LSTM.ipynb

{
  "nbformat": 4,
  "nbformat_minor": 0,
  "metadata": {
    "colab": {
      "name": "Untitled1.ipynb",
      "provenance": [],
      "collapsed_sections": []
    },
    "kernelspec": {
      "name": "python3",
      "display_name": "Python 3"
    },
    "accelerator": "GPU"
  },
  "cells": [
    {
      "cell_type": "code",
      "metadata": {
        "colab": {
          "base_uri": "https://localhost:8080/"
        },
        "id": "yacGFYqvwVeC",
        "outputId": "5263a6b3-051d-4282-8a0e-5d79c9c2050f"
      },
      "source": [
        "pip install yfinance --upgrade --no-cache-dir"
      ],
      "execution_count": null,
      "outputs": [
        {
          "output_type": "stream",
          "text": [
            "Collecting yfinance\n",
            "  Downloading https://files.pythonhosted.org/packages/7a/e8/b9d7104d3a4bf39924799067592d9e59119fcfc900a425a12e80a3123ec8/yfinance-0.1.55.tar.gz\n",
            "Requirement already satisfied, skipping upgrade: pandas>=0.24 in /usr/local/lib/python3.6/dist-packages (from yfinance) (1.1.5)\n",
            "Requirement already satisfied, skipping upgrade: numpy>=1.15 in /usr/local/lib/python3.6/dist-packages (from yfinance) (1.19.4)\n",
            "Requirement already satisfied, skipping upgrade: requests>=2.20 in /usr/local/lib/python3.6/dist-packages (from yfinance) (2.23.0)\n",
            "Requirement already satisfied, skipping upgrade: multitasking>=0.0.7 in /usr/local/lib/python3.6/dist-packages (from yfinance) (0.0.9)\n",
            "Collecting lxml>=4.5.1\n",
            "\u001b[?25l  Downloading https://files.pythonhosted.org/packages/bd/78/56a7c88a57d0d14945472535d0df9fb4bbad7d34ede658ec7961635c790e/lxml-4.6.2-cp36-cp36m-manylinux1_x86_64.whl (5.5MB)\n",
            "\u001b[K     |████████████████████████████████| 5.5MB 20.0MB/s \n",
            "\u001b[?25hRequirement already satisfied, skipping upgrade: pytz>=2017.2 in /usr/local/lib/python3.6/dist-packages (from pandas>=0.24->yfinance) (2018.9)\n",
            "Requirement already satisfied, skipping upgrade: python-dateutil>=2.7.3 in /usr/local/lib/python3.6/dist-packages (from pandas>=0.24->yfinance) (2.8.1)\n",
            "Requirement already satisfied, skipping upgrade: urllib3!=1.25.0,!=1.25.1,<1.26,>=1.21.1 in /usr/local/lib/python3.6/dist-packages (from requests>=2.20->yfinance) (1.24.3)\n",
            "Requirement already satisfied, skipping upgrade: chardet<4,>=3.0.2 in /usr/local/lib/python3.6/dist-packages (from requests>=2.20->yfinance) (3.0.4)\n",
            "Requirement already satisfied, skipping upgrade: idna<3,>=2.5 in /usr/local/lib/python3.6/dist-packages (from requests>=2.20->yfinance) (2.10)\n",
            "Requirement already satisfied, skipping upgrade: certifi>=2017.4.17 in /usr/local/lib/python3.6/dist-packages (from requests>=2.20->yfinance) (2020.12.5)\n",
            "Requirement already satisfied, skipping upgrade: six>=1.5 in /usr/local/lib/python3.6/dist-packages (from python-dateutil>=2.7.3->pandas>=0.24->yfinance) (1.15.0)\n",
            "Building wheels for collected packages: yfinance\n",
            "  Building wheel for yfinance (setup.py) ... \u001b[?25l\u001b[?25hdone\n",
            "  Created wheel for yfinance: filename=yfinance-0.1.55-py2.py3-none-any.whl size=22616 sha256=08f1b1a86d9abe3854a6b270b4ec502a5ac4eb58caadf8533ebf87f6cafd3c04\n",
            "  Stored in directory: /tmp/pip-ephem-wheel-cache-urwt_sv2/wheels/04/98/cc/2702a4242d60bdc14f48b4557c427ded1fe92aedf257d4565c\n",
            "Successfully built yfinance\n",
            "Installing collected packages: lxml, yfinance\n",
            "  Found existing installation: lxml 4.2.6\n",
            "    Uninstalling lxml-4.2.6:\n",
            "      Successfully uninstalled lxml-4.2.6\n",
            "Successfully installed lxml-4.6.2 yfinance-0.1.55\n"
          ],
          "name": "stdout"
        }
      ]
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "cUynRgeRwfj0"
      },
      "source": [
        "import numpy as np\r\n",
        "import pandas as pd\r\n",
        "import matplotlib.pyplot as plt\r\n",
        "import scipy.stats as stats\r\n",
        "import yfinance as yf\r\n",
        "from keras.models import Sequential\r\n",
        "from keras.layers import Dense, Dropout, Embedding, LSTM, GlobalMaxPooling1D, SpatialDropout1D\r\n",
        "from keras.layers import Bidirectional\r\n",
        "from keras.layers import TimeDistributed\r\n",
        "import keras"
