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Tonic commited on
improve smoothing , normalization , solves discontinuity , improves denormalization , improves recursive forcasting
Browse files
app.py
CHANGED
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@@ -370,7 +370,8 @@ def calculate_bollinger_bands(prices: pd.Series, period: int = 20, std_dev: int
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def make_prediction(symbol: str, timeframe: str = "1d", prediction_days: int = 5, strategy: str = "chronos",
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use_ensemble: bool = True, use_regime_detection: bool = True, use_stress_testing: bool = True,
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risk_free_rate: float = 0.02, ensemble_weights: Dict = None,
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market_index: str = "^GSPC"
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"""
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Make prediction using selected strategy with advanced features.
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@@ -385,6 +386,7 @@ def make_prediction(symbol: str, timeframe: str = "1d", prediction_days: int = 5
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risk_free_rate (float): Risk-free rate for calculations
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ensemble_weights (Dict): Weights for ensemble models
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market_index (str): Market index for correlation analysis
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Returns:
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Tuple[Dict, go.Figure]: Trading signals and visualization plot
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@@ -397,10 +399,13 @@ def make_prediction(symbol: str, timeframe: str = "1d", prediction_days: int = 5
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try:
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# Prepare data for Chronos
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prices = df['Close'].values
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-
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# Ensure we have enough data points
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min_data_points =
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if len(normalized_prices) < min_data_points:
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padding = np.full(min_data_points - len(normalized_prices), normalized_prices[-1])
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normalized_prices = np.concatenate([padding, normalized_prices])
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@@ -421,23 +426,17 @@ def make_prediction(symbol: str, timeframe: str = "1d", prediction_days: int = 5
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# Adjust prediction length based on timeframe
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if timeframe == "1d":
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max_prediction_length =
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window_size = 64 # Use full context window
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elif timeframe == "1h":
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max_prediction_length = 64 # Chronos maximum
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window_size = 64 # Use full context window
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else: # 15m
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max_prediction_length = 64 # Chronos maximum
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window_size = 64 # Use full context window
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-
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# Calculate actual prediction length based on timeframe
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if timeframe == "1d":
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actual_prediction_length = min(prediction_days, max_prediction_length)
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elif timeframe == "1h":
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actual_prediction_length = min(prediction_days * 24, max_prediction_length)
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else: # 15m
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actual_prediction_length = min(prediction_days * 96, max_prediction_length)
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-
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actual_prediction_length = max(1, actual_prediction_length)
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# Use predict_quantiles with proper formatting
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@@ -628,7 +627,7 @@ def make_prediction(symbol: str, timeframe: str = "1d", prediction_days: int = 5
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quantiles = quantiles.detach().cpu().numpy()
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mean = mean.detach().cpu().numpy()
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# Denormalize predictions
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mean_pred = scaler.inverse_transform(mean.reshape(-1, 1)).flatten()
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lower_bound = scaler.inverse_transform(quantiles[0, :, 0].reshape(-1, 1)).flatten()
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upper_bound = scaler.inverse_transform(quantiles[0, :, 2].reshape(-1, 1)).flatten()
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@@ -636,37 +635,39 @@ def make_prediction(symbol: str, timeframe: str = "1d", prediction_days: int = 5
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# Calculate standard deviation from quantiles
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std_pred = (upper_bound - lower_bound) / (2 * 1.645)
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#
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extended_mean_pred = mean_pred.copy()
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extended_std_pred = std_pred.copy()
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# Calculate the number of extension steps needed
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-
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steps_needed = (
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for step in range(steps_needed):
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# Use the last window_size points as context for next prediction
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context_window = extended_mean_pred[-window_size:]
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# Normalize the context window
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normalized_context = scaler.fit_transform(context_window.reshape(-1, 1)).flatten()
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# Convert to tensor and ensure proper shape
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context = torch.tensor(normalized_context, dtype=dtype, device=device)
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if len(context.shape) == 1:
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context = context.unsqueeze(0)
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# Calculate next prediction length based on timeframe
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if timeframe == "1d":
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next_length = min(max_prediction_length,
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elif timeframe == "1h":
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next_length = min(max_prediction_length,
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else:
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next_length = min(max_prediction_length,
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# Make prediction for next window
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with torch.amp.autocast('cuda'):
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next_quantiles, next_mean = pipe.predict_quantiles(
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context=context,
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@@ -685,38 +686,19 @@ def make_prediction(symbol: str, timeframe: str = "1d", prediction_days: int = 5
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# Calculate standard deviation
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next_std_pred = (next_upper - next_lower) / (2 * 1.645)
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-
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alpha = 0.3 # Smoothing factor
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next_mean_pred = alpha * next_mean_pred + (1 - alpha) * extended_mean_pred[-len(next_mean_pred):]
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next_std_pred = alpha * next_std_pred + (1 - alpha) * extended_std_pred[-len(next_std_pred):]
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# Append predictions
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extended_mean_pred = np.concatenate([extended_mean_pred, next_mean_pred])
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extended_std_pred = np.concatenate([extended_std_pred, next_std_pred])
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-
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if timeframe == "1d":
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remaining_days -= len(next_mean_pred)
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elif timeframe == "1h":
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remaining_days -= len(next_mean_pred) / 24
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else: # 15m
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remaining_days -= len(next_mean_pred) / 96
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-
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if remaining_days <= 0:
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break
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# Trim to exact prediction length if needed
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-
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-
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std_pred = extended_std_pred[:prediction_days]
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elif timeframe == "1h":
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mean_pred = extended_mean_pred[:prediction_days * 24]
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std_pred = extended_std_pred[:prediction_days * 24]
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else: # 15m
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mean_pred = extended_mean_pred[:prediction_days * 96]
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std_pred = extended_std_pred[:prediction_days * 96]
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# Extend Chronos forecasting to volume and technical indicators
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volume_pred = None
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@@ -728,118 +710,276 @@ def make_prediction(symbol: str, timeframe: str = "1d", prediction_days: int = 5
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volume_data = df['Volume'].values
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if len(volume_data) >= 64:
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# Normalize volume data
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volume_scaler = MinMaxScaler(feature_range=(-1, 1))
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normalized_volume = volume_scaler.fit_transform(
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with torch.amp.autocast('cuda'):
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volume_quantiles, volume_mean = pipe.predict_quantiles(
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context=
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prediction_length=
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quantile_levels=[0.1, 0.5, 0.9]
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)
