^DJI',
|
| 74 |
+
'NAS': '^IXIC',
|
| 75 |
+
'SOX': '^SOX',
|
| 76 |
+
'S&P_500': '^GSPC',
|
| 77 |
+
'TSM_ADR': 'TSM'
|
| 78 |
+
}
|
| 79 |
+
|
| 80 |
+
us_data = {}
|
| 81 |
+
for name, symbol in symbols.items():
|
| 82 |
+
try:
|
| 83 |
+
ticker = yf.Ticker(symbol)
|
| 84 |
+
data = ticker.history(start=start_date, end=end_date)
|
| 85 |
+
if not data.empty:
|
| 86 |
+
us_data[name] = data['Close']
|
| 87 |
+
else:
|
| 88 |
+
print(f"警告: 無法獲取 {name} 數據")
|
| 89 |
+
except Exception as e:
|
| 90 |
+
print(f"獲取 {name} 數據時發生錯誤: {e}")
|
| 91 |
+
|
| 92 |
+
# 合併數據
|
| 93 |
+
main_df = pd.DataFrame(index=taiwan_data.index)
|
| 94 |
+
main_df['close'] = taiwan_data['Close']
|
| 95 |
+
main_df['volume'] = taiwan_data['Volume']
|
| 96 |
+
|
| 97 |
+
# 計算報酬率
|
| 98 |
+
main_df['rate'] = main_df['close'].pct_change()
|
| 99 |
+
|
| 100 |
+
# 添加美國市場數據
|
| 101 |
+
for name, data in us_data.items():
|
| 102 |
+
# 重新索引以匹配台灣股市交易日
|
| 103 |
+
main_df[name] = data.reindex(main_df.index, method='ffill')
|
| 104 |
+
|
| 105 |
+
return main_df
|
| 106 |
+
|
| 107 |
+
except Exception as e:
|
| 108 |
+
print(f"獲取yfinance數據時發生錯誤: {e}")
|
| 109 |
+
return None
|
| 110 |
+
|
| 111 |
+
def load_external_data(self):
|
| 112 |
+
"""載入外部經濟數據"""
|
| 113 |
+
business_climate = pd.DataFrame()
|
| 114 |
+
pmi_data = pd.DataFrame()
|
| 115 |
+
|
| 116 |
+
# 載入景氣燈號數據
|
| 117 |
+
try:
|
| 118 |
+
if os.path.exists('business_climate.csv'):
|
| 119 |
+
business_climate = pd.read_csv('business_climate.csv')
|
| 120 |
+
business_climate['Date'] = pd.to_datetime(business_climate['Date'])
|
| 121 |
+
business_climate.set_index('Date', inplace=True)
|
| 122 |
+
print("成功載入景氣燈號數據")
|
| 123 |
+
except Exception as e:
|
| 124 |
+
print(f"載入景氣燈號數據失敗: {e}")
|
| 125 |
+
|
| 126 |
+
# 載入PMI數據
|
| 127 |
+
try:
|
| 128 |
+
if os.path.exists('taiwan_pmi.csv'):
|
| 129 |
+
pmi_data = pd.read_csv('taiwan_pmi.csv')
|
| 130 |
+
pmi_data['Date'] = pd.to_datetime(pmi_data['Date'])
|
| 131 |
+
pmi_data.set_index('Date', inplace=True)
|
| 132 |
+
print("成功載入PMI數據")
|
| 133 |
+
except Exception as e:
|
| 134 |
+
print(f"載入PMI數據失敗: {e}")
|
| 135 |
+
|
| 136 |
+
return business_climate, pmi_data
|
| 137 |
+
|
| 138 |
+
def calculate_technical_indicators(self, df):
|
| 139 |
+
"""計算技術指標"""
|
| 140 |
+
try:
|
| 141 |
+
# RSI
|
| 142 |
+
delta = df['close'].diff()
|
| 143 |
+
gain = (delta.where(delta > 0, 0)).rolling(window=14).mean()
|
| 144 |
+
loss = (-delta.where(delta < 0, 0)).rolling(window=14).mean()
|
| 145 |
+
rs = gain / loss
|
| 146 |
+
df['RSI'] = 100 - (100 / (1 + rs))
|
| 147 |
+
|
| 148 |
+
# MACD
|
| 149 |
+
exp1 = df['close'].ewm(span=12).mean()
|
| 150 |
+
exp2 = df['close'].ewm(span=26).mean()
|
| 151 |
+
df['MACD'] = exp1 - exp2
|
| 152 |
+
df['MACDsign'] = df['MACD'].ewm(span=9).mean()
|
| 153 |
+
df['MACDvol'] = df['MACD'] - df['MACDsign']
|
| 154 |
+
|
| 155 |
+
# KD指標
|
| 156 |
+
low_min = df['close'].rolling(window=9).min()
|
| 157 |
+
high_max = df['close'].rolling(window=9).max()
|
| 158 |
+
rsv = (df['close'] - low_min) / (high_max - low_min) * 100
|
| 159 |
+
df['K'] = rsv.ewm(com=2).mean()
|
| 160 |
+
df['D'] = df['K'].ewm(com=2).mean()
|
| 161 |
+
|
| 162 |
+
# DMI指標 (簡化版本,使用close價格)
|
| 163 |
+
df['high_low_diff'] = df['close'].rolling(2).max() - df['close'].rolling(2).min()
|
| 164 |
+
df['+DI'] = df['high_low_diff'].rolling(14).mean()
|
| 165 |
+
df['-DI'] = df['high_low_diff'].rolling(14).std()
|
| 166 |
+
df['ADX'] = (df['+DI'] + df['-DI']).rolling(14).mean()
|
| 167 |
+
|
| 168 |
+
# 清理臨時欄位
|
| 169 |
+
df.drop(['high_low_diff'], axis=1, inplace=True)
|
| 170 |
+
|
| 171 |
+
return df
|
| 172 |
+
|
| 173 |
+
except Exception as e:
|
| 174 |
+
print(f"計算技術指標時發生錯誤: {e}")
|
| 175 |
+
return df
|
| 176 |
+
|
| 177 |
+
def create_sample_data(self, days=500):
|
| 178 |
+
"""創建示例數據用於訓練(當CSV載入失敗時的後備方案)"""
|
| 179 |
+
try:
|
| 180 |
+
print("創建示例數據進行訓練...")
