Untitled.ipynb

{
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       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr>\n",
       "      <th>Pair</th>\n",
       "      <th colspan=\"6\" halign=\"left\">BTC</th>\n",
       "      <th colspan=\"4\" halign=\"left\">ETH</th>\n",
       "      <th>...</th>\n",
       "      <th colspan=\"4\" halign=\"left\">LTC</th>\n",
       "      <th colspan=\"6\" halign=\"left\">XRP</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Price</th>\n",
       "      <th>close</th>\n",
       "      <th>high</th>\n",
       "      <th>low</th>\n",
       "      <th>open</th>\n",
       "      <th>volume</th>\n",
       "      <th>quoteVolume</th>\n",
       "      <th>close</th>\n",
       "      <th>high</th>\n",
       "      <th>low</th>\n",
       "      <th>open</th>\n",
       "      <th>...</th>\n",
       "      <th>low</th>\n",
       "      <th>open</th>\n",
       "      <th>volume</th>\n",
       "      <th>quoteVolume</th>\n",
       "      <th>close</th>\n",
       "      <th>high</th>\n",
       "      <th>low</th>\n",
       "      <th>open</th>\n",
       "      <th>volume</th>\n",
       "      <th>quoteVolume</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2016-12-31 23:00:00</th>\n",
       "      <td>965.000000</td>\n",
       "      <td>965.000000</td>\n",
       "      <td>962.859985</td>\n",
       "      <td>964.000000</td>\n",
       "      <td>3687.031982</td>\n",
       "      <td>3.824598</td>\n",
       "      <td>7.980005</td>\n",
       "      <td>8.030000</td>\n",
       "      <td>7.980000</td>\n",
       "      <td>7.980000</td>\n",
       "      <td>...</td>\n",
       "      <td>4.341458</td>\n",
       "      <td>4.341458</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.006511</td>\n",
       "      <td>0.006511</td>\n",
       "      <td>0.006486</td>\n",
       "      <td>0.006486</td>\n",
       "      <td>6.339470</td>\n",
       "      <td>976.828857</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2016-12-31 23:30:00</th>\n",
       "      <td>966.173706</td>\n",
       "      <td>966.614990</td>\n",
       "      <td>963.000000</td>\n",
       "      <td>964.000000</td>\n",
       "      <td>3178.871826</td>\n",
       "      <td>3.293368</td>\n",
       "      <td>8.008506</td>\n",
       "      <td>8.038314</td>\n",
       "      <td>8.002000</td>\n",
       "      <td>8.030000</td>\n",
       "      <td>...</td>\n",
       "      <td>4.346551</td>\n",
       "      <td>4.346551</td>\n",
       "      <td>14.047211</td>\n",
       "      <td>3.229594</td>\n",
       "      <td>0.006486</td>\n",
       "      <td>0.006506</td>\n",
       "      <td>0.006484</td>\n",
       "      <td>0.006506</td>\n",
       "      <td>0.009873</td>\n",
       "      <td>1.522276</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-01 00:00:00</th>\n",
       "      <td>966.150024</td>\n",
       "      <td>966.150024</td>\n",
       "      <td>961.700012</td>\n",
       "      <td>965.000000</td>\n",
       "      <td>11900.677734</td>\n",
       "      <td>12.348251</td>\n",
       "      <td>8.184482</td>\n",
       "      <td>8.232000</td>\n",
       "      <td>8.044822</td>\n",
       "      <td>8.044822</td>\n",
       "      <td>...</td>\n",
       "      <td>4.335165</td>\n",
       "      <td>4.349505</td>\n",
       "      <td>92.139870</td>\n",
       "      <td>21.197990</td>\n",
       "      <td>0.006487</td>\n",
       "      <td>0.006487</td>\n",
       "      <td>0.006482</td>\n",
       "      <td>0.006482</td>\n",
       "      <td>10.177060</td>\n",
       "      <td>1569.505249</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-01 00:30:00</th>\n",
       "      <td>964.133240</td>\n",
       "      <td>965.668152</td>\n",
       "      <td>962.880005</td>\n",
       "      <td>962.880005</td>\n",
       "      <td>2738.659912</td>\n",
       "      <td>2.842460</td>\n",
       "      <td>8.229053</td>\n",
       "      <td>8.242145</td>\n",
       "      <td>8.177586</td>\n",
       "      <td>8.177586</td>\n",
       "      <td>...</td>\n",
       "      <td>4.395621</td>\n",
       "      <td>4.395621</td>\n",
       "      <td>585.349243</td>\n",
       "      <td>131.855743</td>\n",
       "      <td>0.006487</td>\n",
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       "      <td>0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2017-01-01 01:00:00</th>\n",
       "      <td>965.854980</td>\n",
       "      <td>965.855042</td>\n",
       "      <td>964.133240</td>\n",
       "      <td>964.133240</td>\n",
       "      <td>1032.527344</td>\n",
       "      <td>1.069114</td>\n",
       "      <td>8.242145</td>\n",
       "      <td>8.242145</td>\n",
       "      <td>8.213986</td>\n",
       "      <td>8.216482</td>\n",
       "      <td>...</td>\n",
       "      <td>4.413020</td>\n",
       "      <td>4.413020</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.000000</td>\n",
       "      <td>0.006498</td>\n",
       "      <td>0.006498</td>\n",
       "      <td>0.006481</td>\n",
       "      <td>0.006481</td>\n",
       "      <td>15.481316</td>\n",
       "      <td>2386.927490</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>5 rows × 24 columns</p>\n",
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      ],
      "text/plain": [
       "Pair                        BTC                                      \\\n",
       "Price                     close        high         low        open   \n",
       "date                                                                  \n",
       "2016-12-31 23:00:00  965.000000  965.000000  962.859985  964.000000   \n",
       "2016-12-31 23:30:00  966.173706  966.614990  963.000000  964.000000   \n",
