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divide close rpice by last close not this open

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wassname
2017-11-13 11:46:16 +08:00
parent 62f6f78c65
commit 881173fb95
1 changed files with 8 additions and 12 deletions
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rl_portfolio_management/environments/portfolio.py
+8 -12
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@@ -71,14 +71,14 @@ class DataSrc(object):
data_window = self.data[:, self.step:self.step +
self.window_length].copy()
# (eq 18) prices are divided by open price
# While the paper says open/close, it only makes sense with close/open
# (eq 18) prices are divided by close price
nb_pc = len(self.price_columns)
if self.scale:
# scale prices by dividing price columns by the last open price
last_open_price = data_window[:, -1, 0]
data_window[:, :, :nb_pc] /= last_open_price[:,
np.newaxis, np.newaxis]
# scale prices by dividing price columns by the 2nd to last close price
# last close price (asset='*', time=-2, feature=0)
last_close_price = data_window[:, -2, 0]
data_window[:, :, :nb_pc] /= last_close_price[:,
np.newaxis, np.newaxis]
if self.scale_extra_cols:
# normalize non price columns
@@ -90,13 +90,9 @@ class DataSrc(object):
self.stats["mean"][nb_pc:] + self.stats["std"][nb_pc:] * 10
)
history = data_window[:, :, 1:] # drop open price
# shape = (3, 46993, 6) (assets, time, features)
# history = np.transpose(history, (2,1,0))
self.step += 1
done = bool(self.step >= self.steps)
return history, done
return data_window, done
def reset(self):
self.step = 0
@@ -306,7 +302,7 @@ class PortfolioEnv(gym.Env):
history, done1 = self.src._step()
y1 = history[:, -1, 0] # relative price vector (open/close)
y1 = history[:, -1, 0] # relative price vector (close/open)
y1 = np.concatenate([[1.0], y1]) # add cash price
reward, info, done2 = self.sim._step(weights, y1)