|
| 181 |
+
|
| 182 |
+
# 獲取台積電數據作為基礎
|
| 183 |
+
taiwan_data = self.fetch_yfinance_data(
|
| 184 |
+
start_date=(datetime.now() - timedelta(days=days)).strftime('%Y-%m-%d'),
|
| 185 |
+
end_date=datetime.now().strftime('%Y-%m-%d')
|
| 186 |
+
)
|
| 187 |
+
|
| 188 |
+
if taiwan_data is None or taiwan_data.empty:
|
| 189 |
+
print("無法獲取示例數據")
|
| 190 |
+
return None
|
| 191 |
+
|
| 192 |
+
# 確保有基本的close和volume數據
|
| 193 |
+
if 'close' not in taiwan_data.columns or 'volume' not in taiwan_data.columns:
|
| 194 |
+
print("示例數據缺少必要欄位")
|
| 195 |
+
return None
|
| 196 |
+
|
| 197 |
+
# 計算技術指標
|
| 198 |
+
taiwan_data = self.calculate_technical_indicators(taiwan_data)
|
| 199 |
+
|
| 200 |
+
# 添加經濟指標(使用固定值)
|
| 201 |
+
taiwan_data['business_climate'] = 25.0
|
| 202 |
+
taiwan_data['PMI'] = 50.0
|
| 203 |
+
|
| 204 |
+
# 確保所有特徵欄位存在
|
| 205 |
+
for feature in self.feature_columns:
|
| 206 |
+
if feature not in taiwan_data.columns:
|
| 207 |
+
taiwan_data[feature] = 0.0
|
| 208 |
+
|
| 209 |
+
# 計算未來價格目標
|
| 210 |
+
for days in [1, 5, 10, 20, 60]:
|
| 211 |
+
taiwan_data[f'close_{days}d'] = taiwan_data['close'].shift(-days)
|
| 212 |
+
|
| 213 |
+
# 移除缺失值
|
| 214 |
+
taiwan_data = taiwan_data.dropna()
|
| 215 |
+
|
| 216 |
+
if len(taiwan_data) < 100:
|
| 217 |
+
print("示例數據不足")
|
| 218 |
+
return None
|
| 219 |
+
|
| 220 |
+
print(f"成功創建示例數據: {taiwan_data.shape}")
|
| 221 |
+
return taiwan_data
|
| 222 |
+
|
| 223 |
+
except Exception as e:
|
| 224 |
+
print(f"創建示例數據時發生錯誤: {e}")
|
| 225 |
+
return None
|
| 226 |
+
"""調試CSV檔案結構"""
|
| 227 |
+
try:
|
| 228 |
+
print(f"\n=== 調試CSV檔案: {csv_path} ===")
|
| 229 |
+
|
| 230 |
+
# 讀取前幾行看看結構
|
| 231 |
+
with open(csv_path, 'r', encoding='utf-8') as f:
|
| 232 |
+
first_lines = [f.readline().strip() for _ in range(5)]
|
| 233 |
+
|
| 234 |
+
print("前5行原始內容:")
|
| 235 |
+
for i, line in enumerate(first_lines):
|
| 236 |
+
print(f"第{i+1}行: {line[:100]}...") # 只顯示前100個字符
|
| 237 |
+
|
| 238 |
+
# 嘗試不同的編碼和分隔符
|
| 239 |
+
encodings = ['utf-8', 'utf-8-sig', 'latin-1', 'cp1252']
|
| 240 |
+
separators = [',', ';', '\t', '|']
|
| 241 |
+
|
| 242 |
+
for encoding in encodings:
|
| 243 |
+
for sep in separators:
|
| 244 |
+
try:
|
| 245 |
+
df_test = pd.read_csv(csv_path, encoding=encoding, sep=sep, nrows=5)
|
| 246 |
+
if len(df_test.columns) > 5: # 如果有合理的欄位數量
|
| 247 |
+
print(f"\n成功讀取 (編碼: {encoding}, 分隔符: '{sep}'):")
|
| 248 |
+
print(f"欄位: {list(df_test.columns)}")
|
| 249 |
+
print(f"數據形狀: {df_test.shape}")
|
| 250 |
+
return encoding, sep
|
| 251 |
+
except:
|
| 252 |
+
continue
|
| 253 |
+
|
| 254 |
+
print("無法找到合適的讀取參數")
|
| 255 |
+
return None, None
|
| 256 |
+
|
| 257 |
+
except Exception as e:
|
| 258 |
+
print(f"調試CSV檔案時發生錯誤: {e}")
|
| 259 |
+
return None, None
|
| 260 |
+
|
| 261 |
+
def prepare_training_data(self, csv_path=None):
|
| 262 |
+
"""準備訓練數據"""
|
| 263 |
+
try:
|
| 264 |
+
if csv_path and os.path.exists(csv_path):
|
| 265 |
+
# 先調試CSV檔案
|
| 266 |
+
encoding, separator = self.debug_csv_file(csv_path)
|
| 267 |
+
|
| 268 |
+
# 如果提供了CSV檔案,直接載入
|
| 269 |
+
print(f"\n從 {csv_path} 載入數據...")