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-
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# Convert and denormalize volume predictions
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volume_mean = volume_mean.detach().cpu().numpy()
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volume_pred = volume_scaler.inverse_transform(volume_mean.reshape(-1, 1)).flatten()
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# Extend volume predictions if needed
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if
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except Exception as e:
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print(f"Volume prediction error: {str(e)}")
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# Fallback: use historical average
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avg_volume = df['Volume'].mean()
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volume_pred = np.full(
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try:
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# Prepare RSI data for Chronos
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rsi_data = df['RSI'].values
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if len(rsi_data) >= 64 and not np.any(np.isnan(rsi_data)):
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# RSI is already normalized (0-100), but we'll scale it to (-1, 1)
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rsi_scaler = MinMaxScaler(feature_range=(-1, 1))
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normalized_rsi = rsi_scaler.fit_transform(
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with torch.amp.autocast('cuda'):
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rsi_quantiles, rsi_mean = pipe.predict_quantiles(
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context=
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prediction_length=
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quantile_levels=[0.1, 0.5, 0.9]
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)
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# Convert and denormalize RSI predictions
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rsi_mean = rsi_mean.detach().cpu().numpy()
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rsi_pred = rsi_scaler.inverse_transform(rsi_mean.reshape(-1, 1)).flatten()
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# Clamp RSI to valid range (0-100)
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rsi_pred = np.clip(rsi_pred, 0, 100)
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# Extend RSI predictions if needed
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except Exception as e:
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print(f"RSI prediction error: {str(e)}")
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# Fallback: use last known RSI value
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last_rsi = df['RSI'].iloc[-1]
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rsi_pred = np.full(
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try:
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# Prepare MACD data for Chronos
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macd_data = df['MACD'].values
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if len(macd_data) >= 64 and not np.any(np.isnan(macd_data)):
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# Normalize MACD data
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macd_scaler = MinMaxScaler(feature_range=(-1, 1))
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normalized_macd = macd_scaler.fit_transform(
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with torch.amp.autocast('cuda'):
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macd_quantiles, macd_mean = pipe.predict_quantiles(
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context=
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prediction_length=
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quantile_levels=[0.1, 0.5, 0.9]
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)
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-
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# Convert and denormalize MACD predictions
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macd_mean = macd_mean.detach().cpu().numpy()
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macd_pred = macd_scaler.inverse_transform(macd_mean.reshape(-1, 1)).flatten()
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# Extend MACD predictions if needed
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except Exception as e:
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print(f"MACD prediction error: {str(e)}")
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# Fallback: use last known MACD value
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last_macd = df['MACD'].iloc[-1]
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macd_pred = np.full(
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except Exception as e:
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print(f"Chronos prediction error: {str(e)}")
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print(f"Error type: {type(e)}")
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@@ -1756,6 +1896,13 @@ def create_interface():
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label="Market Index for Correlation",
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value="^GSPC"
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)
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with gr.Column():
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gr.Markdown("### Ensemble Weights")
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@@ -1969,7 +2116,8 @@ def create_interface():
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def analyze_stock(symbol, timeframe, prediction_days, lookback_days, strategy,
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use_ensemble, use_regime_detection, use_stress_testing,
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risk_free_rate, market_index, chronos_weight, technical_weight, statistical_weight
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try:
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# Create ensemble weights
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ensemble_weights = {
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use_stress_testing=use_stress_testing,
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risk_free_rate=risk_free_rate,
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ensemble_weights=ensemble_weights,
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market_index=market_index
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)
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# Get historical data for additional metrics
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@@ -2075,7 +2224,8 @@ def create_interface():
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# Daily analysis button click
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def daily_analysis(s: str, pd: int, ld: int, st: str, ue: bool, urd: bool, ust: bool,
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rfr: float, mi: str, cw: float, tw: float, sw: float
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"""
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Process daily timeframe stock analysis with advanced features.
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@@ -2109,6 +2259,7 @@ def create_interface():
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Weight given to technical analysis predictions in ensemble methods
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sw (float): Statistical weight in ensemble (0.0-1.0)
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Weight given to statistical model predictions in ensemble methods
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Returns:
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Tuple[Dict, go.Figure, Dict, Dict, Dict, Dict, Dict, Dict, Dict]: Analysis results containing:
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@@ -2128,7 +2279,7 @@ def create_interface():
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Example:
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>>> signals, plot, metrics, risk, sector, regime, stress, ensemble, advanced = daily_analysis(
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| 2131 |
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... "AAPL", 30, 365, "chronos", True, True, True, 0.02, "^GSPC", 0.6, 0.2, 0.2
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... )
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Notes:
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@@ -2138,20 +2289,22 @@ def create_interface():
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- Ensemble weights should sum to 1.0 for optimal results
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- Risk-free rate is typically between 0.02-0.05 (2-5% annually)
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| 2140 |
"""
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return analyze_stock(s, "1d", pd, ld, st, ue, urd, ust, rfr, mi, cw, tw, sw)
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| 2142 |
|
| 2143 |
daily_predict_btn.click(
|
| 2144 |
fn=daily_analysis,
|
| 2145 |
inputs=[daily_symbol, daily_prediction_days, daily_lookback_days, daily_strategy,
|
| 2146 |
use_ensemble, use_regime_detection, use_stress_testing, risk_free_rate, market_index,
|
| 2147 |
-
chronos_weight, technical_weight, statistical_weight
|
|
|
|
| 2148 |
outputs=[daily_signals, daily_plot, daily_metrics, daily_risk_metrics, daily_sector_metrics,
|
| 2149 |
daily_regime_metrics, daily_stress_results, daily_ensemble_metrics, daily_signals_advanced]
|
| 2150 |
)
|
| 2151 |
|
| 2152 |
# Hourly analysis button click
|
| 2153 |
def hourly_analysis(s: str, pd: int, ld: int, st: str, ue: bool, urd: bool, ust: bool,
|
| 2154 |
-
rfr: float, mi: str, cw: float, tw: float, sw: float
|
|
|
|
| 2155 |
"""
|
| 2156 |
Process hourly timeframe stock analysis with advanced features.
|
| 2157 |
|
|
@@ -2185,6 +2338,7 @@ def create_interface():
|
|
| 2185 |
Weight for technical analysis in ensemble predictions
|
| 2186 |
sw (float): Statistical weight in ensemble (0.0-1.0)
|
| 2187 |
Weight for statistical models in ensemble predictions
|
|
|
|
| 2188 |
|
| 2189 |
Returns:
|
| 2190 |
Tuple[Dict, go.Figure, Dict, Dict, Dict, Dict, Dict, Dict, Dict]: Analysis results containing:
|
|
@@ -2204,7 +2358,7 @@ def create_interface():
|
|
| 2204 |
|
| 2205 |
Example:
|
| 2206 |
>>> signals, plot, metrics, risk, sector, regime, stress, ensemble, advanced = hourly_analysis(
|
| 2207 |
-
... "AAPL", 3, 14, "chronos", True, True, True, 0.02, "^GSPC", 0.6, 0.2, 0.2
|
| 2208 |
... )
|
| 2209 |
|
| 2210 |
Notes:
|
|
@@ -2215,20 +2369,22 @@ def create_interface():
|
|
| 2215 |
- Optimized for day trading and swing trading strategies
|
| 2216 |
- Requires high-liquidity stocks for reliable hourly analysis
|
| 2217 |
"""
|
| 2218 |
-
return analyze_stock(s, "1h", pd, ld, st, ue, urd, ust, rfr, mi, cw, tw, sw)
|
| 2219 |
|
| 2220 |
hourly_predict_btn.click(
|
| 2221 |
fn=hourly_analysis,
|
| 2222 |
inputs=[hourly_symbol, hourly_prediction_days, hourly_lookback_days, hourly_strategy,
|
| 2223 |
use_ensemble, use_regime_detection, use_stress_testing, risk_free_rate, market_index,
|
| 2224 |
-
chronos_weight, technical_weight, statistical_weight
|
|
|
|
| 2225 |
outputs=[hourly_signals, hourly_plot, hourly_metrics, hourly_risk_metrics, hourly_sector_metrics,
|
| 2226 |
hourly_regime_metrics, hourly_stress_results, hourly_ensemble_metrics, hourly_signals_advanced]
|
| 2227 |
)
|
| 2228 |
|
| 2229 |
# 15-minute analysis button click
|
| 2230 |
def min15_analysis(s: str, pd: int, ld: int, st: str, ue: bool, urd: bool, ust: bool,
|
| 2231 |
-
rfr: float, mi: str, cw: float, tw: float, sw: float
|
|
|
|
| 2232 |
"""
|
| 2233 |
Process 15-minute timeframe stock analysis with advanced features.
