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Tonic commited on
Commit ·
bd7c6bf
1
Parent(s): 09db56d
adds padding, time windows based on yfinance
Browse files
app.py
CHANGED
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@@ -57,7 +57,7 @@ def get_historical_data(symbol: str, timeframe: str = "1d", lookback_days: int =
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pd.DataFrame: Historical data with OHLCV and technical indicators
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"""
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try:
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# Map timeframe to yfinance interval
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tf_map = {
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"1d": "1d",
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"1h": "1h",
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@@ -65,6 +65,12 @@ def get_historical_data(symbol: str, timeframe: str = "1d", lookback_days: int =
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}
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interval = tf_map.get(timeframe, "1d")
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# Calculate date range
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end_date = datetime.now()
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start_date = end_date - timedelta(days=lookback_days)
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@@ -73,6 +79,9 @@ def get_historical_data(symbol: str, timeframe: str = "1d", lookback_days: int =
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ticker = yf.Ticker(symbol)
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df = ticker.history(start=start_date, end=end_date, interval=interval)
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# Get additional info for structured products
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info = ticker.info
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df['Market_Cap'] = info.get('marketCap', None)
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@@ -80,31 +89,50 @@ def get_historical_data(symbol: str, timeframe: str = "1d", lookback_days: int =
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df['Industry'] = info.get('industry', None)
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df['Dividend_Yield'] = info.get('dividendYield', None)
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# Calculate technical indicators
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df['RSI'] = calculate_rsi(df['Close'])
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df['MACD'], df['MACD_Signal'] = calculate_macd(df['Close'])
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df['BB_Upper'], df['BB_Middle'], df['BB_Lower'] = calculate_bollinger_bands(df['Close'])
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# Calculate returns and volatility
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df['Returns'] = df['Close'].pct_change()
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df['Volatility'] = df['Returns'].rolling(window=
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df['Annualized_Vol'] = df['Volatility'] * np.sqrt(252)
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# Calculate drawdown metrics
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df['Rolling_Max'] = df['Close'].rolling(window=
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df['Drawdown'] = (df['Close'] - df['Rolling_Max']) / df['Rolling_Max']
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df['Max_Drawdown'] = df['Drawdown'].rolling(window=
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# Calculate liquidity metrics
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df['Avg_Daily_Volume'] = df['Volume'].rolling(window=
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df['Volume_Volatility'] = df['Volume'].rolling(window=
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# Drop NaN values
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df = df.dropna()
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return df
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except Exception as e:
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@@ -157,6 +185,14 @@ def make_prediction(symbol: str, timeframe: str = "1d", prediction_days: int = 5
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# Prepare data for Chronos
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returns = df['Returns'].values
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normalized_returns = (returns - returns.mean()) / returns.std()
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context = torch.tensor(normalized_returns.reshape(-1, 1), dtype=torch.float32)
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# Make prediction with GPU acceleration
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@@ -176,7 +212,10 @@ def make_prediction(symbol: str, timeframe: str = "1d", prediction_days: int = 5
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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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with torch.inference_mode():
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prediction = pipe.predict(
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pd.DataFrame: Historical data with OHLCV and technical indicators
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"""
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try:
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# Map timeframe to yfinance interval and adjust lookback period
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tf_map = {
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"1d": "1d",
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"1h": "1h",
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}
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interval = tf_map.get(timeframe, "1d")
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# Adjust lookback period based on timeframe
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if timeframe == "1h":
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lookback_days = min(lookback_days, 30) # Yahoo limits hourly data to 30 days
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elif timeframe == "15m":
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lookback_days = min(lookback_days, 5) # Yahoo limits 15m data to 5 days
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# Calculate date range
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end_date = datetime.now()
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start_date = end_date - timedelta(days=lookback_days)
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ticker = yf.Ticker(symbol)
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df = ticker.history(start=start_date, end=end_date, interval=interval)
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if df.empty:
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raise Exception(f"No data available for {symbol} in {timeframe} timeframe")
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# Get additional info for structured products
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info = ticker.info
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df['Market_Cap'] = info.get('marketCap', None)
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df['Industry'] = info.get('industry', None)
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df['Dividend_Yield'] = info.get('dividendYield', None)
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# Calculate technical indicators with adjusted windows based on timeframe
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if timeframe == "1d":
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sma_window_20 = 20
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sma_window_50 = 50
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sma_window_200 = 200
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vol_window = 20
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elif timeframe == "1h":
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sma_window_20 = 20 * 6 # 5 trading days
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sma_window_50 = 50 * 6 # ~10 trading days
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sma_window_200 = 200 * 6 # ~40 trading days
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vol_window = 20 * 6
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else: # 15m
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sma_window_20 = 20 * 24 # 5 trading days
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sma_window_50 = 50 * 24 # ~10 trading days
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sma_window_200 = 200 * 24 # ~40 trading days
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vol_window = 20 * 24
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df['SMA_20'] = df['Close'].rolling(window=sma_window_20).mean()
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df['SMA_50'] = df['Close'].rolling(window=sma_window_50).mean()
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df['SMA_200'] = df['Close'].rolling(window=sma_window_200).mean()
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df['RSI'] = calculate_rsi(df['Close'])
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df['MACD'], df['MACD_Signal'] = calculate_macd(df['Close'])
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df['BB_Upper'], df['BB_Middle'], df['BB_Lower'] = calculate_bollinger_bands(df['Close'])
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# Calculate returns and volatility
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df['Returns'] = df['Close'].pct_change()
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df['Volatility'] = df['Returns'].rolling(window=vol_window).std()
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df['Annualized_Vol'] = df['Volatility'] * np.sqrt(252)
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# Calculate drawdown metrics
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df['Rolling_Max'] = df['Close'].rolling(window=len(df), min_periods=1).max()
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df['Drawdown'] = (df['Close'] - df['Rolling_Max']) / df['Rolling_Max']
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df['Max_Drawdown'] = df['Drawdown'].rolling(window=len(df), min_periods=1).min()
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# Calculate liquidity metrics
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df['Avg_Daily_Volume'] = df['Volume'].rolling(window=vol_window).mean()
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df['Volume_Volatility'] = df['Volume'].rolling(window=vol_window).std()
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# Drop NaN values
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df = df.dropna()
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if len(df) < 2:
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raise Exception(f"Insufficient data points for {symbol} in {timeframe} timeframe")
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return df
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except Exception as e:
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# Prepare data for Chronos
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returns = df['Returns'].values
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normalized_returns = (returns - returns.mean()) / returns.std()
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# Ensure we have enough data points
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min_data_points = 64 # Minimum required by Chronos
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if len(normalized_returns) < min_data_points:
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# Pad the data with the last value
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padding = np.full(min_data_points - len(normalized_returns), normalized_returns[-1])
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normalized_returns = np.concatenate([padding, normalized_returns])
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context = torch.tensor(normalized_returns.reshape(-1, 1), dtype=torch.float32)
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# Make prediction with GPU acceleration
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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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# Ensure prediction length is at least 1
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actual_prediction_length = max(1, actual_prediction_length)
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with torch.inference_mode():
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prediction = pipe.predict(
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