private void Main()
{
modelPath = projectPath + "/model/";
data = CSVToList.Read(projectPath + "/History/BTC_USD_TEST.csv");
dataSize = data[0].Count;
screenDepth = dataSize * range;
var json = File.ReadAllText(modelPath + "main2020_03_06_04_52_44.model");
var net = SerializationExtensions.FromJson <double>(json);
double totalProfit = 0.0, totalGain = 0.0, totalLoss = 0.0, totalSpent = 0.0;
for (int i = 0; i < data.Count; i++)
{
for (int fromTime = 0; fromTime < dataSize; fromTime++)
{
var toTime = fromTime + range;
var input = GetData(fromTime, toTime);
var inputVol = ToVolume(input);
var result = net.Forward(inputVol);
var state = new State();
state.state = input;
state.action = GetAction(result, false);
state.done = toTime < data.Count ? false : true;
state.next_state = state.done ? input : GetData(fromTime + 1, toTime + 1);
if (state.action == BUY)
{
state.price = data[toTime][LOW];
inventory.Add(state);
totalSpent += state.price;
}
else if (state.action == SELL && inventory.Count > 0)
{
state.price = data[toTime][HIGH];
var reward = 0.0;
inventory.ForEach(i => reward += (i.price - state.price));
inventory.Clear();
state.reward = reward;
totalProfit += reward;
if (reward > 0)
{
totalGain += reward;
}
else
{
totalLoss += reward;
}
}
else if (state.action == HOLD)
{
state.price = data[toTime][LOW];
}
stateMemory.Add(state);
Console.WriteLine($"{ActionToString(state.action)}: {state.price} reward: {state.reward}\n");
}
}
Console.WriteLine($"totalGain: {totalGain}\n" +
$"totalLoss: {totalLoss}\n" +
$"totalSpent: {totalSpent}\n" +
$"totalProfit: {totalProfit}\n" +
$"av.Profit: {totalProfit / episode}\n");
Console.WriteLine(data.Count);
}
private void Main()
{
BuilderInstance <double> .Volume = new VolumeBuilder();
modelPath = projectPath + "/model/";
dataPath = projectPath + "/History/";
while (true)
{
Console.WriteLine("학습할 데이터를 입력.");
var line = Console.ReadLine();
if (File.Exists(dataPath + line))
{
try
{
data = CSVToList.Read(dataPath + line);
parms = line.Replace(".csv", "_");
break;
}
catch (Exception e)
{
Console.WriteLine("올바른 파일을 입력.");
}
}
else
{
Console.WriteLine("파일이 존재하지 않습니다.");
}
}
dataSize = data[0].Count;
screenDepth = dataSize * range + 1;
mainNet = new Net <double>();
targetNet = new Net <double>();
BuildNetwork(mainNet);
BuildNetwork(targetNet);
trainer = new SgdTrainer(mainNet)
{
LearningRate = 0.01, BatchSize = batchSize
};
StringBuilder log = new StringBuilder();
parms += DateTime.Now.ToString("yyyy_MM_dd_HH_mm_ss");
do
{
epoch++;
double totalProfit = 0.0, totalGain = 0.0, totalLoss = 0.0, totalSpent = 0.0;
for (int fromTime = 0; data.Count > fromTime + range; fromTime++)
{
episode++;
var toTime = fromTime + range;
var input = GetData(fromTime, toTime);
input.Add(inventory.Count);
var inputVol = ToVolume(input);
var result = mainNet.Forward(inputVol);
var state = new State();
state.state = input;
state.action = GetAction(result, false);
state.done = toTime < data.Count ? false : true;
if (state.action == BUY)
{
state.price = data[toTime][LOW];
inventory.Add(state);
totalSpent += state.price;
}
else if (state.action == SELL)
{
state.price = data[toTime][HIGH];
var reward = 0.0;
inventory.ForEach(i => reward += (i.price - state.price));
inventory.Clear();
state.reward = reward;
totalProfit += reward;
if (reward > 0)
{
totalGain += reward;
}
else
{
totalLoss += reward;
}
}
else if (state.action == HOLD)
{
state.price = data[toTime][LOW];
}
var nextInput = state.done ? input : GetData(fromTime + 1, toTime + 1);
nextInput.Add(inventory.Count);
state.next_state = nextInput;
stateMemory.Add(state);
if (stateMemory.Count > batchSize)
{
ExperienceReplay();
}
if (episode % 10 == 0 && age > 0)
{
targetNet = SerializationExtensions.FromJson <double>(mainNet.ToJson());
}
var _loss = averageLossMemory.Count > 0 ? averageLossMemory.Average() : 0;
log.AppendLine($"{epoch},{episode},{state.action},{state.price},{totalSpent},{totalGain},{totalLoss},{totalProfit},{totalProfit / fromTime},{age},{_loss},{_loss / batchSize}");
if (episode % 1000 == 0)
{
Console.WriteLine($"{parms}\n" +
$"epoch: {epoch}\n" +
$"episode: {episode}\n" +
$"totalGain: {totalGain}\n" +
$"totalLoss: {totalLoss}\n" +
$"totalSpent: {totalSpent}\n" +
$"totalProfit: {totalProfit}\n" +
$"av.Profit: {totalProfit / fromTime}\n" +
$"av.Loss: {(averageLossMemory.Count > 0 ? averageLossMemory.Average() : 0)}");
File.AppendAllText(projectPath + "/log/log" + parms + ".log", log.ToString());
log.Clear();
File.AppendAllText(projectPath + "/log/loss" + parms + ".log", lossWriter.ToString());
lossWriter.Clear();
File.WriteAllText(projectPath + "/model/main" + parms + ".model", mainNet.ToJson());
File.WriteAllText(projectPath + "/model/target" + parms + ".model", targetNet.ToJson());
}
}
Console.WriteLine("------------------------------");
Console.WriteLine($"epoch: {epoch}\n" +
$"episode: {episode}\n" +
$"totalGain: {totalGain}\n" +
$"totalLoss: {totalLoss}\n" +
$"totalSpent: {totalSpent}\n" +
$"profit: {totalProfit}\n" +
$"av.Profit: {totalProfit/dataSize}\n" +
$"av.Loss: {(averageLossMemory.Count > 0 ? averageLossMemory.Average() : 0)}\n");
Console.WriteLine("------------------------------");
File.AppendAllText(projectPath + "/log/log" + parms + ".log", log.ToString());
log.Clear();
File.AppendAllText(projectPath + "/log/loss" + parms + ".log", lossWriter.ToString());
lossWriter.Clear();
inventory.Clear();
stateMemory.Clear();
averageLossMemory.Clear();
qda.Net.SendMail.Send(subject: $"{parms}", body: $"epoch: {epoch}\n" +
$"episode: {episode}\n" +
$"totalGain: {totalGain}\n" +
$"totalLoss: {totalLoss}\n" +
$"totalSpent: {totalSpent}\n" +
$"av.Profit: {totalProfit}\n" +
$"av.Loss: {(averageLossMemory.Count > 0 ? averageLossMemory.Average() : 0)}\n");
} while (true);
}