      ],
      "execution_count": null,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "qdU0FZl7wZby"
      },
      "source": [
        "table = pd.read_html('https://en.wikipedia.org/wiki/List_of_S%26P_500_companies')\r\n",
        "df = table[0]\r\n",
        "Tickers = df['Symbol'].to_numpy().tolist()\r\n",
        "i1=Tickers.index('BF.B')\r\n",
        "i2=Tickers.index('BRK.B')\r\n",
        "Tickers[i1]='BF-B'\r\n",
        "Tickers[i2]='BRK-B'"
      ],
      "execution_count": null,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "colab": {
          "base_uri": "https://localhost:8080/"
        },
        "id": "eG3ItokVwZ3o",
        "outputId": "e9bff739-0f7d-4921-ea46-21822fc269aa"
      },
      "source": [
        "df =  yf.download(tickers=Tickers, start=\"2019-12-31\", end=\"2020-12-31\")"
      ],
      "execution_count": null,
      "outputs": [
        {
          "output_type": "stream",
          "text": [
            "[*********************100%***********************]  505 of 505 completed\n"
          ],
          "name": "stdout"
        }
      ]
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "H4kb05UqwewA"
      },
      "source": [
        "# Take the Adjusted Returns from the data for the companies that are in the list for at least 10 years\r\n",
        "dff=df['Adj Close']\r\n",
        "df1 = dff[1:]\r\n",
        "df0 = dff[:-1]\r\n",
        "pt1 = df1.reset_index(drop=True)\r\n",
        "pt0 = df0.reset_index(drop=True)\r\n",
        "ret = (pt1-pt0)/pt0\r\n",
        "ret.index = df1.index\r\n",
        "ret.drop(ret.index[0],inplace=True)\r\n",
        "lst=[]\r\n",
        "for col in ret.columns:\r\n",
        "    if ret[col].isna().sum() > 0:\r\n",
        "        lst.append(col)\r\n",
        "ret.drop(columns=lst,inplace=True)"
      ],
      "execution_count": null,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "colab": {
          "base_uri": "https://localhost:8080/",
          "height": 369
        },
        "id": "YzIEOoUvyubL",
        "outputId": "4ded20a1-7e4b-44bf-d05d-4514857c2c56"
      },
      "source": [
        "ret.head()"
      ],
      "execution_count": null,
      "outputs": [
        {
          "output_type": "execute_result",
          "data": {
            "text/html": [
              "<div>\n",
              "<style scoped>\n",
              "    .dataframe tbody tr th:only-of-type {\n",
              "        vertical-align: middle;\n",
              "    }\n",
              "\n",
              "    .dataframe tbody tr th {\n",
              "        vertical-align: top;\n",
              "    }\n",
              "\n",
              "    .dataframe thead th {\n",
              "        text-align: right;\n",
              "    }\n",
              "</style>\n",
              "<table border=\"1\" class=\"dataframe\">\n",
              "  <thead>\n",
              "    <tr style=\"text-align: right;\">\n",
              "      <th></th>\n",
              "      <th>A</th>\n",
              "      <th>AAL</th>\n",
              "      <th>AAP</th>\n",
              "      <th>AAPL</th>\n",
              "      <th>ABBV</th>\n",
              "      <th>ABC</th>\n",
              "      <th>ABMD</th>\n",
              "      <th>ABT</th>\n",
              "      <th>ACN</th>\n",
              "      <th>ADBE</th>\n",
              "      <th>ADI</th>\n",
              "      <th>ADM</th>\n",
              "      <th>ADP</th>\n",
              "      <th>ADSK</th>\n",
              "      <th>AEE</th>\n",
              "      <th>AEP</th>\n",
              "      <th>AES</th>\n",
              "      <th>AFL</th>\n",
              "      <th>AIG</th>\n",
              "      <th>AIZ</th>\n",
              "      <th>AJG</th>\n",
              "      <th>AKAM</th>\n",
              "      <th>ALB</th>\n",
              "      <th>ALGN</th>\n",
              "      <th>ALK</th>\n",
              "      <th>ALL</th>\n",
              "      <th>ALLE</th>\n",
              "      <th>ALXN</th>\n",
              "      <th>AMAT</th>\n",
              "      <th>AMCR</th>\n",
              "      <th>AMD</th>\n",
              "      <th>AME</th>\n",
              "      <th>AMGN</th>\n",
              "      <th>AMP</th>\n",
              "      <th>AMT</th>\n",
              "      <th>AMZN</th>\n",
              "      <th>ANET</th>\n",
              "      <th>ANSS</th>\n",
              "      <th>ANTM</th>\n",
