Gekko 交易機器人 - 基於 ConvNetJs 深度學習 (Deep Learning) 框架的交易策略 (Strategy)，隨時間市場自動調整參數

這是一個在 Discord 群翻到的 Gekko 策略，它本身並沒有 .toml 檔也就是沒有參數需要設置，因為它的參數是隨市場、時間自動運算的，但跟之前以 MA 線判定牛 / 熊市的 RSI 策略又不太一樣，因為 RSI 那個策略是固定的兩組參數，簡單來說市場對策略來說非牛即熊，並不能真的很有彈性地去變化。但原作者也有提到 Neural Network 的策略並不是簡單的複製貼上，你必須要了解它的內容和原理才能真正使用它。

這是一個基於 ConvNetJs 深度學習框架的交易策略，光是需要載入的程式庫就一大堆，但卻沒有用到技術指標和 Gekko 內建的 Tulip、TA-Lib ，真正跑起來運算量也比一般策略大上不少，有興趣的人可以把策略拆開來研究研究。

Js Code : 

var convnetjs = require('convnetjs')
var z = require('zero-fill')
var stats = require('stats-lite')
var n = require('numbro')
var math = require('mathjs')
const cluster = require('cluster');
const numCPUs = require('os').cpus().length;
var _ = require('lodash');
var gauss = require('gauss');

const deepqlearn = require('convnetjs/build/deepqlearn');

var log = require('../core/log.js');
// the below line starts you at 0 threads
global.forks = 0
// the below line is for calculating the last mean vs the now mean.
var oldmean = 0
getOption = function () {

  }




// let's create our own method
var method = {};
options = "Options Set";
options.period = "1m";
options.period_length = "1m";
options.activation_1_type = "regression";
options.neurons_1 = 1;
options.depth = 4;
options.selector = "Gdax.BTC-USD";
options.min_periods = 1500;
options.min_predict = 1;
options.momentum =0.2;
options.decay = 0.1;
options.threads = 4;
options.learns = 2;
/*
[myStoch]
highThreshold = 80
lowThreshold = 20
optInFastKPeriod = 14
optInSlowKPeriod = 5
optInSlowDPeriod = 5

[myLongEma]
optInTimePeriod = 100

[myShortEma]
optInTimePeriod = 50

[stopLoss]
percent = 0.9*/

var hasbought = false;
var stochParams = {
    optInFastKPeriod: 8,
    optInSlowKPeriod: 3,
    optInSlowDPeriod: 3
  };

var VarList = new gauss.Collection();
var Lowdiff = [];
var Topdiff = [];
var lowup = 0;



neural = undefined;
// prepare everything our method needs
method.init = function() {
    this.requiredHistory = this.tradingAdvisor.historySize;


    if (neural === undefined) {
        // Create the net the first time it is needed and NOT on every run
        neural = {
          net : new convnetjs.Net(),
          layer_defs : [
            {type:'input', out_sx:4, out_sy:4, out_depth:options.depth},
            {type:'fc', num_neurons:options.neurons_1, activation:options.activation_1_type},
            {type:'regression', num_neurons:5}
          ],
          neuralDepth: options.depth
      }
        neural.net.makeLayers(neural.layer_defs);
        neural.trainer = new convnetjs.SGDTrainer(neural.net, {learning_rate:0.05, momentum:options.momentum, batch_size:10, l2_decay:options.decay});
      }






}



var haspredicted = false;
var predictioncount = 0;
var maxaccuracy = 0;
var lowaccuracy = 0;
var highpeak =6;
var lowpeak =-100;
previouspred = 0;



// what happens on every new candle?
method.update = function(candle) {
    this.HCL = (this.candle.high + this.candle.close + this.candle.open) /3;
  //  if(Price.length > 1000){
  //    Price.shift()
  //  }
    Price.push(candle.close);
    if(Price.length > 2)
    {
        var tlp = []
        var tll = []

          var my_data = Price;
          var learn = function () {
              for (var i = 0; i < Price.length - 1; i++) {

                this.data = my_data.slice(i, i + 1); //previous price
                this.real_value = [my_data[i + 1]]; //this price
                this.aver = [(data[0] + real_value[0])/2];
                x = new convnetjs.Vol(data);
            //    y = new convnetjs.Vol(aver);
                neural.trainer.train(x, real_value);
            //    neural.trainer.train(y, x);
                this.predicted_values =neural.net.forward(x);
            //    test = [predicted_values.w[0]];

            //    y = new convnetjs.Vol(test);
            //    neural.trainer.train(y, x);
            //    this.predicted_values1 =neural.net.forward(y);
               // this.predicted_values1 =neural.net.forward(real_value);
             //   this.predicted_values2 =neural.net.forward();
                this.accuracy = predicted_values.w[0] -real_value
             //   this.accuracy = previouspred -real_value
                this.accuracymatch = predicted_values.w[0] == real_value;
                this.rewardtheybitches = neural.net.backward(accuracymatch);
                if(accuracy > 0)
                {
                  if(accuracy > maxaccuracy) {maxaccuracy = accuracy}
                }
                if(accuracy <0)
                {
                  if(accuracy < lowaccuracy) {lowaccuracy = accuracy}