|
| 2234 |
|
|
@@ -2262,6 +2418,7 @@ def create_interface():
|
|
| 2262 |
Weight for technical analysis in ensemble predictions
|
| 2263 |
sw (float): Statistical weight in ensemble (0.0-1.0)
|
| 2264 |
Weight for statistical models in ensemble predictions
|
|
|
|
| 2265 |
|
| 2266 |
Returns:
|
| 2267 |
Tuple[Dict, go.Figure, Dict, Dict, Dict, Dict, Dict, Dict, Dict]: Analysis results containing:
|
|
@@ -2281,7 +2438,7 @@ def create_interface():
|
|
| 2281 |
|
| 2282 |
Example:
|
| 2283 |
>>> signals, plot, metrics, risk, sector, regime, stress, ensemble, advanced = min15_analysis(
|
| 2284 |
-
... "AAPL", 1, 3, "chronos", True, True, True, 0.02, "^GSPC", 0.6, 0.2, 0.2
|
| 2285 |
... )
|
| 2286 |
|
| 2287 |
Notes:
|
|
@@ -2294,13 +2451,14 @@ def create_interface():
|
|
| 2294 |
- Higher transaction costs and slippage considerations for 15-minute strategies
|
| 2295 |
- Best suited for highly liquid large-cap stocks with tight bid-ask spreads
|
| 2296 |
"""
|
| 2297 |
-
return analyze_stock(s, "15m", pd, ld, st, ue, urd, ust, rfr, mi, cw, tw, sw)
|
| 2298 |
|
| 2299 |
min15_predict_btn.click(
|
| 2300 |
fn=min15_analysis,
|
| 2301 |
inputs=[min15_symbol, min15_prediction_days, min15_lookback_days, min15_strategy,
|
| 2302 |
use_ensemble, use_regime_detection, use_stress_testing, risk_free_rate, market_index,
|
| 2303 |
-
chronos_weight, technical_weight, statistical_weight
|
|
|
|
| 2304 |
outputs=[min15_signals, min15_plot, min15_metrics, min15_risk_metrics, min15_sector_metrics,
|
| 2305 |
min15_regime_metrics, min15_stress_results, min15_ensemble_metrics, min15_signals_advanced]
|
| 2306 |
)
|
|
|
|
| 370 |
def make_prediction(symbol: str, timeframe: str = "1d", prediction_days: int = 5, strategy: str = "chronos",
|
| 371 |
use_ensemble: bool = True, use_regime_detection: bool = True, use_stress_testing: bool = True,
|
| 372 |
risk_free_rate: float = 0.02, ensemble_weights: Dict = None,
|
| 373 |
+
market_index: str = "^GSPC",
|
| 374 |
+
random_real_points: int = 4) -> Tuple[Dict, go.Figure]:
|
| 375 |
"""
|
| 376 |
Make prediction using selected strategy with advanced features.
|
| 377 |
|
|
|
|
| 386 |
risk_free_rate (float): Risk-free rate for calculations
|
| 387 |
ensemble_weights (Dict): Weights for ensemble models
|
| 388 |
market_index (str): Market index for correlation analysis
|
| 389 |
+
random_real_points (int): Number of random real points to include in long-horizon context
|
| 390 |
|
| 391 |
Returns:
|
| 392 |
Tuple[Dict, go.Figure]: Trading signals and visualization plot
|
|
|
|
| 399 |
try:
|
| 400 |
# Prepare data for Chronos
|
| 401 |
prices = df['Close'].values
|
| 402 |
+
window_size = 64 # Chronos context window size
|
| 403 |
+
context_window = prices[-window_size:]
|
| 404 |
+
scaler = MinMaxScaler(feature_range=(-1, 1))
|
| 405 |
+
normalized_prices = scaler.fit_transform(context_window.reshape(-1, 1)).flatten()
|
| 406 |
|
| 407 |
# Ensure we have enough data points
|
| 408 |
+
min_data_points = window_size
|
| 409 |
if len(normalized_prices) < min_data_points:
|
| 410 |
padding = np.full(min_data_points - len(normalized_prices), normalized_prices[-1])
|
| 411 |
normalized_prices = np.concatenate([padding, normalized_prices])
|
|
|
|
| 426 |
|
| 427 |
# Adjust prediction length based on timeframe
|
| 428 |
if timeframe == "1d":
|
| 429 |
+
max_prediction_length = window_size # 64 days
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 430 |
actual_prediction_length = min(prediction_days, max_prediction_length)
|
| 431 |
+
trim_length = prediction_days
|
| 432 |
elif timeframe == "1h":
|
| 433 |
+
max_prediction_length = window_size # 64 hours
|
| 434 |
actual_prediction_length = min(prediction_days * 24, max_prediction_length)
|
| 435 |
+
trim_length = prediction_days * 24
|
| 436 |
else: # 15m
|
| 437 |
+
max_prediction_length = window_size # 64 intervals
|
| 438 |
actual_prediction_length = min(prediction_days * 96, max_prediction_length)
|
| 439 |
+
trim_length = prediction_days * 96
|
| 440 |
actual_prediction_length = max(1, actual_prediction_length)
|
| 441 |
|
| 442 |
# Use predict_quantiles with proper formatting
|
|
|
|
| 627 |
quantiles = quantiles.detach().cpu().numpy()
|
| 628 |
mean = mean.detach().cpu().numpy()
|
| 629 |
|
| 630 |
+
# Denormalize predictions using the same scaler as context
|
| 631 |
mean_pred = scaler.inverse_transform(mean.reshape(-1, 1)).flatten()
|
| 632 |
lower_bound = scaler.inverse_transform(quantiles[0, :, 0].reshape(-1, 1)).flatten()
|
| 633 |
upper_bound = scaler.inverse_transform(quantiles[0, :, 2].reshape(-1, 1)).flatten()
|
|
|
|
| 635 |
# Calculate standard deviation from quantiles
|
| 636 |
std_pred = (upper_bound - lower_bound) / (2 * 1.645)
|
| 637 |
|
| 638 |
+
# Check for discontinuity between last actual and first prediction
|
| 639 |
+
last_actual = prices[-1]
|
| 640 |
+
first_pred = mean_pred[0]
|
| 641 |
+
if abs(first_pred - last_actual) > max(1e-6, 0.05 * abs(last_actual)):
|
| 642 |
+
print(f"Warning: Discontinuity detected between last actual ({last_actual}) and first prediction ({first_pred})")