       "2017-01-01 00:00:00  966.150024  966.150024  961.700012  965.000000   \n",
       "2017-01-01 00:30:00  964.133240  965.668152  962.880005  962.880005   \n",
       "2017-01-01 01:00:00  965.854980  965.855042  964.133240  964.133240   \n",
       "\n",
       "Pair                                                ETH                      \\\n",
       "Price                      volume quoteVolume     close      high       low   \n",
       "date                                                                          \n",
       "2016-12-31 23:00:00   3687.031982    3.824598  7.980005  8.030000  7.980000   \n",
       "2016-12-31 23:30:00   3178.871826    3.293368  8.008506  8.038314  8.002000   \n",
       "2017-01-01 00:00:00  11900.677734   12.348251  8.184482  8.232000  8.044822   \n",
       "2017-01-01 00:30:00   2738.659912    2.842460  8.229053  8.242145  8.177586   \n",
       "2017-01-01 01:00:00   1032.527344    1.069114  8.242145  8.242145  8.213986   \n",
       "\n",
       "Pair                              ...            LTC                        \\\n",
       "Price                    open     ...            low      open      volume   \n",
       "date                              ...                                        \n",
       "2016-12-31 23:00:00  7.980000     ...       4.341458  4.341458    0.000000   \n",
       "2016-12-31 23:30:00  8.030000     ...       4.346551  4.346551   14.047211   \n",
       "2017-01-01 00:00:00  8.044822     ...       4.335165  4.349505   92.139870   \n",
       "2017-01-01 00:30:00  8.177586     ...       4.395621  4.395621  585.349243   \n",
       "2017-01-01 01:00:00  8.216482     ...       4.413020  4.413020    0.000000   \n",
       "\n",
       "Pair                                  XRP                                \\\n",
       "Price               quoteVolume     close      high       low      open   \n",
       "date                                                                      \n",
       "2016-12-31 23:00:00    0.000000  0.006511  0.006511  0.006486  0.006486   \n",
       "2016-12-31 23:30:00    3.229594  0.006486  0.006506  0.006484  0.006506   \n",
       "2017-01-01 00:00:00   21.197990  0.006487  0.006487  0.006482  0.006482   \n",
       "2017-01-01 00:30:00  131.855743  0.006487  0.006487  0.006487  0.006487   \n",
       "2017-01-01 01:00:00    0.000000  0.006498  0.006498  0.006481  0.006481   \n",
       "\n",
       "Pair                                         \n",
       "Price                   volume  quoteVolume  \n",
       "date                                         \n",
       "2016-12-31 23:00:00   6.339470   976.828857  \n",
       "2016-12-31 23:30:00   0.009873     1.522276  \n",
       "2017-01-01 00:00:00  10.177060  1569.505249  \n",
       "2017-01-01 00:30:00   0.000000     0.000000  \n",
       "2017-01-01 01:00:00  15.481316  2386.927490  \n",
       "\n",
       "[5 rows x 24 columns]"
      ]
     },
     "execution_count": 1,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "import numpy as np\n",
    "import pandas as pd\n",
    "from matplotlib import pyplot as plt\n",
    "from pprint import pprint\n",
    "import logging, os, tempfile, time, gym\n",
    "df_train = pd.read_hdf('data/df_train.hf',key='train')\n",
    "df_test = pd.read_hdf('data/df_test.hf',key='test')\n",
    "df_train.head()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "Index(['close', 'high', 'low', 'open', 'volume', 'quoteVolume'], dtype='object', name='Price')"
      ]
     },
     "execution_count": 5,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "df_train.columns.levels[1]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "metadata": {},
   "outputs": [],
   "source": [
    "from management.environments.portfolio import PortfolioEnv\n",
    "from management.util import MDD, sharpe, softmax\n",
    "from management.wrappers import SoftmaxActions, \\\n",
    "TransposeHistory, ConcatStates\n",
    "import gym\n",
    "steps = 1000\n",
    "env = PortfolioEnv(df=df_train, steps=steps, output_mode='EIIE')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "(4, 50, 6)"
      ]
     },
     "execution_count": 13,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "env.reset()['history'].shape"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 14,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
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       "        [ 1.        ,  1.0062236 ,  0.9976242 ,  1.0055746 ,\n",
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       "\n",
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       "        ...,\n",
       "        [ 1.006876  ,  1.0237895 ,  1.0023246 ,  1.0143949 ,\n",
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       "\n",
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       "         -0.35627604, -0.22682633]],\n",
       "\n",
       "       [[ 0.94610244,  0.9545083 ,  0.9449473 ,  0.94982845,\n",
       "         -0.34726495,  0.45353803],\n",
       "        [ 0.94979334,  0.95649695,  0.94441897,  0.94494736,\n",
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       "         -0.2596521 ,  1.1713707 ],\n",
       "        ...,\n",
       "        [ 1.0012052 ,  1.0151107 ,  0.99288785,  1.0032824 ,\n",
       "         -0.3767346 ,  0.18662705],\n",
       "        [ 0.99999917,  1.0077968 ,  0.9960588 ,  1.0002176 ,\n",
       "         -0.4154027 , -0.11707874],\n",
       "        [ 1.        ,  1.0084829 ,  0.99999917,  0.9999992 ,\n",
       "         -0.39449933,  0.04769601]]], dtype=float32)"
      ]
     },
     "execution_count": 14,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "env.reset()['history']"
   ]
  }
 ],
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