|
| 270 |
+
|
| 271 |
+
# 使用找到的最佳參數讀取
|
| 272 |
+
read_params = {}
|
| 273 |
+
if encoding:
|
| 274 |
+
read_params['encoding'] = encoding
|
| 275 |
+
if separator and separator != ',':
|
| 276 |
+
read_params['sep'] = separator
|
| 277 |
+
|
| 278 |
+
df = pd.read_csv(csv_path, **read_params)
|
| 279 |
+
|
| 280 |
+
# 檢查CSV檔案結構
|
| 281 |
+
print(f"CSV檔案欄位: {list(df.columns)}")
|
| 282 |
+
print(f"數據形狀: {df.shape}")
|
| 283 |
+
print(f"前5行數據:")
|
| 284 |
+
print(df.head())
|
| 285 |
+
|
| 286 |
+
# 處理日期欄位
|
| 287 |
+
date_columns = ['Date', 'date', 'DATE', 'Unnamed: 0']
|
| 288 |
+
date_col = None
|
| 289 |
+
for col in date_columns:
|
| 290 |
+
if col in df.columns:
|
| 291 |
+
date_col = col
|
| 292 |
+
break
|
| 293 |
+
|
| 294 |
+
if date_col:
|
| 295 |
+
print(f"使用日期欄位: {date_col}")
|
| 296 |
+
df[date_col] = pd.to_datetime(df[date_col])
|
| 297 |
+
df.set_index(date_col, inplace=True)
|
| 298 |
+
elif df.index.dtype == 'object':
|
| 299 |
+
df.index = pd.to_datetime(df.index)
|
| 300 |
+
|
| 301 |
+
print(f"處理日期後的數據形狀: {df.shape}")
|
| 302 |
+
print(f"日期範圍: {df.index.min()} 到 {df.index.max()}")
|
| 303 |
+
|
| 304 |
+
else:
|
| 305 |
+
# 從yfinance和外部檔案獲取數據
|
| 306 |
+
print("從yfinance獲取數據...")
|
| 307 |
+
df = self.fetch_yfinance_data()
|
| 308 |
+
if df is None:
|
| 309 |
+
return None, None, None, None
|
| 310 |
+
|
| 311 |
+
# 計算技術指標
|
| 312 |
+
df = self.calculate_technical_indicators(df)
|
| 313 |
+
|
| 314 |
+
# 載入外部經濟數據
|
| 315 |
+
business_climate, pmi_data = self.load_external_data()
|
| 316 |
+
|
| 317 |
+
# 合併外部數據
|
| 318 |
+
if not business_climate.empty:
|
| 319 |
+
df['business_climate'] = business_climate['Index'].reindex(
|
| 320 |
+
df.index, method='ffill'
|
| 321 |
+
)
|
| 322 |
+
else:
|
| 323 |
+
df['business_climate'] = 25.0 # 預設值
|
| 324 |
+
|
| 325 |
+
if not pmi_data.empty:
|
| 326 |
+
df['PMI'] = pmi_data['Index'].reindex(df.index, method='ffill')
|
| 327 |
+
else:
|
| 328 |
+
df['PMI'] = 50.0 # 預設值
|
| 329 |
+
|
| 330 |
+
# 檢查並映射欄位名稱
|
| 331 |
+
column_mapping = {
|
| 332 |
+
# 可能的volume欄位名稱
|
| 333 |
+
'Volume': 'volume', 'vol': 'volume', 'VOLUME': 'volume',
|
| 334 |
+
# 可能的close欄位名稱
|
| 335 |
+
'Close': 'close', 'close_price': 'close', 'CLOSE': 'close', 'price': 'close',
|
| 336 |
+
# 可能的rate欄位名稱
|
| 337 |
+
'Rate': 'rate', 'return': 'rate', 'pct_change': 'rate', 'RATE': 'rate',
|
| 338 |
+
# 美股指數
|
| 339 |
+
'DJI': 'DJI', 'DOW': 'DJI', 'dow': 'DJI',
|
| 340 |
+
'NAS': 'NAS', 'NASDAQ': 'NAS', 'nasdaq': 'NAS',
|
| 341 |
+
'SOX': 'SOX', 'sox': 'SOX',
|
| 342 |
+
'S&P_500': 'S&P_500', 'SP500': 'S&P_500', 'sp500': 'S&P_500',
|
| 343 |
+
'TSM_ADR': 'TSM_ADR', 'TSM': 'TSM_ADR', 'tsm': 'TSM_ADR',
|
| 344 |
+
# 技術指標
|
| 345 |
+
'rsi': 'RSI', 'macd': 'MACD', 'macdsign': 'MACDsign', 'macdvol': 'MACDvol',
|
| 346 |
+
'k': 'K', 'd': 'D', '+di': '+DI', '-di': '-DI', 'adx': 'ADX',
|
| 347 |
+
# 經濟指標
|
| 348 |
+
'Business_Climate': 'business_climate', 'business_climate_index': 'business_climate',
|
| 349 |
+
'pmi': 'PMI', 'PMI_Index': 'PMI'
|
| 350 |