|
| 643 |
+
|
| 644 |
+
# If we had to limit the prediction length, extend the prediction recursively
|
| 645 |
+
if actual_prediction_length < trim_length:
|
| 646 |
extended_mean_pred = mean_pred.copy()
|
| 647 |
extended_std_pred = std_pred.copy()
|
| 648 |
|
| 649 |
# Calculate the number of extension steps needed
|
| 650 |
+
remaining_steps = trim_length - actual_prediction_length
|
| 651 |
+
steps_needed = (remaining_steps + actual_prediction_length - 1) // actual_prediction_length
|
|
|
|
| 652 |
for step in range(steps_needed):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 653 |
|
| 654 |
+
# Use last window_size points as context for next prediction
|
| 655 |
+
context_window = np.concatenate([prices, extended_mean_pred])[-window_size:]
|
| 656 |
+
scaler = MinMaxScaler(feature_range=(-1, 1))
|
| 657 |
+
|
| 658 |
# Convert to tensor and ensure proper shape
|
| 659 |
+
normalized_context = scaler.fit_transform(context_window.reshape(-1, 1)).flatten()
|
| 660 |
context = torch.tensor(normalized_context, dtype=dtype, device=device)
|
| 661 |
if len(context.shape) == 1:
|
| 662 |
context = context.unsqueeze(0)
|
| 663 |
|
| 664 |
# Calculate next prediction length based on timeframe
|
| 665 |
if timeframe == "1d":
|
| 666 |
+
next_length = min(max_prediction_length, remaining_steps)
|
| 667 |
elif timeframe == "1h":
|
| 668 |
+
next_length = min(max_prediction_length, remaining_steps)
|
| 669 |
+
else:
|
| 670 |
+
next_length = min(max_prediction_length, remaining_steps)
|
|
|
|
|
|
|
| 671 |
with torch.amp.autocast('cuda'):
|
| 672 |
next_quantiles, next_mean = pipe.predict_quantiles(
|
| 673 |
context=context,
|
|
|
|
| 686 |
|
| 687 |
# Calculate standard deviation
|
| 688 |
next_std_pred = (next_upper - next_lower) / (2 * 1.645)
|
| 689 |
+
if abs(next_mean_pred[0] - extended_mean_pred[-1]) > max(1e-6, 0.05 * abs(extended_mean_pred[-1])):
|
| 690 |
+
print(f"Warning: Discontinuity detected between last prediction ({extended_mean_pred[-1]}) and next prediction ({next_mean_pred[0]})")
|
| 691 |
+
|
|
|
|
|
|
|
|
|
|
|
|
|
| 692 |
# Append predictions
|
| 693 |
extended_mean_pred = np.concatenate([extended_mean_pred, next_mean_pred])
|
| 694 |
extended_std_pred = np.concatenate([extended_std_pred, next_std_pred])
|
| 695 |
+
remaining_steps -= len(next_mean_pred)
|
| 696 |
+
if remaining_steps <= 0:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 697 |
break
|
| 698 |
|
| 699 |
# Trim to exact prediction length if needed
|
| 700 |
+
mean_pred = extended_mean_pred[:trim_length]
|
| 701 |
+
std_pred = extended_std_pred[:trim_length]
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 702 |
|
| 703 |
# Extend Chronos forecasting to volume and technical indicators
|
| 704 |
volume_pred = None
|
|
|
|
| 710 |
volume_data = df['Volume'].values
|
| 711 |
if len(volume_data) >= 64:
|
| 712 |
# Normalize volume data
|
| 713 |
+
window_size = 64
|
| 714 |
+
context_window = volume_data[-window_size:]
|
| 715 |
volume_scaler = MinMaxScaler(feature_range=(-1, 1))
|
| 716 |
+
normalized_volume = volume_scaler.fit_transform(context_window.reshape(-1, 1)).flatten()
|
| 717 |
+
if len(normalized_volume) < window_size:
|
| 718 |
+
padding = np.full(window_size - len(normalized_volume), normalized_volume[-1])
|
| 719 |
+
normalized_volume = np.concatenate([padding, normalized_volume])
|
| 720 |
+
elif len(normalized_volume) > window_size:
|
| 721 |
+
normalized_volume = normalized_volume[-window_size:]
|
| 722 |
+
volume_context = torch.tensor(normalized_volume, dtype=dtype, device=device)
|
| 723 |
+
if len(volume_context.shape) == 1:
|
| 724 |
+
volume_context = volume_context.unsqueeze(0)
|
| 725 |
with torch.amp.autocast('cuda'):
|
| 726 |
volume_quantiles, volume_mean = pipe.predict_quantiles(
|
| 727 |
+
context=volume_context,
|
| 728 |
+
prediction_length=actual_prediction_length,
|
| 729 |
quantile_levels=[0.1, 0.5, 0.9]
|
| 730 |
)
|
| 731 |
+
volume_quantiles = volume_quantiles.detach().cpu().numpy()
|
|
|
|
| 732 |
volume_mean = volume_mean.detach().cpu().numpy()
|
| 733 |
volume_pred = volume_scaler.inverse_transform(volume_mean.reshape(-1, 1)).flatten()
|
| 734 |
+
lower_bound = volume_scaler.inverse_transform(volume_quantiles[0, :, 0].reshape(-1, 1)).flatten()
|
| 735 |
+
upper_bound = volume_scaler.inverse_transform(volume_quantiles[0, :, 2].reshape(-1, 1)).flatten()
|
| 736 |
+
std_pred_vol = (upper_bound - lower_bound) / (2 * 1.645)
|
| 737 |
+
last_actual = volume_data[-1]
|
| 738 |
+
first_pred = volume_pred[0]
|
| 739 |
+
if abs(first_pred - last_actual) > max(1e-6, 0.05 * abs(last_actual)):
|
| 740 |
+
print(f"Warning: Discontinuity detected between last actual volume ({last_actual}) and first prediction ({first_pred})")
|
| 741 |
+
|
| 742 |
# Extend volume predictions if needed
|
| 743 |
+
if actual_prediction_length < trim_length:
|
| 744 |
+
extended_mean_pred = volume_pred.copy()
|
| 745 |
+
extended_std_pred = std_pred_vol.copy()
|
| 746 |
+
remaining_steps = trim_length - actual_prediction_length
|
| 747 |
+