                }
                predictioncount++;
                haspredicted = true;

              }
            }
            learn();

            // var json = neural.net.toJSON();
            // // the entire object is now simply string. You can save this somewhere
            // var str = JSON.stringify(json);
            // log.debug(str);

    }

}


method.log = function(candle) {
/*  if(Price.length > 4){
  console.log(' data:\t\t\t',data);
  console.log(' real value:\t\t',real_value);
  console.log(' price:\t\t\t',candle.close);
  console.log(' x:\t\t\t',x.w);
//  console.log(' y:\t\t\t',y.w);
  console.log(' predicted value:\t',predicted_values.w);
 // console.log(' predicted value1:\t',predicted_values1);
  console.log(' accuracymatch:\t\t',accuracymatch);
  console.log(' reward:\t\t\t',aver);
  console.log(' accuracy:\t\t',accuracy);
  console.log(' max accuracy:\t\t',maxaccuracy);
  console.log(' min accuracy:\t\t',lowaccuracy);
  console.log('=================================');
  }*/
}

method.handleposition  = function(){

}
var Price = [];
function per(num, amount){
    return num*amount/100;
    }

ManageSize = function(){


      var calculatedpercent = per(Price.length,6);
      Price.splice(0,calculatedpercent);

}
method.check = function(candle) {

          //Learn
          var predict = function(data) {
            var x = new convnetjs.Vol(data);
            var predicted_value = neural.net.forward(x);
         
            return predicted_value.w[0];
          }

          this.HCL = (this.candle.high + this.candle.close + this.candle.open) /3;
        //  console.log(' candle nummer:\t\t', Price.length);
        //  console.log('prediction count:\t', predictioncount);
         
          if(haspredicted & predictioncount > 1000)
          {
            var item = Price;
            prediction = predict(item)
            previouspred = prediction;
            mean = Price[Price.length -1];
           // oldmean = prediction
            meanp = math.mean(prediction, mean)
            global.meanp = meanp
            global.mean = mean
            var percentvar = (meanp-mean)/mean * 100;
            VarList.push(percentvar);
            if(VarList.length > 1000){
              VarList.shift()
            }

       /*     if(percentvar < 0) {

              prediction += lowaccuracy;
              percentvar += lowaccuracy;
              if(lowpeak > percentvar) { lowpeak = percentvar;}



            }
            if(percentvar > 0) {

              prediction -= maxaccuracy;
              percentvar -= maxaccuracy;
              if(highpeak < percentvar) { highpeak = percentvar;}
            }*/

            var VectorVar = VarList.toVector();
            var Variance =( VectorVar.variance());
            var Density30 = VectorVar.density(30);


                var top = per(Density30[Density30.length -1],-30);
                               // 1    x   1/100
                var low =(per(Density30[0],-10)) ;
               // log.debug("Variance :",Variance);
              //  console.log('top:\t', top);
              //  console.log('low:\t', low);
               
              if(percentvar > low){
                  var lowper = low - percentvar;
                  Lowdiff.push(lowper);
              } 
              if(percentvar < top){
                var topper = top - percentvar;
                Topdiff.push(topper);
            }         
               
                  if(Lowdiff.length > 20){Lowdiff.shift()}
                  if(Topdiff.length > 20){Topdiff.shift()}
               
                  lowup = math.sum(Lowdiff) / Lowdiff.length;
                  topup = math.sum(Topdiff) / Topdiff.length;


              //  console.log('topup', topup);
              //  console.log('differnce:', lowper);
              //  console.log('lowup', lowup);
               // console.log(' ');

                global.sig0 = global.meanp < global.mean && meanp != 0

                if (global.sig0 === false  && percentvar > low){
                  ManageSize();
                }
               
                if (global.sig0 === false  && percentvar > (low - lowup) && hasbought === false && candle.close > previousprice)
                   {

                          log.debug("IA - Buy - AT: \t\t",candle.close);
                        //  log.debug("Variance :",Variance);
                        //  log.debug("Density 30: low  ",low);
                          hasbought = true;
                          meanp = 0;
                          mean = 0;
                          haspredicted = false;
                          buyprice = candle.close;
                        //  ManageSize();
                          return this.advice('long');
                   }
                else if
                (global.sig0 === true && percentvar < top && hasbought === true)
                {
                      profit = (candle.close - buyprice)/buyprice*100;
                       log.debug("IA - Sell - At: \t",candle.close, 'profit:', profit.toFixed(2));
                    //   log.debug("Density 30 high : ",top);
                    //   log.debug("Variance :",Variance);
                      meanp = 0;
                      mean = 0;
                      hasbought = false;
                      haspredicted = false;
                      return this.advice('short');



                }
                previousprice = candle.close;

          }

}

module.exports = method;


在 Js 起頭就可以看到呼叫了一大堆程式庫，所以如果你本身沒有裝這些程式庫的話要一一安裝完成才能正常使用，安裝指令如下 :

npm install convnetjs
npm install zero-fill
npm install stats-lite
npm install numbro
npm install mathjs
npm install cluster
npm install os
npm install lodash
npm install gauss