              "      <th>AON</th>\n",
              "      <th>...</th>\n",
              "      <th>VFC</th>\n",
              "      <th>VIAC</th>\n",
              "      <th>VLO</th>\n",
              "      <th>VMC</th>\n",
              "      <th>VNO</th>\n",
              "      <th>VRSK</th>\n",
              "      <th>VRSN</th>\n",
              "      <th>VRTX</th>\n",
              "      <th>VTR</th>\n",
              "      <th>VTRS</th>\n",
              "      <th>VZ</th>\n",
              "      <th>WAB</th>\n",
              "      <th>WAT</th>\n",
              "      <th>WBA</th>\n",
              "      <th>WDC</th>\n",
              "      <th>WEC</th>\n",
              "      <th>WELL</th>\n",
              "      <th>WFC</th>\n",
              "      <th>WHR</th>\n",
              "      <th>WLTW</th>\n",
              "      <th>WM</th>\n",
              "      <th>WMB</th>\n",
              "      <th>WMT</th>\n",
              "      <th>WRB</th>\n",
              "      <th>WRK</th>\n",
              "      <th>WST</th>\n",
              "      <th>WU</th>\n",
              "      <th>WY</th>\n",
              "      <th>WYNN</th>\n",
              "      <th>XEL</th>\n",
              "      <th>XLNX</th>\n",
              "      <th>XOM</th>\n",
              "      <th>XRAY</th>\n",
              "      <th>XRX</th>\n",
              "      <th>XYL</th>\n",
              "      <th>YUM</th>\n",
              "      <th>ZBH</th>\n",
              "      <th>ZBRA</th>\n",
              "      <th>ZION</th>\n",
              "      <th>ZTS</th>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>Date</th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "      <th></th>\n",
              "    </tr>\n",
              "  </thead>\n",
              "  <tbody>\n",
              "    <tr>\n",
              "      <th>2020-01-02</th>\n",
              "      <td>0.007502</td>\n",
              "      <td>0.014296</td>\n",
              "      <td>-0.004683</td>\n",
              "      <td>0.022816</td>\n",
              "      <td>0.011407</td>\n",
              "      <td>0.000706</td>\n",
              "      <td>-0.010434</td>\n",
              "      <td>0.001036</td>\n",
              "      <td>-0.001995</td>\n",
              "      <td>0.014008</td>\n",
              "      <td>0.013379</td>\n",
              "      <td>-0.005178</td>\n",
              "      <td>-0.001056</td>\n",
              "      <td>0.023820</td>\n",
              "      <td>-0.009765</td>\n",
              "      <td>-0.011110</td>\n",
              "      <td>0.006533</td>\n",
              "      <td>0.008507</td>\n",
              "      <td>0.008377</td>\n",
              "      <td>0.009765</td>\n",
              "      <td>0.002940</td>\n",
              "      <td>0.014587</td>\n",
              "      <td>-0.005887</td>\n",
              "      <td>0.016628</td>\n",
              "      <td>0.006199</td>\n",
              "      <td>0.003290</td>\n",
              "      <td>0.006825</td>\n",
              "      <td>-0.002866</td>\n",
              "      <td>0.019004</td>\n",
              "      <td>-0.019373</td>\n",
              "      <td>0.070650</td>\n",
              "      <td>0.010628</td>\n",
              "      <td>-0.004024</td>\n",
              "      <td>0.015908</td>\n",
              "      <td>-0.005744</td>\n",
              "      <td>0.027151</td>\n",
              "      <td>0.006490</td>\n",
              "      <td>0.008469</td>\n",
              "      <td>-0.003841</td>\n",
              "      <td>0.002400</td>\n",
              "      <td>...</td>\n",
              "      <td>0.005719</td>\n",
              "      <td>0.002859</td>\n",
              "      <td>0.015804</td>\n",
              "      <td>-0.008820</td>\n",
              "      <td>-0.015038</td>\n",
              "      <td>0.011919</td>\n",
              "      <td>0.021019</td>\n",
              "      <td>0.002284</td>\n",
              "      <td>-0.023381</td>\n",
              "      <td>0.027363</td>\n",
              "      <td>-0.005700</td>\n",
              "      <td>0.040488</td>\n",
              "      <td>0.006035</td>\n",
              "      <td>0.002035</td>\n",
              "      <td>0.042084</td>\n",
              "      <td>-0.016914</td>\n",
              "      <td>-0.020054</td>\n",
              "      <td>-0.000929</td>\n",
              "      <td>0.006236</td>\n",