steps_needed = (remaining_steps + actual_prediction_length - 1) // actual_prediction_length
|
| 748 |
+
for step in range(steps_needed):
|
| 749 |
+
# Use as much actual data as possible, then fill with predictions
|
| 750 |
+
n_actual = max(0, window_size - len(extended_mean_pred))
|
| 751 |
+
n_pred = window_size - n_actual
|
| 752 |
+
if n_actual > 0:
|
| 753 |
+
context_window = np.concatenate([
|
| 754 |
+
volume_data[-n_actual:],
|
| 755 |
+
extended_mean_pred[-n_pred:] if n_pred > 0 else np.array([])
|
| 756 |
+
])
|
| 757 |
+
else:
|
| 758 |
+
# All synthetic, but add a few random real points
|
| 759 |
+
n_random_real = min(random_real_points, len(volume_data))
|
| 760 |
+
random_real = np.random.choice(volume_data, size=n_random_real, replace=False)
|
| 761 |
+
context_window = np.concatenate([
|
| 762 |
+
extended_mean_pred[-(window_size - n_random_real):],
|
| 763 |
+
random_real
|
| 764 |
+
])
|
| 765 |
+
volume_scaler = MinMaxScaler(feature_range=(-1, 1))
|
| 766 |
+
normalized_context = volume_scaler.fit_transform(context_window.reshape(-1, 1)).flatten()
|
| 767 |
+
context = torch.tensor(normalized_context, dtype=dtype, device=device)
|
| 768 |
+
if len(context.shape) == 1:
|
| 769 |
+
context = context.unsqueeze(0)
|
| 770 |
+
next_length = min(window_size, remaining_steps)
|
| 771 |
+
with torch.amp.autocast('cuda'):
|
| 772 |
+
next_quantiles, next_mean = pipe.predict_quantiles(
|
| 773 |
+
context=context,
|
| 774 |
+
prediction_length=next_length,
|
| 775 |
+
quantile_levels=[0.1, 0.5, 0.9]
|
| 776 |
+
)
|
| 777 |
+
next_mean = next_mean.detach().cpu().numpy()
|
| 778 |
+
next_quantiles = next_quantiles.detach().cpu().numpy()
|
| 779 |
+
next_mean_pred = volume_scaler.inverse_transform(next_mean.reshape(-1, 1)).flatten()
|
| 780 |
+
next_lower = volume_scaler.inverse_transform(next_quantiles[0, :, 0].reshape(-1, 1)).flatten()
|
| 781 |
+
next_upper = volume_scaler.inverse_transform(next_quantiles[0, :, 2].reshape(-1, 1)).flatten()
|
| 782 |
+
next_std_pred = (next_upper - next_lower) / (2 * 1.645)
|
| 783 |
+
if abs(next_mean_pred[0] - extended_mean_pred[-1]) > max(1e-6, 0.05 * abs(extended_mean_pred[-1])):
|
| 784 |
+
print(f"Warning: Discontinuity detected between last volume prediction ({extended_mean_pred[-1]}) and next prediction ({next_mean_pred[0]})")
|
| 785 |
+
extended_mean_pred = np.concatenate([extended_mean_pred, next_mean_pred])
|
| 786 |
+
extended_std_pred = np.concatenate([extended_std_pred, next_std_pred])
|
| 787 |
+
remaining_steps -= len(next_mean_pred)
|
| 788 |
+
if remaining_steps <= 0:
|
| 789 |
+
break
|
| 790 |
+
volume_pred = extended_mean_pred[:trim_length]
|
| 791 |
+
else:
|
| 792 |
+
avg_volume = df['Volume'].mean()
|
| 793 |
+
volume_pred = np.full(trim_length, avg_volume)
|
| 794 |
except Exception as e:
|
| 795 |
print(f"Volume prediction error: {str(e)}")
|
| 796 |
# Fallback: use historical average
|
| 797 |
avg_volume = df['Volume'].mean()
|
| 798 |
+
volume_pred = np.full(trim_length, avg_volume)
|
|
|
|
| 799 |
try:
|
| 800 |
# Prepare RSI data for Chronos
|
| 801 |
rsi_data = df['RSI'].values
|
| 802 |
if len(rsi_data) >= 64 and not np.any(np.isnan(rsi_data)):
|
| 803 |
# RSI is already normalized (0-100), but we'll scale it to (-1, 1)
|
| 804 |
+
window_size = 64
|
| 805 |
+
context_window = rsi_data[-window_size:]
|
| 806 |
rsi_scaler = MinMaxScaler(feature_range=(-1, 1))
|
| 807 |
+
normalized_rsi = rsi_scaler.fit_transform(context_window.reshape(-1, 1)).flatten()
|
| 808 |
+
if len(normalized_rsi) < window_size:
|
| 809 |
+
padding = np.full(window_size - len(normalized_rsi), normalized_rsi[-1])
|
| 810 |
+
normalized_rsi = np.concatenate([padding, normalized_rsi])
|
| 811 |
+
elif len(normalized_rsi) > window_size:
|
| 812 |
+
normalized_rsi = normalized_rsi[-window_size:]
|
| 813 |
+
rsi_context = torch.tensor(normalized_rsi, dtype=dtype, device=device)
|
| 814 |
+
if len(rsi_context.shape) == 1:
|
| 815 |
+
rsi_context = rsi_context.unsqueeze(0)
|
| 816 |
with torch.amp.autocast('cuda'):
|
| 817 |
rsi_quantiles, rsi_mean = pipe.predict_quantiles(
|
| 818 |
+
context=rsi_context,
|
| 819 |
+
prediction_length=actual_prediction_length,
|
| 820 |
quantile_levels=[0.1, 0.5, 0.9]
|
| 821 |
)
|
|
|
|
| 822 |
# Convert and denormalize RSI predictions
|
| 823 |
+
rsi_quantiles = rsi_quantiles.detach().cpu().numpy()
|
| 824 |
rsi_mean = rsi_mean.detach().cpu().numpy()
|
| 825 |
rsi_pred = rsi_scaler.inverse_transform(rsi_mean.reshape(-1, 1)).flatten()
|
|
|
|
| 826 |
# Clamp RSI to valid range (0-100)
|
| 827 |
+
lower_bound = rsi_scaler.inverse_transform(rsi_quantiles[0, :, 0].reshape(-1, 1)).flatten()
|
| 828 |
+
upper_bound = rsi_scaler.inverse_transform(rsi_quantiles[0, :, 2].reshape(-1, 1)).flatten()
|
| 829 |
+
std_pred_rsi = (upper_bound - lower_bound) / (2 * 1.645)
|
| 830 |
rsi_pred = np.clip(rsi_pred, 0, 100)
|
| 831 |
+
last_actual = rsi_data[-1]
|
| 832 |
+
first_pred = rsi_pred[0]
|
| 833 |
+
if abs(first_pred - last_actual) > max(1e-6, 0.05 * abs(last_actual)):
|
| 834 |
+
print(f"Warning: Discontinuity detected between last actual RSI ({last_actual}) and first prediction ({first_pred})")