+
}
|
| 351 |
+
|
| 352 |
+
# 應用欄位映射
|
| 353 |
+
df = df.rename(columns=column_mapping)
|
| 354 |
+
print(f"映射後的欄位: {list(df.columns)}")
|
| 355 |
+
|
| 356 |
+
# 如果沒有close欄位但有其他價格欄位,嘗試使用
|
| 357 |
+
if 'close' not in df.columns:
|
| 358 |
+
price_candidates = ['Close', 'Price', 'CLOSE', 'close_price']
|
| 359 |
+
for candidate in price_candidates:
|
| 360 |
+
if candidate in df.columns:
|
| 361 |
+
df['close'] = df[candidate]
|
| 362 |
+
print(f"使用 {candidate} 作為 close 價格")
|
| 363 |
+
break
|
| 364 |
+
|
| 365 |
+
# 計算missing的技術指標(如果數據中沒有)
|
| 366 |
+
if 'close' in df.columns:
|
| 367 |
+
if 'rate' not in df.columns:
|
| 368 |
+
df['rate'] = df['close'].pct_change()
|
| 369 |
+
print("計算了price return rate")
|
| 370 |
+
|
| 371 |
+
# 如果缺少技術指標,計算它們
|
| 372 |
+
if 'RSI' not in df.columns:
|
| 373 |
+
df = self.calculate_technical_indicators(df)
|
| 374 |
+
print("計算了技術指標")
|
| 375 |
+
|
| 376 |
+
# 計算未來價格目標
|
| 377 |
+
if 'close' in df.columns:
|
| 378 |
+
for days in [1, 5, 10, 20, 60]:
|
| 379 |
+
df[f'close_{days}d'] = df['close'].shift(-days)
|
| 380 |
+
print("計算了未來價格目標")
|
| 381 |
+
else:
|
| 382 |
+
print("錯誤: 找不到價格數據,無法計算目標變數")
|
| 383 |
+
return None, None, None, None
|
| 384 |
+
|
| 385 |
+
print(f"計算目標變數後的數據形狀: {df.shape}")
|
| 386 |
+
|
| 387 |
+
# 移除缺失值
|
| 388 |
+
original_len = len(df)
|
| 389 |
+
df = df.dropna()
|
| 390 |
+
print(f"移除缺失值: {original_len} -> {len(df)} 行")
|
| 391 |
+
|
| 392 |
+
if df.empty:
|
| 393 |
+
print("錯誤: 處理後的數據集為空")
|
| 394 |
+
print("可能原因:")
|
| 395 |
+
print("1. 所有數據都有缺失值")
|
| 396 |
+
print("2. 日期格式不正確")
|
| 397 |
+
print("3. 欄位名稱不匹配")
|
| 398 |
+
return None, None, None, None
|
| 399 |
+
|
| 400 |
+
# 確保所有需要的欄位都存在
|
| 401 |
+
missing_features = set(self.feature_columns) - set(df.columns)
|
| 402 |
+
if missing_features:
|
| 403 |
+
print(f"警告: 缺少特徵欄位: {missing_features}")
|
| 404 |
+
# 為缺少的特徵填充預設值
|
| 405 |
+
for feature in missing_features:
|
| 406 |
+
if feature == 'business_climate':
|
| 407 |
+
df[feature] = 25.0 # 景氣燈號預設值
|
| 408 |
+
elif feature == 'PMI':
|
| 409 |
+
df[feature] = 50.0 # PMI預設值
|
| 410 |
+
else:
|
| 411 |
+
df[feature] = 0.0
|
| 412 |
+
print("已填充缺失的特徵欄位")
|
| 413 |
+
|
| 414 |
+
missing_targets = set(self.target_columns) - set(df.columns)
|
| 415 |
+
if missing_targets:
|
| 416 |
+
print(f"錯誤: 缺少目標欄位: {missing_targets}")
|
| 417 |
+
return None, None, None, None
|
| 418 |
+
|
| 419 |
+
# 提取特徵和目標變數
|
| 420 |
+
X = df[self.feature_columns].values
|
| 421 |
+
y = df[self.target_columns].values
|
| 422 |
+
|
| 423 |
+
print(f"數據形狀: X={X.shape}, y={y.shape}")
|
| 424 |
+
print(f"數據日期範圍: {df.index.min()} 到 {df.index.max()}")
|
| 425 |
+
|
| 426 |
+
return X, y, df.index, df
|
| 427 |
+
|
| 428 |
+
except Exception as e:
|
| 429 |
+
print(f"準備訓練數據時發生錯誤: {e}")
|
| 430 |
+
return None, None, None, None
|
| 431 |
+
|
| 432 |
+
def create_sequences(self, X, y):
|
| 433 |
+
"""創建時間序列序列"""
|
| 434 |
+
X_seq, y_seq = [], []
|
| 435 |
+
|
| 436 |
+
for i in range(self.sequence_length, len(X)):
|
| 437 |
+