              "      <td>0.011588</td>\n",
              "      <td>0.002281</td>\n",
              "      <td>-0.009697</td>\n",
              "      <td>0.000841</td>\n",
              "      <td>-0.002026</td>\n",
              "      <td>0.012584</td>\n",
              "      <td>0.009379</td>\n",
              "      <td>-0.022031</td>\n",
              "      <td>-0.026821</td>\n",
              "      <td>0.034061</td>\n",
              "      <td>-0.017483</td>\n",
              "      <td>0.039685</td>\n",
              "      <td>0.016050</td>\n",
              "      <td>0.006008</td>\n",
              "      <td>0.001627</td>\n",
              "      <td>0.013454</td>\n",
              "      <td>0.014296</td>\n",
              "      <td>-0.003207</td>\n",
              "      <td>0.014485</td>\n",
              "      <td>0.010015</td>\n",
              "      <td>0.013525</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>2020-01-03</th>\n",
              "      <td>-0.016056</td>\n",
              "      <td>-0.049502</td>\n",
              "      <td>0.000063</td>\n",
              "      <td>-0.009722</td>\n",
              "      <td>-0.009492</td>\n",
              "      <td>-0.012576</td>\n",
              "      <td>-0.011788</td>\n",
              "      <td>-0.012191</td>\n",
              "      <td>-0.001666</td>\n",
              "      <td>-0.007834</td>\n",
              "      <td>-0.017604</td>\n",
              "      <td>-0.001952</td>\n",
              "      <td>-0.002114</td>\n",
              "      <td>-0.015333</td>\n",
              "      <td>0.000394</td>\n",
              "      <td>-0.001070</td>\n",
              "      <td>-0.011483</td>\n",
              "      <td>-0.006935</td>\n",
              "      <td>-0.007728</td>\n",
              "      <td>0.004760</td>\n",
              "      <td>-0.002094</td>\n",
              "      <td>-0.004564</td>\n",
              "      <td>-0.014323</td>\n",
              "      <td>-0.011421</td>\n",
              "      <td>-0.018337</td>\n",
              "      <td>0.000089</td>\n",
              "      <td>-0.012361</td>\n",
              "      <td>-0.013260</td>\n",
              "      <td>-0.015916</td>\n",
              "      <td>-0.013170</td>\n",
              "      <td>-0.010183</td>\n",
              "      <td>0.001389</td>\n",
              "      <td>-0.006789</td>\n",
              "      <td>-0.012468</td>\n",
              "      <td>0.000481</td>\n",
              "      <td>-0.012139</td>\n",
              "      <td>-0.018904</td>\n",
              "      <td>-0.010093</td>\n",
              "      <td>-0.013261</td>\n",
              "      <td>-0.003927</td>\n",
              "      <td>...</td>\n",
              "      <td>-0.006286</td>\n",
              "      <td>-0.015206</td>\n",
              "      <td>-0.037948</td>\n",
              "      <td>-0.004344</td>\n",
              "      <td>0.007786</td>\n",
              "      <td>0.009728</td>\n",
              "      <td>0.021095</td>\n",
              "      <td>-0.006699</td>\n",
              "      <td>0.012059</td>\n",
              "      <td>-0.021792</td>\n",
              "      <td>-0.010647</td>\n",
              "      <td>-0.007659</td>\n",
              "      <td>-0.017230</td>\n",
              "      <td>0.000000</td>\n",
              "      <td>-0.015392</td>\n",
              "      <td>0.006287</td>\n",
              "      <td>0.017594</td>\n",
              "      <td>-0.006140</td>\n",
              "      <td>-0.017043</td>\n",
              "      <td>0.000245</td>\n",
              "      <td>0.009718</td>\n",
              "      <td>0.004257</td>\n",
              "      <td>-0.008828</td>\n",
              "      <td>0.001305</td>\n",
              "      <td>-0.017722</td>\n",
              "      <td>0.002636</td>\n",
              "      <td>-0.003436</td>\n",
              "      <td>0.001701</td>\n",
              "      <td>-0.014833</td>\n",
              "      <td>0.004809</td>\n",
              "      <td>-0.023020</td>\n",
              "      <td>-0.008039</td>\n",
              "      <td>-0.011066</td>\n",
              "      <td>-0.012998</td>\n",
              "      <td>0.005886</td>\n",
              "      <td>-0.003132</td>\n",
              "      <td>-0.002614</td>\n",
              "      <td>-0.011924</td>\n",
              "      <td>-0.014111</td>\n",