|
| 835 |
# Extend RSI predictions if needed
|
| 836 |
+
if actual_prediction_length < trim_length:
|
| 837 |
+
extended_mean_pred = rsi_pred.copy()
|
| 838 |
+
extended_std_pred = std_pred_rsi.copy()
|
| 839 |
+
remaining_steps = trim_length - actual_prediction_length
|
| 840 |
+
steps_needed = (remaining_steps + actual_prediction_length - 1) // actual_prediction_length
|
| 841 |
+
for step in range(steps_needed):
|
| 842 |
+
n_actual = max(0, window_size - len(extended_mean_pred))
|
| 843 |
+
n_pred = window_size - n_actual
|
| 844 |
+
if n_actual > 0:
|
| 845 |
+
context_window = np.concatenate([
|
| 846 |
+
rsi_data[-n_actual:],
|
| 847 |
+
extended_mean_pred[-n_pred:] if n_pred > 0 else np.array([])
|
| 848 |
+
])
|
| 849 |
+
else:
|
| 850 |
+
# All synthetic, but add a few random real points
|
| 851 |
+
n_random_real = min(random_real_points, len(rsi_data))
|
| 852 |
+
random_real = np.random.choice(rsi_data, size=n_random_real, replace=False)
|
| 853 |
+
context_window = np.concatenate([
|
| 854 |
+
extended_mean_pred[-(window_size - n_random_real):],
|
| 855 |
+
random_real
|
| 856 |
+
])
|
| 857 |
+
rsi_scaler = MinMaxScaler(feature_range=(-1, 1))
|
| 858 |
+
normalized_context = rsi_scaler.fit_transform(context_window.reshape(-1, 1)).flatten()
|
| 859 |
+
context = torch.tensor(normalized_context, dtype=dtype, device=device)
|
| 860 |
+
if len(context.shape) == 1:
|
| 861 |
+
context = context.unsqueeze(0)
|
| 862 |
+
next_length = min(window_size, remaining_steps)
|
| 863 |
+
with torch.amp.autocast('cuda'):
|
| 864 |
+
next_quantiles, next_mean = pipe.predict_quantiles(
|
| 865 |
+
context=context,
|
| 866 |
+
prediction_length=next_length,
|
| 867 |
+
quantile_levels=[0.1, 0.5, 0.9]
|
| 868 |
+
)
|
| 869 |
+
next_mean = next_mean.detach().cpu().numpy()
|
| 870 |
+
next_quantiles = next_quantiles.detach().cpu().numpy()
|
| 871 |
+
next_mean_pred = rsi_scaler.inverse_transform(next_mean.reshape(-1, 1)).flatten()
|
| 872 |
+
next_lower = rsi_scaler.inverse_transform(next_quantiles[0, :, 0].reshape(-1, 1)).flatten()
|
| 873 |
+
next_upper = rsi_scaler.inverse_transform(next_quantiles[0, :, 2].reshape(-1, 1)).flatten()
|
| 874 |
+
next_std_pred = (next_upper - next_lower) / (2 * 1.645)
|
| 875 |
+
next_mean_pred = np.clip(next_mean_pred, 0, 100)
|
| 876 |
+
if abs(next_mean_pred[0] - extended_mean_pred[-1]) > max(1e-6, 0.05 * abs(extended_mean_pred[-1])):
|
| 877 |
+
print(f"Warning: Discontinuity detected between last RSI prediction ({extended_mean_pred[-1]}) and next prediction ({next_mean_pred[0]})")
|
| 878 |
+
extended_mean_pred = np.concatenate([extended_mean_pred, next_mean_pred])
|
| 879 |
+
extended_std_pred = np.concatenate([extended_std_pred, next_std_pred])
|
| 880 |
+
remaining_steps -= len(next_mean_pred)
|
| 881 |
+
if remaining_steps <= 0:
|
| 882 |
+
break
|
| 883 |
+
rsi_pred = extended_mean_pred[:trim_length]
|
| 884 |
+
else:
|
| 885 |
+
last_rsi = df['RSI'].iloc[-1]
|
| 886 |
+
rsi_pred = np.full(trim_length, last_rsi)
|
| 887 |
except Exception as e:
|
| 888 |
print(f"RSI prediction error: {str(e)}")
|
| 889 |
# Fallback: use last known RSI value
|
| 890 |
last_rsi = df['RSI'].iloc[-1]
|
| 891 |
+
rsi_pred = np.full(trim_length, last_rsi)
|
|
|
|
| 892 |
try:
|
| 893 |
# Prepare MACD data for Chronos
|
| 894 |
macd_data = df['MACD'].values
|
| 895 |
if len(macd_data) >= 64 and not np.any(np.isnan(macd_data)):
|
| 896 |
# Normalize MACD data
|
| 897 |
+
window_size = 64
|
| 898 |
+
context_window = macd_data[-window_size:]
|
| 899 |
macd_scaler = MinMaxScaler(feature_range=(-1, 1))
|
| 900 |
+
normalized_macd = macd_scaler.fit_transform(context_window.reshape(-1, 1)).flatten()
|
| 901 |
+
if len(normalized_macd) < window_size:
|
| 902 |
+
padding = np.full(window_size - len(normalized_macd), normalized_macd[-1])
|
| 903 |
+
normalized_macd = np.concatenate([padding, normalized_macd])
|
| 904 |
+
elif len(normalized_macd) > window_size:
|
| 905 |
+
normalized_macd = normalized_macd[-window_size:]
|
| 906 |
+
macd_context = torch.tensor(normalized_macd, dtype=dtype, device=device)
|
| 907 |
+
if len(macd_context.shape) == 1:
|
| 908 |
+
macd_context = macd_context.unsqueeze(0)
|
| 909 |
with torch.amp.autocast('cuda'):
|
| 910 |
macd_quantiles, macd_mean = pipe.predict_quantiles(
|
| 911 |
+
context=macd_context,
|
| 912 |
+
prediction_length=actual_prediction_length,
|
| 913 |
quantile_levels=[0.1, 0.5, 0.9]
|
| 914 |
)
|
|
|
|
| 915 |
# Convert and denormalize MACD predictions
|
| 916 |
+
macd_quantiles = macd_quantiles.detach().cpu().numpy()
|
| 917 |
macd_mean = macd_mean.detach().cpu().numpy()
|
| 918 |
macd_pred = macd_scaler.inverse_transform(macd_mean.reshape(-1, 1)).flatten()
|
| 919 |
+
lower_bound = macd_scaler.inverse_transform(macd_quantiles[0, :, 0].reshape(-1, 1)).flatten()
|
| 920 |
+
upper_bound = macd_scaler.inverse_transform(macd_quantiles[0, :, 2].reshape(-1, 1)).flatten()
|
| 921 |
+
std_pred_macd = (upper_bound - lower_bound) / (2 * 1.645)
|
| 922 |
+
last_actual = macd_data[-1]
|
| 923 |
+
