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STCKMRKTFRCST - Linear Regression

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15 views

STCKMRKTFRCST - Linear Regression

Uploaded by

Fjollaasani
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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import pandas as pd

import matplotlib.pyplot as plt

from pylab import rcParams

import numpy as np

import seaborn as sns

import os

from sklearn.ensemble import RandomForestRegressor

from sklearn.model_selection import cross_val_score, train_test_split, GridSearchCV

from sklearn.feature_selection import RFECV, SelectFromModel, SelectKBest

from sklearn.preprocessing import StandardScaler

from sklearn import metrics

%matplotlib inline

Stock = pd.read_csv("C:/Users/x/Desktop/Desktop/ML/AAPL.csv", index_col=0)

df_Stock = Stock

df_Stock = df_Stock.rename(columns={'Close(t)':'Close'})

df_Stock.head()

df_Stock.tail(5)

df_Stock.shape

df_Stock.columns

df_Stock['Close'].plot(figsize=(10, 7))

plt.title("Stock Price", fontsize=17)

plt.ylabel('Price', fontsize=14)
plt.xlabel('Time', fontsize=14)

plt.grid(which="major", color='k', linestyle='-.', linewidth=0.5)

plt.show()

df_Stock = df_Stock.drop(columns='Date_col')

def create_train_test_set(df_Stock):

features = df_Stock.drop(columns=['Close_forcast'], axis=1)

target = df_Stock['Close_forcast']

data_len = df_Stock.shape[0]

print('Historical Stock Data length is - ', str(data_len))

#create a chronological split for train and testing

train_split = int(data_len * 0.88)

print('Training Set length - ', str(train_split))

val_split = train_split + int(data_len * 0.1)

print('Validation Set length - ', str(int(data_len * 0.1)))

print('Test Set length - ', str(int(data_len * 0.02)))

# Splitting features and target into train, validation and test samples

X_train, X_val, X_test = features[:train_split], features[train_split:val_split], features[val_split:]

Y_train, Y_val, Y_test = target[:train_split], target[train_split:val_split], target[val_split:]


#print shape of samples

print(X_train.shape, X_val.shape, X_test.shape)

print(Y_train.shape, Y_val.shape, Y_test.shape)

return X_train, X_val, X_test, Y_train, Y_val, Y_test

X_train, X_val, X_test, Y_train, Y_val, Y_test = create_train_test_set(df_Stock)

# Prediction using Linear Regression

from sklearn.linear_model import LinearRegression

lr = LinearRegression()

lr.fit(X_train, Y_train)

print('LR Coefficients: \n', lr.coef_)

print('LR Intercept: \n', lr.intercept_)

print("Performance (R^2): ", lr.score(X_train, Y_train))

def get_mape(y_true, y_pred):

"""

Compute mean absolute percentage error (MAPE)

"""

y_true, y_pred = np.array(y_true), np.array(y_pred)

return np.mean(np.abs((y_true - y_pred) / y_true)) * 100

#Predict for the test dataset

Y_train_pred = lr.predict(X_train)

Y_val_pred = lr.predict(X_val)
Y_test_pred = lr.predict(X_test)

print("Training R-squared: ",round(metrics.r2_score(Y_train,Y_train_pred),2))

print("Training Explained Variation: ",round(metrics.explained_variance_score(Y_train,Y_train_pred),2))

print('Training MAPE:', round(get_mape(Y_train,Y_train_pred), 2))

print('Training Mean Squared Error:', round(metrics.mean_squared_error(Y_train,Y_train_pred), 2))

print("Training RMSE: ",round(np.sqrt(metrics.mean_squared_error(Y_train,Y_train_pred)),2))

print("Training MAE: ",round(metrics.mean_absolute_error(Y_train,Y_train_pred),2))

print(' ')

print("Validation R-squared: ",round(metrics.r2_score(Y_val,Y_val_pred),2))

print("Validation Explained Variation: ",round(metrics.explained_variance_score(Y_val,Y_val_pred),2))

print('Validation MAPE:', round(get_mape(Y_val,Y_val_pred), 2))

print('Validation Mean Squared Error:', round(metrics.mean_squared_error(Y_train,Y_train_pred), 2))

print("Validation RMSE: ",round(np.sqrt(metrics.mean_squared_error(Y_val,Y_val_pred)),2))

print("Validation MAE: ",round(metrics.mean_absolute_error(Y_val,Y_val_pred),2))

print(' ')

print("Test R-squared: ",round(metrics.r2_score(Y_test,Y_test_pred),2))

print("Test Explained Variation: ",round(metrics.explained_variance_score(Y_test,Y_test_pred),2))

print('Test MAPE:', round(get_mape(Y_test,Y_test_pred), 2))

print('Test Mean Squared Error:', round(metrics.mean_squared_error(Y_test,Y_test_pred), 2))

print("Test RMSE: ",round(np.sqrt(metrics.mean_squared_error(Y_test,Y_test_pred)),2))

print("Test MAE: ",round(metrics.mean_absolute_error(Y_test,Y_test_pred),2))

df_pred = pd.DataFrame(Y_val.values, columns=['Actual'], index=Y_val.index)

df_pred['Predicted'] = Y_val_pred

df_pred = df_pred.reset_index()
df_pred.loc[:, 'Date'] = pd.to_datetime(df_pred['Date'],format='%Y-%m-%d')

df_pred

df_pred[['Actual', 'Predicted']].plot()

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