              "      <td>0.000149</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>2020-01-06</th>\n",
              "      <td>0.002956</td>\n",
              "      <td>-0.011935</td>\n",
              "      <td>-0.016434</td>\n",
              "      <td>0.007968</td>\n",
              "      <td>0.007892</td>\n",
              "      <td>0.014641</td>\n",
              "      <td>0.073253</td>\n",
              "      <td>0.005239</td>\n",
              "      <td>-0.006530</td>\n",
              "      <td>0.005726</td>\n",
              "      <td>-0.011749</td>\n",
              "      <td>-0.007823</td>\n",
              "      <td>0.001353</td>\n",
              "      <td>0.011733</td>\n",
              "      <td>0.000920</td>\n",
              "      <td>0.003320</td>\n",
              "      <td>0.011616</td>\n",
              "      <td>-0.002831</td>\n",
              "      <td>0.000779</td>\n",
              "      <td>0.000902</td>\n",
              "      <td>0.004617</td>\n",
              "      <td>0.003553</td>\n",
              "      <td>-0.001118</td>\n",
              "      <td>0.019398</td>\n",
              "      <td>-0.004782</td>\n",
              "      <td>0.002925</td>\n",
              "      <td>-0.001857</td>\n",
              "      <td>0.001598</td>\n",
              "      <td>-0.021565</td>\n",
              "      <td>-0.006673</td>\n",
              "      <td>-0.004321</td>\n",
              "      <td>0.001090</td>\n",
              "      <td>0.007674</td>\n",
              "      <td>0.003291</td>\n",
              "      <td>-0.000262</td>\n",
              "      <td>0.014886</td>\n",
              "      <td>0.010007</td>\n",
              "      <td>-0.009262</td>\n",
              "      <td>0.012025</td>\n",
              "      <td>0.002885</td>\n",
              "      <td>...</td>\n",
              "      <td>-0.003916</td>\n",
              "      <td>0.014717</td>\n",
              "      <td>0.000109</td>\n",
              "      <td>-0.001759</td>\n",
              "      <td>0.013028</td>\n",
              "      <td>0.002294</td>\n",
              "      <td>0.009259</td>\n",
              "      <td>0.027755</td>\n",
              "      <td>0.010338</td>\n",
              "      <td>0.033168</td>\n",
              "      <td>-0.002152</td>\n",
              "      <td>-0.004108</td>\n",
              "      <td>-0.009220</td>\n",
              "      <td>0.008632</td>\n",
              "      <td>-0.019192</td>\n",
              "      <td>0.000767</td>\n",
              "      <td>0.015206</td>\n",
              "      <td>-0.005990</td>\n",
              "      <td>0.009389</td>\n",
              "      <td>0.001224</td>\n",
              "      <td>0.005202</td>\n",
              "      <td>0.013141</td>\n",
              "      <td>-0.002036</td>\n",
              "      <td>-0.001448</td>\n",
              "      <td>-0.015230</td>\n",
              "      <td>0.000526</td>\n",
              "      <td>-0.009579</td>\n",
              "      <td>-0.002038</td>\n",
              "      <td>-0.001979</td>\n",
              "      <td>-0.001436</td>\n",
              "      <td>-0.020844</td>\n",
              "      <td>0.007678</td>\n",
              "      <td>0.005506</td>\n",
              "      <td>-0.015089</td>\n",
              "      <td>-0.006474</td>\n",
              "      <td>-0.000589</td>\n",
              "      <td>-0.005779</td>\n",
              "      <td>0.007655</td>\n",
              "      <td>-0.012186</td>\n",
              "      <td>-0.007677</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>2020-01-07</th>\n",
              "      <td>0.003065</td>\n",
              "      <td>-0.003660</td>\n",
              "      <td>-0.011862</td>\n",
              "      <td>-0.004703</td>\n",
              "      <td>-0.005705</td>\n",
              "      <td>-0.007156</td>\n",
              "      <td>0.007317</td>\n",
              "      <td>-0.005559</td>\n",
              "      <td>-0.021590</td>\n",
              "      <td>-0.000959</td>\n",
              "      <td>0.022751</td>\n",
              "      <td>-0.012046</td>\n",
              "      <td>-0.012104</td>\n",
              "      <td>0.002031</td>\n",
              "      <td>0.003677</td>\n",
              "      <td>0.000214</td>\n",
              "      <td>0.003495</td>\n",
              "      <td>-0.009464</td>\n",
              "      <td>-0.005642</td>\n",
              "      <td>-0.006761</td>\n",