first_pred = macd_pred[0]
|
| 924 |
+
|
| 925 |
# Extend MACD predictions if needed
|
| 926 |
+
if abs(first_pred - last_actual) > max(1e-6, 0.05 * abs(last_actual)):
|
| 927 |
+
print(f"Warning: Discontinuity detected between last actual MACD ({last_actual}) and first prediction ({first_pred})")
|
| 928 |
+
if actual_prediction_length < trim_length:
|
| 929 |
+
extended_mean_pred = macd_pred.copy()
|
| 930 |
+
extended_std_pred = std_pred_macd.copy()
|
| 931 |
+
remaining_steps = trim_length - actual_prediction_length
|
| 932 |
+
steps_needed = (remaining_steps + actual_prediction_length - 1) // actual_prediction_length
|
| 933 |
+
for step in range(steps_needed):
|
| 934 |
+
n_actual = max(0, window_size - len(extended_mean_pred))
|
| 935 |
+
n_pred = window_size - n_actual
|
| 936 |
+
if n_actual > 0:
|
| 937 |
+
context_window = np.concatenate([
|
| 938 |
+
macd_data[-n_actual:],
|
| 939 |
+
extended_mean_pred[-n_pred:] if n_pred > 0 else np.array([])
|
| 940 |
+
])
|
| 941 |
+
else:
|
| 942 |
+
# All synthetic, but add a few random real points
|
| 943 |
+
n_random_real = min(random_real_points, len(macd_data))
|
| 944 |
+
random_real = np.random.choice(macd_data, size=n_random_real, replace=False)
|
| 945 |
+
context_window = np.concatenate([
|
| 946 |
+
extended_mean_pred[-(window_size - n_random_real):],
|
| 947 |
+
random_real
|
| 948 |
+
])
|
| 949 |
+
macd_scaler = MinMaxScaler(feature_range=(-1, 1))
|
| 950 |
+
normalized_context = macd_scaler.fit_transform(context_window.reshape(-1, 1)).flatten()
|
| 951 |
+
context = torch.tensor(normalized_context, dtype=dtype, device=device)
|
| 952 |
+
if len(context.shape) == 1:
|
| 953 |
+
context = context.unsqueeze(0)
|
| 954 |
+
next_length = min(window_size, remaining_steps)
|
| 955 |
+
with torch.amp.autocast('cuda'):
|
| 956 |
+
next_quantiles, next_mean = pipe.predict_quantiles(
|
| 957 |
+
context=context,
|
| 958 |
+
prediction_length=next_length,
|
| 959 |
+
quantile_levels=[0.1, 0.5, 0.9]
|
| 960 |
+
)
|
| 961 |
+
next_mean = next_mean.detach().cpu().numpy()
|
| 962 |
+
next_quantiles = next_quantiles.detach().cpu().numpy()
|
| 963 |
+
next_mean_pred = macd_scaler.inverse_transform(next_mean.reshape(-1, 1)).flatten()
|
| 964 |
+
next_lower = macd_scaler.inverse_transform(next_quantiles[0, :, 0].reshape(-1, 1)).flatten()
|
| 965 |
+
next_upper = macd_scaler.inverse_transform(next_quantiles[0, :, 2].reshape(-1, 1)).flatten()
|
| 966 |
+
next_std_pred = (next_upper - next_lower) / (2 * 1.645)
|
| 967 |
+
if abs(next_mean_pred[0] - extended_mean_pred[-1]) > max(1e-6, 0.05 * abs(extended_mean_pred[-1])):
|
| 968 |
+
print(f"Warning: Discontinuity detected between last MACD prediction ({extended_mean_pred[-1]}) and next prediction ({next_mean_pred[0]})")
|
| 969 |
+
extended_mean_pred = np.concatenate([extended_mean_pred, next_mean_pred])
|
| 970 |
+
extended_std_pred = np.concatenate([extended_std_pred, next_std_pred])
|
| 971 |
+
remaining_steps -= len(next_mean_pred)
|
| 972 |
+
if remaining_steps <= 0:
|
| 973 |
+
break
|
| 974 |
+
macd_pred = extended_mean_pred[:trim_length]
|
| 975 |
+
else:
|
| 976 |
+
last_macd = df['MACD'].iloc[-1]
|
| 977 |
+
macd_pred = np.full(trim_length, last_macd)
|
| 978 |
except Exception as e:
|
| 979 |
print(f"MACD prediction error: {str(e)}")
|
| 980 |
# Fallback: use last known MACD value
|
| 981 |
last_macd = df['MACD'].iloc[-1]
|
| 982 |
+
macd_pred = np.full(trim_length, last_macd)
|
|
|
|
| 983 |
except Exception as e:
|
| 984 |
print(f"Chronos prediction error: {str(e)}")
|
| 985 |
print(f"Error type: {type(e)}")
|
|
|
|
| 1896 |
label="Market Index for Correlation",
|
| 1897 |
value="^GSPC"
|
| 1898 |
)
|
| 1899 |
+
random_real_points = gr.Slider(
|
| 1900 |
+
minimum=0,
|
| 1901 |
+
maximum=16,
|
| 1902 |
+
value=4,
|
| 1903 |
+
step=1,
|
| 1904 |
+
label="Random Real Points in Long-Horizon Context"
|
| 1905 |
+
)
|
| 1906 |
|
| 1907 |
with gr.Column():
|
| 1908 |
gr.Markdown("### Ensemble Weights")
|
|
|
|
| 2116 |
|
| 2117 |
def analyze_stock(symbol, timeframe, prediction_days, lookback_days, strategy,
|
| 2118 |
use_ensemble, use_regime_detection, use_stress_testing,
|
| 2119 |
+
risk_free_rate, market_index, chronos_weight, technical_weight, statistical_weight,
|
| 2120 |
+
random_real_points):
|
| 2121 |
try:
|
| 2122 |
# Create ensemble weights
|
| 2123 |
ensemble_weights = {
|
|
|
|
| 2141 |
use_stress_testing=use_stress_testing,
|
| 2142 |
risk_free_rate=risk_free_rate,
|
| 2143 |
ensemble_weights=ensemble_weights,
|
| 2144 |
+
market_index=market_index,
|
| 2145 |
+
random_real_points=random_real_points
|
| 2146 |
)
|
| 2147 |
|
| 2148 |
# Get historical data for additional metrics
|
|
|
|
| 2224 |
|
| 2225 |
# Daily analysis button click
|
| 2226 |
def daily_analysis(s: str, pd: int, ld: int, st: str, ue: bool, urd: bool, ust: bool,
|
| 2227 |
+
rfr: float, mi: str, cw: float, tw: float, sw: float,
|
| 2228 |
+
rrp: int) -> Tuple[Dict, go.Figure, Dict, Dict, Dict, Dict, Dict, Dict, Dict]:
|
| 2229 |
"""
|
| 2230 |
Process daily timeframe stock analysis with advanced features.
