crypto_predictorandClaude Sonnet 4.5
9bbdc8d42b
🎯 项目成果： - 准确率: 53.10% (2026年测试集) - 任务类型: 二分类 (预测涨/跌) - 特征: OHLCV + RSI + MACD (9个特征) - 训练数据: 2020-2025年BTC小时数据 (52,351序列) - 测试数据: 2026年1-29日 (484序列) 📊 性能指标： - 精确率: 51.79% - 召回率: 49.36% - F1分数: 0.5054 - 预测分布: 非常平衡 (偏差仅-11个) 🔬 实验历史： - 尝试了5种方案 (回归/分类, 不同数据划分) - 分类任务优于回归任务 (53.10% vs 49.5%) - 全量训练避免了过拟合问题 📦 主要模型文件： - models/checkpoints/dlinear_classification_2026/ - best_model.pt (最佳模型) - preprocessor.pkl (预处理器) - test_2026_results.json (测试结果) Co-Authored-By: Claude Sonnet 4.5 <noreply@anthropic.com>
261 lines
9.1 KiB
Python
261 lines
9.1 KiB
Python
"""直接预测未来1小时的价格（而非收益率）"""
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import sys
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import os
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sys.path.insert(0, os.path.dirname(os.path.abspath(__file__)))
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import numpy as np
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import pandas as pd
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import pandas_ta as ta
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from sklearn.preprocessing import StandardScaler
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import torch
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import torch.nn as nn
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from torch.utils.data import DataLoader, TensorDataset
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from data.fetcher import BinanceDataFetcher
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from models.dlinear.model import DLinear, DLinearConfig
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from training.trainer import Trainer
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from training.config import TrainingConfig
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import json
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import pickle
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class PricePreprocessor:
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"""预测未来价格的预处理器"""
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def __init__(self, lookback=168, forecast_horizon=1):
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self.lookback = lookback
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self.forecast_horizon = forecast_horizon
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self.scaler = StandardScaler()
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self.price_scaler = StandardScaler() # 单独的价格缩放器
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self.is_fitted = False
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def add_features(self, df):
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"""添加技术指标"""
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df = df.copy()
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# RSI
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df['rsi'] = ta.rsi(df['close'], length=14)
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# MACD
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macd = ta.macd(df['close'])
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if macd is not None and not macd.empty:
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df['macd'] = macd.iloc[:, 0]
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df['macd_hist'] = macd.iloc[:, 1]
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df['macd_signal'] = macd.iloc[:, 2]
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return df
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def create_labels(self, df):
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"""创建标签：未来1小时的价格（绝对价格）"""
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df = df.copy()
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# 标签是未来1小时的收盘价
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df['future_price'] = df['close'].shift(-self.forecast_horizon)
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df['label'] = df['future_price']
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return df[:-self.forecast_horizon]
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def preprocess(self, df, fit=True):
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"""完整预处理流程"""
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# 添加技术指标
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df = self.add_features(df)
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df = self.create_labels(df)
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# 删除NaN
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df = df.dropna().reset_index(drop=True)
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# 特征列
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feature_cols = ['open', 'high', 'low', 'close', 'volume',
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'rsi', 'macd', 'macd_hist', 'macd_signal']
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# 标准化特征
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if fit:
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scaled_features = self.scaler.fit_transform(df[feature_cols])
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# 单独标准化价格标签（用于训练）
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scaled_labels = self.price_scaler.fit_transform(df[['label']])
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self.is_fitted = True
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self.feature_columns = feature_cols
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else:
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if not self.is_fitted:
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raise ValueError("Must fit before transform")
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scaled_features = self.scaler.transform(df[feature_cols])
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scaled_labels = self.price_scaler.transform(df[['label']])
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# 创建序列
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X, y = [], []
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for i in range(len(scaled_features) - self.lookback):
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X.append(scaled_features[i:i + self.lookback])
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y.append(scaled_labels[i + self.lookback, 0]) # 标准化后的价格
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return np.array(X), np.array(y), df
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def inverse_transform_price(self, scaled_price):
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"""将标准化的价格还原为真实价格"""
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return self.price_scaler.inverse_transform(scaled_price.reshape(-1, 1)).flatten()
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def main():
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print("="*80)
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print("训练模型：直接预测未来1小时价格")
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print("="*80)
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# ========== 步骤1: 获取数据 ==========
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print("\n[1/7] 获取BTC 2020-2025年数据...")
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fetcher = BinanceDataFetcher()
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df = fetcher.fetch_ohlcv(
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symbol='BTC',
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timeframe='1h',
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start_date='2020-01-01',
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end_date='2025-12-31',
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use_cache=True
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)
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print(f"✓ 数据量: {len(df):,} 行")
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print(f"✓ 时间: {df['timestamp'].min()} 至 {df['timestamp'].max()}")
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print(f"✓ 价格: ${df['close'].iloc[0]:,.2f} → ${df['close'].iloc[-1]:,.2f}")
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# ========== 步骤2: 预处理 ==========
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print("\n[2/7] 数据预处理（预测绝对价格）...")
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preprocessor = PricePreprocessor(lookback=168, forecast_horizon=1)
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X, y, processed_df = preprocessor.preprocess(df, fit=True)
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print(f"✓ 序列数量: {len(X):,}")
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print(f"✓ 序列形状: {X.shape}")
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print(f"✓ 特征数量: {len(preprocessor.feature_columns)}")
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# 还原真实价格看看统计
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y_real = preprocessor.inverse_transform_price(y)
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print(f"\n✓ 目标价格统计（真实值）:")
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print(f" 最小值: ${y_real.min():,.2f}")
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print(f" 最大值: ${y_real.max():,.2f}")
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print(f" 均值: ${y_real.mean():,.2f}")
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# ========== 步骤3: 划分数据集（95/5）==========
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print("\n[3/7] 划分数据集（95%训练 + 5%验证）...")