              "      <td>-0.010757</td>\n",
              "      <td>0.030268</td>\n",
              "      <td>0.013149</td>\n",
              "      <td>-0.009864</td>\n",
              "      <td>-0.006306</td>\n",
              "      <td>-0.008572</td>\n",
              "      <td>-0.011973</td>\n",
              "      <td>0.002533</td>\n",
              "      <td>0.028886</td>\n",
              "      <td>-0.008637</td>\n",
              "      <td>-0.002893</td>\n",
              "      <td>0.005740</td>\n",
              "      <td>-0.009405</td>\n",
              "      <td>-0.012047</td>\n",
              "      <td>-0.021308</td>\n",
              "      <td>0.002092</td>\n",
              "      <td>0.009810</td>\n",
              "      <td>0.008170</td>\n",
              "      <td>-0.003029</td>\n",
              "      <td>-0.008486</td>\n",
              "      <td>...</td>\n",
              "      <td>-0.004939</td>\n",
              "      <td>0.001664</td>\n",
              "      <td>0.013110</td>\n",
              "      <td>-0.011280</td>\n",
              "      <td>-0.012113</td>\n",
              "      <td>0.008369</td>\n",
              "      <td>0.002318</td>\n",
              "      <td>-0.001071</td>\n",
              "      <td>-0.008325</td>\n",
              "      <td>0.014375</td>\n",
              "      <td>-0.011117</td>\n",
              "      <td>-0.000375</td>\n",
              "      <td>0.013544</td>\n",
              "      <td>-0.005034</td>\n",
              "      <td>0.067698</td>\n",
              "      <td>-0.003833</td>\n",
              "      <td>-0.006523</td>\n",
              "      <td>-0.008286</td>\n",
              "      <td>0.000339</td>\n",
              "      <td>-0.002053</td>\n",
              "      <td>0.000690</td>\n",
              "      <td>0.000000</td>\n",
              "      <td>-0.009265</td>\n",
              "      <td>-0.018274</td>\n",
              "      <td>-0.011182</td>\n",
              "      <td>-0.002562</td>\n",
              "      <td>0.004642</td>\n",
              "      <td>-0.006467</td>\n",
              "      <td>0.004745</td>\n",
              "      <td>-0.002077</td>\n",
              "      <td>0.022830</td>\n",
              "      <td>-0.008184</td>\n",
              "      <td>0.005299</td>\n",
              "      <td>0.001393</td>\n",
              "      <td>-0.003759</td>\n",
              "      <td>0.001768</td>\n",
              "      <td>-0.000879</td>\n",
              "      <td>-0.005969</td>\n",
              "      <td>-0.006070</td>\n",
              "      <td>0.003380</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>2020-01-08</th>\n",
              "      <td>0.009873</td>\n",
              "      <td>0.022777</td>\n",
              "      <td>-0.011488</td>\n",
              "      <td>0.016086</td>\n",
              "      <td>0.007087</td>\n",
              "      <td>0.009689</td>\n",
              "      <td>-0.009204</td>\n",
              "      <td>0.004077</td>\n",
              "      <td>0.001962</td>\n",
              "      <td>0.013438</td>\n",
              "      <td>0.009032</td>\n",
              "      <td>-0.011084</td>\n",
              "      <td>0.009397</td>\n",
              "      <td>0.013067</td>\n",
              "      <td>-0.001701</td>\n",
              "      <td>-0.002989</td>\n",
              "      <td>-0.001990</td>\n",
              "      <td>0.003057</td>\n",
              "      <td>0.011739</td>\n",
              "      <td>0.003782</td>\n",
              "      <td>0.001372</td>\n",
              "      <td>0.013304</td>\n",
              "      <td>-0.017258</td>\n",
              "      <td>0.010386</td>\n",
              "      <td>0.004835</td>\n",
              "      <td>0.002763</td>\n",
              "      <td>0.004258</td>\n",
              "      <td>0.016191</td>\n",
              "      <td>-0.000649</td>\n",
              "      <td>0.003872</td>\n",
              "      <td>-0.008705</td>\n",
              "      <td>0.002263</td>\n",
              "      <td>0.000756</td>\n",
              "      <td>0.008995</td>\n",
              "      <td>0.008673</td>\n",
              "      <td>-0.007809</td>\n",
              "      <td>0.010398</td>\n",
              "      <td>0.004130</td>\n",
              "      <td>0.026507</td>\n",
              "      <td>0.004110</td>\n",
              "      <td>...</td>\n",