X_seq.append(X[i-self.sequence_length:i])
|
| 438 |
+
y_seq.append(y[i])
|
| 439 |
+
|
| 440 |
+
return np.array(X_seq), np.array(y_seq)
|
| 441 |
+
|
| 442 |
+
def build_model(self, input_shape, output_shape):
|
| 443 |
+
"""建構LSTM模型"""
|
| 444 |
+
if not TENSORFLOW_AVAILABLE:
|
| 445 |
+
raise ImportError("TensorFlow未安裝,無法建立模型")
|
| 446 |
+
|
| 447 |
+
model = Sequential([
|
| 448 |
+
# 第一層LSTM
|
| 449 |
+
LSTM(128, return_sequences=True, input_shape=input_shape,
|
| 450 |
+
kernel_regularizer=l2(0.001)),
|
| 451 |
+
BatchNormalization(),
|
| 452 |
+
Dropout(0.2),
|
| 453 |
+
|
| 454 |
+
# 第二層LSTM
|
| 455 |
+
LSTM(64, return_sequences=True, kernel_regularizer=l2(0.001)),
|
| 456 |
+
BatchNormalization(),
|
| 457 |
+
Dropout(0.2),
|
| 458 |
+
|
| 459 |
+
# 第三層LSTM
|
| 460 |
+
LSTM(32, return_sequences=False, kernel_regularizer=l2(0.001)),
|
| 461 |
+
BatchNormalization(),
|
| 462 |
+
Dropout(0.2),
|
| 463 |
+
|
| 464 |
+
# 全連接層
|
| 465 |
+
Dense(64, kernel_regularizer=l2(0.001)),
|
| 466 |
+
LeakyReLU(alpha=0.1),
|
| 467 |
+
BatchNormalization(),
|
| 468 |
+
Dropout(0.3),
|
| 469 |
+
|
| 470 |
+
Dense(32, kernel_regularizer=l2(0.001)),
|
| 471 |
+
LeakyReLU(alpha=0.1),
|
| 472 |
+
Dropout(0.2),
|
| 473 |
+
|
| 474 |
+
# 輸出層
|
| 475 |
+
Dense(output_shape, activation='linear')
|
| 476 |
+
])
|
| 477 |
+
|
| 478 |
+
# 編譯模型
|
| 479 |
+
optimizer = Adam(learning_rate=0.001, clipnorm=1.0)
|
| 480 |
+
model.compile(
|
| 481 |
+
optimizer=optimizer,
|
| 482 |
+
loss='huber', # 對異常值較不敏感
|
| 483 |
+
metrics=['mse', 'mae']
|
| 484 |
+
)
|
| 485 |
+
|
| 486 |
+
return model
|
| 487 |
+
|
| 488 |
+
def train_model(self, csv_path=None):
|
| 489 |
+
"""訓練模型"""
|
| 490 |
+
if not TENSORFLOW_AVAILABLE:
|
| 491 |
+
print("錯誤: TensorFlow未安裝,無法訓練模型")
|
| 492 |
+
return False
|
| 493 |
+
|
| 494 |
+
print("開始準備訓練數據...")
|
| 495 |
+
X, y, dates, df = self.prepare_training_data(csv_path)
|
| 496 |
+
|
| 497 |
+
# 如果CSV載入失敗,嘗試使用示例數據
|
| 498 |
+
if (X is None or y is None) and csv_path:
|
| 499 |
+
print("CSV載入失敗,嘗試創建示例數據...")
|
| 500 |
+
df = self.create_sample_data()
|
| 501 |
+
if df is not None:
|
| 502 |
+
X = df[self.feature_columns].values
|
| 503 |
+
y = df[self.target_columns].values
|
| 504 |
+
dates = df.index
|
| 505 |
+
print("使用示例數據繼續訓練")
|
| 506 |
+
|
| 507 |
+
if X is None or y is None:
|
| 508 |
+
print("錯誤: 無法準備訓練數據")
|
| 509 |
+
return False
|
| 510 |
+
|
| 511 |
+
# 檢查數據質量
|
| 512 |
+
if len(X) < 100:
|
| 513 |
+
print(f"警告: 訓練數據過少 ({len(X)} 樣本),建議至少100個樣本")
|
| 514 |
+
return False
|
| 515 |
+
|
| 516 |
+
print("正在縮放數據...")
|
| 517 |
+
# 縮放特徵
|
| 518 |
+
self.feature_scaler = RobustScaler()
|
| 519 |
+
X_scaled = self.feature_scaler.fit_transform(X)
|
| 520 |
+
|
| 521 |
+
# 為每個目標變數建立獨立的縮放器
|
| 522 |
+
y_scaled = np.zeros_like(y)
|
| 523 |
+
for i, target in enumerate(self.target_columns):
|
| 524 |
+
scaler = RobustScaler()
|
| 525 |
+
y_scaled[:, i:i+1] = scaler.fit_transform(y[:, i:i+1])
|
| 526 |
+
self.target_scalers[target] = scaler
|
| 527 |
+
|
| 528 |
+
print("正在創建時間序列...")
