chart.py 文件源码

def moving_extract(self, window=30, open_prices=None, close_prices=None, high_prices=None, low_prices=None,
                       volumes=None, with_label=True, flatten=True):
        self.extract(open_prices=open_prices, close_prices=close_prices, high_prices=high_prices, low_prices=low_prices,
                     volumes=volumes)
        feature_arr = numpy.asarray(self.feature)
        p = 0
        rows = feature_arr.shape[0]
        print("feature dimension: %s" % rows)
        if with_label:
            moving_features = []
            moving_labels = []
            while p + window < feature_arr.shape[1]:
                x = feature_arr[:, p:p + window]
                # y = cmp(close_prices[p + window], close_prices[p + window - 1]) + 1
                p_change = (close_prices[p + window] - close_prices[p + window - 1]) / close_prices[p + window - 1]
                # use percent of change as label
                y = p_change
                if flatten:
                    x = x.flatten("F")
                moving_features.append(numpy.nan_to_num(x))
                moving_labels.append(y)
                p += 1

            return numpy.asarray(moving_features), numpy.asarray(moving_labels)
        else:
            moving_features = []
            while p + window <= feature_arr.shape[1]:
                x = feature_arr[:, p:p + window]
                if flatten:
                    x = x.flatten("F")
                moving_features.append(numpy.nan_to_num(x))
                p += 1
            return moving_features