              "      <td>-0.017018</td>\n",
              "      <td>-0.006171</td>\n",
              "      <td>0.003882</td>\n",
              "      <td>0.007986</td>\n",
              "      <td>-0.002119</td>\n",
              "      <td>0.009208</td>\n",
              "      <td>0.004626</td>\n",
              "      <td>0.032620</td>\n",
              "      <td>-0.004897</td>\n",
              "      <td>0.002362</td>\n",
              "      <td>0.001846</td>\n",
              "      <td>-0.017132</td>\n",
              "      <td>-0.024269</td>\n",
              "      <td>-0.058357</td>\n",
              "      <td>0.014484</td>\n",
              "      <td>0.001319</td>\n",
              "      <td>0.000243</td>\n",
              "      <td>0.003038</td>\n",
              "      <td>0.013981</td>\n",
              "      <td>0.001126</td>\n",
              "      <td>0.000603</td>\n",
              "      <td>-0.015481</td>\n",
              "      <td>-0.003432</td>\n",
              "      <td>0.007091</td>\n",
              "      <td>0.004331</td>\n",
              "      <td>-0.013502</td>\n",
              "      <td>0.008856</td>\n",
              "      <td>0.003768</td>\n",
              "      <td>0.006274</td>\n",
              "      <td>-0.000961</td>\n",
              "      <td>-0.002815</td>\n",
              "      <td>-0.015080</td>\n",
              "      <td>0.010543</td>\n",
              "      <td>-0.000556</td>\n",
              "      <td>0.003396</td>\n",
              "      <td>0.001765</td>\n",
              "      <td>0.011974</td>\n",
              "      <td>-0.034429</td>\n",
              "      <td>0.009850</td>\n",
              "      <td>-0.002171</td>\n",
              "    </tr>\n",
              "  </tbody>\n",
              "</table>\n",
              "<p>5 rows × 501 columns</p>\n",
              "</div>"
            ],
            "text/plain": [
              "                   A       AAL       AAP  ...      ZBRA      ZION       ZTS\n",
              "Date                                      ...                              \n",
              "2020-01-02  0.007502  0.014296 -0.004683  ...  0.014485  0.010015  0.013525\n",
              "2020-01-03 -0.016056 -0.049502  0.000063  ... -0.011924 -0.014111  0.000149\n",
              "2020-01-06  0.002956 -0.011935 -0.016434  ...  0.007655 -0.012186 -0.007677\n",
              "2020-01-07  0.003065 -0.003660 -0.011862  ... -0.005969 -0.006070  0.003380\n",
              "2020-01-08  0.009873  0.022777 -0.011488  ... -0.034429  0.009850 -0.002171\n",
              "\n",
              "[5 rows x 501 columns]"
            ]
          },
          "metadata": {
            "tags": []
          },
          "execution_count": 6
        }
      ]
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "B2p_CGpuzCom"
      },
      "source": [
        "seq_length = 20\r\n",
        "dataX = []\r\n",
        "dataY = []\r\n",
        "\r\n",
        "turns = len(ret)-seq_length\r\n",
        "for i in range(0,turns):\r\n",
        "    start = i\r\n",
        "    dataX.append(ret[start:start+seq_length])\r\n",
        "    dataY.append(ret.iloc[start+seq_length])"
      ],
      "execution_count": null,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "KbQjduXbzqwB"
      },
      "source": [
        "train_size = int(len(dataX) * 0.75)\r\n",
        "X_train, X_test = dataX[0:train_size], dataX[train_size:]\r\n",
        "y_train, y_test = dataY[0:train_size], dataY[train_size:]"
      ],
      "execution_count": null,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "9Di7sTlUzrKC"
      },
      "source": [
        "X_train_new = np.array(X_train).reshape(174,20,501)\r\n",
        "y_train_new = np.array(y_train).reshape(174,1,501)\r\n",
        "X_test_new = np.array(X_test).reshape(58,20,501)\r\n",
        "y_test_new = np.array(y_test).reshape(58,1,501)"
      ],
      "execution_count": null,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "NX57AdTgztPv"
      },
      "source": [
        "model = Sequential()\r\n",
        "model.add(LSTM(units = 512, return_sequences = True, input_shape = (X_train_new.shape[1],501)))\r\n",
        "model.add(Dropout(0.01))\r\n",
        "# Adding a second LSTM layer and some Dropout regularisation\r\n",
        "model.add(LSTM(units = 512, return_sequences = True))\r\n",
        "model.add(Dropout(0.01))\r\n",
        "# Adding a third LSTM layer and some Dropout regularisation\r\n",