|
| 529 |
+
X_seq, y_seq = self.create_sequences(X_scaled, y_scaled)
|
| 530 |
+
|
| 531 |
+
if len(X_seq) == 0:
|
| 532 |
+
print(f"錯誤: 序列長度不足,需要至少{self.sequence_length + 1}個數據點")
|
| 533 |
+
return False
|
| 534 |
+
|
| 535 |
+
print(f"序列形狀: X_seq={X_seq.shape}, y_seq={y_seq.shape}")
|
| 536 |
+
|
| 537 |
+
# 分割訓練和驗證集
|
| 538 |
+
split_idx = int(len(X_seq) * 0.8) # 使用時間順序分割而不是隨機分割
|
| 539 |
+
X_train, X_val = X_seq[:split_idx], X_seq[split_idx:]
|
| 540 |
+
y_train, y_val = y_seq[:split_idx], y_seq[split_idx:]
|
| 541 |
+
|
| 542 |
+
print(f"訓練集大小: {X_train.shape}, 驗證集大小: {X_val.shape}")
|
| 543 |
+
|
| 544 |
+
# 建立模型
|
| 545 |
+
print("正在建立模型...")
|
| 546 |
+
input_shape = (X_seq.shape[1], X_seq.shape[2])
|
| 547 |
+
output_shape = y_seq.shape[1]
|
| 548 |
+
|
| 549 |
+
self.model = self.build_model(input_shape, output_shape)
|
| 550 |
+
print(f"模型架構: 輸入={input_shape}, 輸出={output_shape}")
|
| 551 |
+
|
| 552 |
+
# 設定回調函數
|
| 553 |
+
callbacks = [
|
| 554 |
+
EarlyStopping(
|
| 555 |
+
monitor='val_loss',
|
| 556 |
+
patience=15,
|
| 557 |
+
restore_best_weights=True,
|
| 558 |
+
verbose=1
|
| 559 |
+
),
|
| 560 |
+
ReduceLROnPlateau(
|
| 561 |
+
monitor='val_loss',
|
| 562 |
+
factor=0.5,
|
| 563 |
+
patience=8,
|
| 564 |
+
min_lr=1e-6,
|
| 565 |
+
verbose=1
|
| 566 |
+
)
|
| 567 |
+
]
|
| 568 |
+
|
| 569 |
+
# 訓練模型
|
| 570 |
+
print("開始訓練模型...")
|
| 571 |
+
try:
|
| 572 |
+
history = self.model.fit(
|
| 573 |
+
X_train, y_train,
|
| 574 |
+
validation_data=(X_val, y_val),
|
| 575 |
+
epochs=50, # 減少epoch數量以加快訓練
|
| 576 |
+
batch_size=min(32, len(X_train) // 4), # 根據數據大小調整batch size
|
| 577 |
+
callbacks=callbacks,
|
| 578 |
+
verbose=1
|
| 579 |
+
)
|
| 580 |
+
except Exception as e:
|
| 581 |
+
print(f"訓練過程中發生錯誤: {e}")
|
| 582 |
+
return False
|
| 583 |
+
|
| 584 |
+
# 評估模型
|
| 585 |
+
print("\n評估模型性能...")
|
| 586 |
+
try:
|
| 587 |
+
train_loss = self.model.evaluate(X_train, y_train, verbose=0)
|
| 588 |
+
val_loss = self.model.evaluate(X_val, y_val, verbose=0)
|
| 589 |
+
|
| 590 |
+
print(f"訓練集損失: {train_loss[0]:.4f}")
|
| 591 |
+
print(f"驗證集損失: {val_loss[0]:.4f}")
|
| 592 |
+
except Exception as e:
|
| 593 |
+
print(f"評估過程中發生錯誤: {e}")
|
| 594 |
+
|
| 595 |
+
# 儲存模型和縮放器
|
| 596 |
+
self.save_model()
|
| 597 |
+
|
| 598 |
+
return True
|
| 599 |
+
|
| 600 |
+
def save_model(self):
|
| 601 |
+
"""儲存模型和縮放器"""
|
| 602 |
+
try:
|
| 603 |
+
if self.model:
|
| 604 |
+
self.model.save(self.model_path)
|
| 605 |
+
print(f"模型已儲存至: {self.model_path}")
|
| 606 |
+
|
| 607 |
+
# 儲存縮放器
|
| 608 |
+
scalers_dict = {'feature_scaler': self.feature_scaler}
|
| 609 |
+
scalers_dict.update(self.target_scalers)
|
| 610 |
+
|
| 611 |
+
# 將sklearn縮放器轉換為可序列化的格式
|
| 612 |
+
scalers_data = {}
|
| 613 |
+
for name, scaler in scalers_dict.items():
|
| 614 |
+
if hasattr(scaler, 'scale_'):
|
| 615 |
+
scalers_data[f'{name}_scale'] = scaler.scale_
|
| 616 |
+
scalers_data[f'{name}_center'] = scaler.center_
|
| 617 |
+
|
| 618 |
+
np.savez(self.scalers_path, **scalers_data)
|
| 619 |
+
print(f"縮放器已儲存至: {self.scalers_path}")
|
| 620 |
+
|
| 621 |
+
except Exception as e:
|
| 622 |
+
print(f"儲存模型時發生錯誤: {e}")
|
| 623 |
+
|
| 624 |
+
def load_model(self):
|
| 625 |
+
"""載入模型和縮放器"""
|
| 626 |
+
try:
|
| 627 |
+
if os.path.exists(self.model_path) and TENSORFLOW_AVAILABLE:
|
| 628 |
+
self.model = load_model(self.model_path)
|
| 629 |
+
print("模型載入成功")
|
| 630 |
+
|
| 631 |
+
# 載入縮放器
|
| 632 |
+
if os.path.exists(self.scalers_path):
|
| 633 |
+