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n = len(X)
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train_end = int(n * 0.95)
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X_train, y_train = X[:train_end], y[:train_end]
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X_val, y_val = X[train_end:], y[train_end:]
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print(f" 训练集: {len(X_train):,} 样本")
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print(f" 验证集: {len(X_val):,} 样本")
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# ========== 步骤4: 创建数据加载器 ==========
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print("\n[4/7] 创建数据加载器...")
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train_dataset = TensorDataset(
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torch.FloatTensor(X_train),
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torch.FloatTensor(y_train)
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)
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val_dataset = TensorDataset(
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torch.FloatTensor(X_val),
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torch.FloatTensor(y_val)
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)
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train_loader = DataLoader(train_dataset, batch_size=64, shuffle=False)
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val_loader = DataLoader(val_dataset, batch_size=64, shuffle=False)
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# ========== 步骤5: 创建模型 ==========
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print("\n[5/7] 创建DLinear模型...")
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model_config = DLinearConfig(
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input_dim=9,
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lookback=168,
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task='regression', # 仍然是回归，但预测价格而非收益率
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hidden_dim=256,
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dropout=0.1,
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moving_avg_kernel=25
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)
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model = DLinear(model_config)
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print(f"✓ 模型参数: {model.count_parameters():,}")
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print(f"✓ 预测目标: 未来1小时的绝对价格")
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# ========== 步骤6: 训练 ==========
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print("\n[6/7] 开始训练...")
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train_config = TrainingConfig(
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batch_size=64,
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max_epochs=50,
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learning_rate=0.001,
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early_stopping_patience=15,
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lr_scheduler='plateau',
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save_best=True,
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checkpoint_dir='./models/checkpoints/dlinear_predict_price'
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)
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trainer = Trainer(model, train_config, task='regression')
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history = trainer.fit(train_loader, val_loader)
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# ========== 步骤7: 评估 ==========
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print("\n[7/7] 评估模型...")
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# 在验证集上预测
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device = torch.device('mps' if torch.backends.mps.is_available() else 'cpu')
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model = model.to(device)
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model.eval()
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val_preds = []
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with torch.no_grad():
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for batch_X, _ in val_loader:
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batch_X = batch_X.to(device)
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pred = model(batch_X).squeeze()
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val_preds.extend(pred.cpu().numpy())
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val_preds = np.array(val_preds)
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# 还原为真实价格
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pred_prices = preprocessor.inverse_transform_price(val_preds)
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true_prices = preprocessor.inverse_transform_price(y_val)
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# 计算当前价格（用于判断方向）
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val_start_idx = train_end + 168 # +168是lookback
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current_prices = processed_df['close'].iloc[val_start_idx:val_start_idx+len(pred_prices)].values
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# 方向准确率
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pred_direction = (pred_prices > current_prices).astype(int)
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true_direction = (true_prices > current_prices).astype(int)
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direction_acc = (pred_direction == true_direction).mean()
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# 价格预测误差
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price_mae = np.abs(pred_prices - true_prices).mean()
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price_rmse = np.sqrt(((pred_prices - true_prices) ** 2).mean())
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price_mape = np.mean(np.abs((true_prices - pred_prices) / true_prices)) * 100
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print("\n" + "="*80)
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print("训练完成 - 验证集性能")
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print("="*80)
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print(f"\n📊 价格预测误差:")
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print(f" MAE: ${price_mae:,.2f}")
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print(f" RMSE: ${price_rmse:,.2f}")
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print(f" MAPE: {price_mape:.2f}%")
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print(f"\n📈 方向预测:")
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print(f" 方向准确率: {direction_acc*100:.2f}%")
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print(f" 预测上涨: {(pred_direction==1).sum()} / 实际上涨: {(true_direction==1).sum()}")
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print(f" 预测下跌: {(pred_direction==0).sum()} / 实际下跌: {(true_direction==0).sum()}")
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print(f"\n💡 价格预测示例（前10个）:")
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print(f"{'当前价格':<12} {'预测价格':<12} {'实际价格':<12} {'预测方向':<8} {'实际方向':<8}")
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print("-"*70)
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for i in range(min(10, len(pred_prices))):
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pred_dir = "上涨" if pred_prices[i] > current_prices[i] else "下跌"
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true_dir = "上涨" if true_prices[i] > current_prices[i] else "下跌"
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print(f"${current_prices[i]:<11,.2f} ${pred_prices[i]:<11,.2f} ${true_prices[i]:<11,.2f} "
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f"{pred_dir:<8} {true_dir:<8}")
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# 保存模型和预处理器
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with open('./models/checkpoints/dlinear_predict_price/preprocessor.pkl', 'wb') as f:
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pickle.dump(preprocessor, f)
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# 保存评估指标
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metrics = {
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'price_mae': float(price_mae),
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'price_rmse': float(price_rmse),
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'price_mape': float(price_mape),
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'direction_accuracy': float(direction_acc)
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}
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with open('./models/checkpoints/dlinear_predict_price/metrics.json', 'w') as f:
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json.dump(metrics, f, indent=2)
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print(f"\n✓ 模型保存至: ./models/checkpoints/dlinear_predict_price/")
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print("="*80)
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if __name__ == "__main__":
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main()
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