        "model.add(LSTM(units = 512, return_sequences = True))\r\n",
        "model.add(Dropout(0.01))\r\n",
        "# Adding a fourth LSTM layer \r\n",
        "model.add(LSTM(units = 512))\r\n",
        "model.add(Dropout(0.01))\r\n",
        "# Adding the output layer\r\n",
        "model.add(Dense(units = 1))\r\n",
        "\r\n",
        "opt = keras.optimizers.Adam(learning_rate=0.001)\r\n",
        "# Compiling the RNN\r\n",
        "model.compile(optimizer = opt, loss = 'mean_squared_error')"
      ],
      "execution_count": null,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "BWOxnYf-tR7D"
      },
      "source": [
        "predictions_df = pd.DataFrame(columns=ret.columns)\r\n",
        "for item in enumerate(ret.columns):\r\n",
        "  y_test_new2 = y_test_new[:,:,item[0]].reshape(58,1,1)\r\n",
        "  y_train_new2 = y_train_new[:,:,item[0]].reshape(174,1,1)\r\n",
        "  model.fit(X_train_new, y_train_new2, epochs = 50, batch_size = 4,validation_data=(X_test_new,y_test_new2), verbose=0)\r\n",
        "  predictions=model.predict(X_test_new)\r\n",
        "  predictions_df[item[1]]=predictions[:,0]"
      ],
      "execution_count": null,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "colab": {
          "base_uri": "https://localhost:8080/",
          "height": 17
        },
        "id": "FuWg8DfjuLyR",
        "outputId": "c0de90bd-3509-4995-8ca7-1fcbe85410b9"
      },
      "source": [
        "from google.colab import files\r\n",
        "predictions_df.to_csv('lstm_pred.csv') \r\n",
        "files.download('lstm_pred.csv')"
      ],
      "execution_count": null,
      "outputs": [
        {
          "output_type": "display_data",
          "data": {
            "application/javascript": [
              "\n",
              "    async function download(id, filename, size) {\n",
              "      if (!google.colab.kernel.accessAllowed) {\n",
              "        return;\n",
              "      }\n",
              "      const div = document.createElement('div');\n",
              "      const label = document.createElement('label');\n",
              "      label.textContent = `Downloading \"${filename}\": `;\n",
              "      div.appendChild(label);\n",
              "      const progress = document.createElement('progress');\n",
              "      progress.max = size;\n",
              "      div.appendChild(progress);\n",
              "      document.body.appendChild(div);\n",
              "\n",
              "      const buffers = [];\n",
              "      let downloaded = 0;\n",
              "\n",
              "      const channel = await google.colab.kernel.comms.open(id);\n",
              "      // Send a message to notify the kernel that we're ready.\n",
              "      channel.send({})\n",
              "\n",
              "      for await (const message of channel.messages) {\n",
              "        // Send a message to notify the kernel that we're ready.\n",
              "        channel.send({})\n",
              "        if (message.buffers) {\n",
              "          for (const buffer of message.buffers) {\n",
              "            buffers.push(buffer);\n",
              "            downloaded += buffer.byteLength;\n",
              "            progress.value = downloaded;\n",
              "          }\n",
              "        }\n",
              "      }\n",
              "      const blob = new Blob(buffers, {type: 'application/binary'});\n",
              "      const a = document.createElement('a');\n",
              "      a.href = window.URL.createObjectURL(blob);\n",
              "      a.download = filename;\n",
              "      div.appendChild(a);\n",
              "      a.click();\n",
              "      div.remove();\n",
              "    }\n",
              "  "
            ],
            "text/plain": [
              "<IPython.core.display.Javascript object>"
            ]
          },
          "metadata": {
            "tags": []
          }
        },
        {
          "output_type": "display_data",
          "data": {
            "application/javascript": [
              "download(\"download_90a767b6-5ff5-4859-a79b-9dccc431965a\", \"lstm_pred.csv\", 370777)"
            ],
            "text/plain": [
              "<IPython.core.display.Javascript object>"
            ]
          },
          "metadata": {
            "tags": []
          }
        }
      ]
    }
  ]
}