scalers_data = np.load(self.scalers_path)
|
| 634 |
+
|
| 635 |
+
# 重建特徵縮放器
|
| 636 |
+
if 'feature_scaler_scale' in scalers_data:
|
| 637 |
+
self.feature_scaler = RobustScaler()
|
| 638 |
+
self.feature_scaler.scale_ = scalers_data['feature_scaler_scale']
|
| 639 |
+
self.feature_scaler.center_ = scalers_data['feature_scaler_center']
|
| 640 |
+
|
| 641 |
+
# 重建目標縮放器
|
| 642 |
+
for target in self.target_columns:
|
| 643 |
+
scale_key = f'{target}_scale'
|
| 644 |
+
center_key = f'{target}_center'
|
| 645 |
+
if scale_key in scalers_data:
|
| 646 |
+
scaler = RobustScaler()
|
| 647 |
+
scaler.scale_ = scalers_data[scale_key]
|
| 648 |
+
scaler.center_ = scalers_data[center_key]
|
| 649 |
+
self.target_scalers[target] = scaler
|
| 650 |
+
|
| 651 |
+
print("縮放器載入成功")
|
| 652 |
+
|
| 653 |
+
return True
|
| 654 |
+
else:
|
| 655 |
+
print("模型文件不存在或TensorFlow未安裝")
|
| 656 |
+
return False
|
| 657 |
+
|
| 658 |
+
except Exception as e:
|
| 659 |
+
print(f"載入模型時發生錯誤: {e}")
|
| 660 |
+
return False
|
| 661 |
+
|
| 662 |
+
# 全域預測器實例
|
| 663 |
+
_predictor = None
|
| 664 |
+
|
| 665 |
+
def get_predictor():
|
| 666 |
+
"""獲取預測器實例"""
|
| 667 |
+
global _predictor
|
| 668 |
+
if _predictor is None:
|
| 669 |
+
_predictor = StockPredictor()
|
| 670 |
+
_predictor.load_model()
|
| 671 |
+
return _predictor
|
| 672 |
+
|
| 673 |
+
def advanced_lstm_predict(predict_days):
|
| 674 |
+
"""
|
| 675 |
+
進階LSTM預測函數 - 與main程式的介面
|
| 676 |
+
|
| 677 |
+
Args:
|
| 678 |
+
predict_days: 預測天數 (1, 5, 10, 20, 60)
|
| 679 |
+
|
| 680 |
+
Returns:
|
| 681 |
+
dict: 包含predicted_price, change_pct, confidence的字典
|
| 682 |
+
None: 如果預測失敗
|
| 683 |
+
"""
|
| 684 |
+
try:
|
| 685 |
+
predictor = get_predictor()
|
| 686 |
+
|
| 687 |
+
if predictor.model is None:
|
| 688 |
+
print("模型未載入,無法進行預測")
|
| 689 |
+
return None
|
| 690 |
+
|
| 691 |
+
# 獲取最新數據進行預測
|
| 692 |
+
current_data = predictor.fetch_yfinance_data(
|
| 693 |
+
start_date=(datetime.now() - timedelta(days=90)).strftime('%Y-%m-%d'),
|
| 694 |
+
end_date=datetime.now().strftime('%Y-%m-%d')
|
| 695 |
+
)
|
| 696 |
+
|
| 697 |
+
if current_data is None or len(current_data) < predictor.sequence_length:
|
| 698 |
+
print("無法獲取足夠的當前數據進行預測")
|
| 699 |
+
return None
|
| 700 |
+
|
| 701 |
+
# 計算技術指標
|
| 702 |
+
current_data = predictor.calculate_technical_indicators(current_data)
|
| 703 |
+
|
| 704 |
+
# 載入外部數據
|
| 705 |
+
business_climate, pmi_data = predictor.load_external_data()
|
| 706 |
+
|
| 707 |
+
# 合併外部數據
|
| 708 |
+
if not business_climate.empty:
|
| 709 |
+
current_data['business_climate'] = business_climate['Index'].reindex(
|
| 710 |
+
current_data.index, method='ffill'
|
| 711 |
+
).fillna(25.0)
|
| 712 |
+
else:
|
| 713 |
+
current_data['business_climate'] = 25.0
|
| 714 |
+
|
| 715 |
+
if not pmi_data.empty:
|
| 716 |
+
current_data['PMI'] = pmi_data['Index'].reindex(
|
| 717 |
+
current_data.index, method='ffill'
|
| 718 |
+
).fillna(50.0)
|
| 719 |
+
else:
|
| 720 |
+
current_data['PMI'] = 50.0
|
| 721 |
+
|
| 722 |
+
# 填補缺失的特徵
|
| 723 |
+
for feature in predictor.feature_columns:
|
| 724 |
+
if feature not in current_data.columns:
|
| 725 |
+
current_data[feature] = 0.0
|
| 726 |
+
|
| 727 |
+
current_data = current_data.dropna()
|
| 728 |
+
|
| 729 |
+
if len(current_data) < predictor.sequence_length:
|
| 730 |
+
print("處理後的數據不足以進行預測")
|
| 731 |
+
return None
|
| 732 |
+
|
| 733 |
+
# 提取特徵並縮放
|
| 734 |
+
X_current = current_data[predictor.feature_columns].values
|
| 735 |
+