|
| 2231 |
|
|
|
|
| 2259 |
Weight given to technical analysis predictions in ensemble methods
|
| 2260 |
sw (float): Statistical weight in ensemble (0.0-1.0)
|
| 2261 |
Weight given to statistical model predictions in ensemble methods
|
| 2262 |
+
rrp (int): Number of random real points to include in long-horizon context
|
| 2263 |
|
| 2264 |
Returns:
|
| 2265 |
Tuple[Dict, go.Figure, Dict, Dict, Dict, Dict, Dict, Dict, Dict]: Analysis results containing:
|
|
|
|
| 2279 |
|
| 2280 |
Example:
|
| 2281 |
>>> signals, plot, metrics, risk, sector, regime, stress, ensemble, advanced = daily_analysis(
|
| 2282 |
+
... "AAPL", 30, 365, "chronos", True, True, True, 0.02, "^GSPC", 0.6, 0.2, 0.2, 4
|
| 2283 |
... )
|
| 2284 |
|
| 2285 |
Notes:
|
|
|
|
| 2289 |
- Ensemble weights should sum to 1.0 for optimal results
|
| 2290 |
- Risk-free rate is typically between 0.02-0.05 (2-5% annually)
|
| 2291 |
"""
|
| 2292 |
+
return analyze_stock(s, "1d", pd, ld, st, ue, urd, ust, rfr, mi, cw, tw, sw, rrp)
|
| 2293 |
|
| 2294 |
daily_predict_btn.click(
|
| 2295 |
fn=daily_analysis,
|
| 2296 |
inputs=[daily_symbol, daily_prediction_days, daily_lookback_days, daily_strategy,
|
| 2297 |
use_ensemble, use_regime_detection, use_stress_testing, risk_free_rate, market_index,
|
| 2298 |
+
chronos_weight, technical_weight, statistical_weight,
|
| 2299 |
+
random_real_points],
|
| 2300 |
outputs=[daily_signals, daily_plot, daily_metrics, daily_risk_metrics, daily_sector_metrics,
|
| 2301 |
daily_regime_metrics, daily_stress_results, daily_ensemble_metrics, daily_signals_advanced]
|
| 2302 |
)
|
| 2303 |
|
| 2304 |
# Hourly analysis button click
|
| 2305 |
def hourly_analysis(s: str, pd: int, ld: int, st: str, ue: bool, urd: bool, ust: bool,
|
| 2306 |
+
rfr: float, mi: str, cw: float, tw: float, sw: float,
|
| 2307 |
+
rrp: int) -> Tuple[Dict, go.Figure, Dict, Dict, Dict, Dict, Dict, Dict, Dict]:
|
| 2308 |
"""
|
| 2309 |
Process hourly timeframe stock analysis with advanced features.
|
| 2310 |
|
|
|
|
| 2338 |
Weight for technical analysis in ensemble predictions
|
| 2339 |
sw (float): Statistical weight in ensemble (0.0-1.0)
|
| 2340 |
Weight for statistical models in ensemble predictions
|
| 2341 |
+
rrp (int): Number of random real points to include in long-horizon context
|
| 2342 |
|
| 2343 |
Returns:
|
| 2344 |
Tuple[Dict, go.Figure, Dict, Dict, Dict, Dict, Dict, Dict, Dict]: Analysis results containing:
|
|
|
|
| 2358 |
|
| 2359 |
Example:
|
| 2360 |
>>> signals, plot, metrics, risk, sector, regime, stress, ensemble, advanced = hourly_analysis(
|
| 2361 |
+
... "AAPL", 3, 14, "chronos", True, True, True, 0.02, "^GSPC", 0.6, 0.2, 0.2, 4
|
| 2362 |
... )
|
| 2363 |
|
| 2364 |
Notes:
|
|
|
|
| 2369 |
- Optimized for day trading and swing trading strategies
|
| 2370 |
- Requires high-liquidity stocks for reliable hourly analysis
|
| 2371 |
"""
|
| 2372 |
+
return analyze_stock(s, "1h", pd, ld, st, ue, urd, ust, rfr, mi, cw, tw, sw, rrp)
|
| 2373 |
|
| 2374 |
hourly_predict_btn.click(
|
| 2375 |
fn=hourly_analysis,
|
| 2376 |
inputs=[hourly_symbol, hourly_prediction_days, hourly_lookback_days, hourly_strategy,
|
| 2377 |
use_ensemble, use_regime_detection, use_stress_testing, risk_free_rate, market_index,
|
| 2378 |
+
chronos_weight, technical_weight, statistical_weight,
|
| 2379 |
+
random_real_points],
|
| 2380 |
outputs=[hourly_signals, hourly_plot, hourly_metrics, hourly_risk_metrics, hourly_sector_metrics,
|
| 2381 |
hourly_regime_metrics, hourly_stress_results, hourly_ensemble_metrics, hourly_signals_advanced]
|
| 2382 |
)
|
| 2383 |
|
| 2384 |
# 15-minute analysis button click
|
| 2385 |
def min15_analysis(s: str, pd: int, ld: int, st: str, ue: bool, urd: bool, ust: bool,
|
| 2386 |
+
rfr: float, mi: str, cw: float, tw: float, sw: float,
|
| 2387 |
+
rrp: int) -> Tuple[Dict, go.Figure, Dict, Dict, Dict, Dict, Dict, Dict, Dict]:
|
| 2388 |
"""
|
| 2389 |
Process 15-minute timeframe stock analysis with advanced features.
|
| 2390 |
|
|
|
|
| 2418 |
Weight for technical analysis in ensemble predictions
|
| 2419 |
sw (float): Statistical weight in ensemble (0.0-1.0)
|
| 2420 |
Weight for statistical models in ensemble predictions
|
| 2421 |
+
rrp (int): Number of random real points to include in long-horizon context
|
| 2422 |
|
| 2423 |
Returns:
|
| 2424 |
Tuple[Dict, go.Figure, Dict, Dict, Dict, Dict, Dict, Dict, Dict]: Analysis results containing:
|
|
|
|
| 2438 |
|
| 2439 |
Example:
|
| 2440 |
>>> signals, plot, metrics, risk, sector, regime, stress, ensemble, advanced = min15_analysis(
|
| 2441 |
+
... "AAPL", 1, 3, "chronos", True, True, True, 0.02, "^GSPC", 0.6, 0.2, 0.2, 4
|
| 2442 |
... )
|
| 2443 |
|
| 2444 |
Notes:
|
|
|
|
| 2451 |
- Higher transaction costs and slippage considerations for 15-minute strategies
|
| 2452 |
- Best suited for highly liquid large-cap stocks with tight bid-ask spreads
|
| 2453 |
"""
|
| 2454 |
+
return analyze_stock(s, "15m", pd, ld, st, ue, urd, ust, rfr, mi, cw, tw, sw, rrp)
|
| 2455 |
|
| 2456 |
min15_predict_btn.click(
|
| 2457 |
fn=min15_analysis,
|
| 2458 |
inputs=[min15_symbol, min15_prediction_days, min15_lookback_days, min15_strategy,
|
| 2459 |
use_ensemble, use_regime_detection, use_stress_testing, risk_free_rate, market_index,
|
| 2460 |
+
chronos_weight, technical_weight, statistical_weight,
|
| 2461 |
+
random_real_points],
|
| 2462 |
outputs=[min15_signals, min15_plot, min15_metrics, min15_risk_metrics, min15_sector_metrics,
|
| 2463 |
min15_regime_metrics, min15_stress_results, min15_ensemble_metrics, min15_signals_advanced]
|
| 2464 |
)
|