Bianace Prediction Pytorch Model

Related tags

Deep Learningbinance_prediction_pytorch
Overview

Bianace Prediction Pytorch Model

Main Results

ETHUSDT from 2021-01-01 00:00:00 to 2021-12-01 00:00:00

Time interval ROI
1d (Human) 2.74%
1d (Model) 125.05%
4h (Human) 36.86%
4h (Model) 300.37%
1h (Human) 37.55%
1h (Model) 393.66%

BTCUSDT from 2021-01-01 00:00:00 to 2021-12-01 00:00:00

Time interval ROI
1d (Human) 3.11%
1d (Model) 30.08%
4h (Human) 18.30%
4h (Model) 30.67%
1h (Human) 19.79%
1h (Model) 32.07%

Getting started

Environment

  • Test OS: Ubuntu 16.04 LTS
  • Python version: 3.8

Preparation

  • Create folders.
mkdir images
mkdir checkpoints
  • Please run pip install –r requirements.txt to install the needed libraries.

Dataset

Binance Public Data

  • Clone the repo.
  • Follow the instruction to download required data.
# ETHUSDT
python download-kline.py -s ETHUSDT -startDate 2017-08-01 -endDate 2021-12-01

# BTCUSDT
python download-kline.py -s BTCUSDT -startDate 2017-08-01 -endDate 2021-12-01
  • It will download the required data as below. Unzip the zip files under the 1h, 4h and 1d directories.
binance_prediction_pytorch
    `-- binance-public-data
        `-- data
            `-- data
                `-- spot
                    |-- daily
                    `-- monthly
                        `-- klines
                            |-- ETHUSDT
                            `-- BTCUSDT
  • Then soft link the data directory to the repo root as below.
binance_prediction_pytorch
    |-- binance-public-data
    `-- data
        `-- spot
            |-- daily
            `-- monthly
                `-- klines
                    |-- ETHUSDT
                    `-- BTCUSDT

Experiments

Training

  • Run training and evaluation on ETHUSDT. It will store the checkpoints under checkpoints with ticker name and time interval if don't specify the checkpoint path with --ckpt.
# 1d
./run.sh ETHUSDT 1d

# 4h
./run.sh ETHUSDT 4h --sell_rate 0.03

# 1h
./run.sh ETHUSDT 1h --sell_rate 0.03
  • Run training and evaluation on BTCUSDT
# 1d
./run.sh BTCUSDT 1d

# 4h
./run.sh BTCUSDT 4h --sell_rate 0.03

# 1h
./run.sh BTCUSDT 1h --sell_rate 0.03

Inference

  • Specify the checkpoint path with eval mode to only do the inference.
./run.sh ETHUSDT 1h --sell_rate 0.03 --ckpt ${YOUR_CHECKPOINT_PATH} --eval
Owner
RoyYang
M.S. student @ VSLab
RoyYang
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