X_current_scaled = predictor.feature_scaler.transform(X_current)
|
| 736 |
+
|
| 737 |
+
# 創建序列
|
| 738 |
+
X_seq = X_current_scaled[-predictor.sequence_length:].reshape(
|
| 739 |
+
1, predictor.sequence_length, len(predictor.feature_columns)
|
| 740 |
+
)
|
| 741 |
+
|
| 742 |
+
# 進行預測
|
| 743 |
+
prediction_scaled = predictor.model.predict(X_seq, verbose=0)
|
| 744 |
+
|
| 745 |
+
# 確定目標欄位索引
|
| 746 |
+
target_map = {1: 'close_1d', 5: 'close_5d', 10: 'close_10d',
|
| 747 |
+
20: 'close_20d', 60: 'close_60d'}
|
| 748 |
+
target_col = target_map.get(predict_days, 'close_5d')
|
| 749 |
+
target_idx = predictor.target_columns.index(target_col)
|
| 750 |
+
|
| 751 |
+
# 反縮放預測結果
|
| 752 |
+
if target_col in predictor.target_scalers:
|
| 753 |
+
predicted_price = predictor.target_scalers[target_col].inverse_transform(
|
| 754 |
+
prediction_scaled[:, target_idx:target_idx+1]
|
| 755 |
+
)[0, 0]
|
| 756 |
+
else:
|
| 757 |
+
print(f"未找到 {target_col} 的縮放器")
|
| 758 |
+
return None
|
| 759 |
+
|
| 760 |
+
# 計算變化百分比
|
| 761 |
+
current_price = current_data['close'].iloc[-1]
|
| 762 |
+
change_pct = ((predicted_price - current_price) / current_price) * 100
|
| 763 |
+
|
| 764 |
+
# 計算信心度 (簡化版本,基於歷史波動性)
|
| 765 |
+
recent_volatility = current_data['close'].pct_change().tail(20).std()
|
| 766 |
+
confidence = max(0.5, min(0.9, 1 - recent_volatility * 5))
|
| 767 |
+
|
| 768 |
+
return {
|
| 769 |
+
'predicted_price': predicted_price,
|
| 770 |
+
'change_pct': change_pct,
|
| 771 |
+
'confidence': confidence
|
| 772 |
+
}
|
| 773 |
+
|
| 774 |
+
except Exception as e:
|
| 775 |
+
print(f"LSTM預測時發生錯誤: {e}")
|
| 776 |
+
return None
|
| 777 |
+
|
| 778 |
+
def train_model_from_csv(csv_path):
|
| 779 |
+
"""從CSV檔案訓練模型的便利函數"""
|
| 780 |
+
predictor = StockPredictor()
|
| 781 |
+
return predictor.train_model(csv_path)
|
| 782 |
+
|
| 783 |
+
if __name__ == "__main__":
|
| 784 |
+
# 測試模式
|
| 785 |
+
print("=== 股價預測模型測試 ===")
|
| 786 |
+
|
| 787 |
+
# 首先檢查TensorFlow是否可用
|
| 788 |
+
if not TENSORFLOW_AVAILABLE:
|
| 789 |
+
print("警告: TensorFlow未安裝,無法使用深度學習功能")
|
| 790 |
+
print("請安裝TensorFlow: pip install tensorflow")
|
| 791 |
+
exit(1)
|
| 792 |
+
|
| 793 |
+
# 檢查是否有CSV檔案
|
| 794 |
+
csv_file = "新期末專案輸入資料20220912-20250909.csv"
|
| 795 |
+
|
| 796 |
+
if os.path.exists(csv_file):
|
| 797 |
+
print(f"找到CSV檔案: {csv_file}")
|
| 798 |
+
|
| 799 |
+
# 先創建預測器並調試CSV
|
| 800 |
+
predictor = StockPredictor()
|
| 801 |
+
|
| 802 |
+
success = predictor.train_model(csv_file)
|
| 803 |
+
if success:
|
| 804 |
+
print("模型訓練完成!")
|
| 805 |
+
else:
|
| 806 |
+
print("CSV訓練失敗,嘗試使用yfinance數據...")
|
| 807 |
+
success = predictor.train_model()
|
| 808 |
+
if success:
|
| 809 |
+
print("使用yfinance數據訓練完成!")
|
| 810 |
+
else:
|
| 811 |
+
print("所有訓練方法都失敗!")
|
| 812 |
+
else:
|
| 813 |
+
print(f"未找到CSV檔案: {csv_file}")
|
| 814 |
+
print("將使用yfinance數據進行訓練...")
|
| 815 |
+
predictor = StockPredictor()
|
| 816 |
+
success = predictor.train_model()
|
| 817 |
+
if success:
|
| 818 |
+
print("模型訓練完成!")
|
| 819 |
+
else:
|
| 820 |
+
print("模型訓練失敗!")
|
| 821 |
+
|
| 822 |
+
# 測試預測
|
| 823 |
+
print("\n=== 測試預測功能 ===")
|
| 824 |
+
test_predictions = [1, 5, 10, 20, 60]
|
| 825 |
+
|
| 826 |
+
for days in test_predictions:
|
| 827 |
+
result = advanced_lstm_predict(days)
|
| 828 |
+
if result:
|
| 829 |
+
print(f"{days}日預測: 價格={result['predicted_price']:.2f}, "
|
| 830 |
+
f"變化={result['change_pct']:+.2f}%, "
|
| 831 |
+
f"信心度={result['confidence']:.1%}")
|
| 832 |
+
else:
|
| 833 |
+
print(f"{days}日預測失敗")
|