NASDAQ,S&P500,DAX,香港ハンセン指数、FTSEを追加して日経平均の上げ下げを予想
GoogleさんのTensorflowは正解率72%で米国のS&P500指数の上げ下げを予想できるそうな。
日経平均株価の上げ下げをsklearnで何処まで確率を上げられるか挑戦している。
FTSEはこちら
^FTSE Historical Prices | FTSE 100 Stock - Yahoo! Finance
それ以外はQuandlから取得
日経平均、ダウ、為替、NASDAQの4次元データ
3次元のスコアが62.8だったのが63.8へアップ。1%確率が上がった。
7割への道は大変ですね。
In [54]: grid.grid_scores_ Out[54]: [mean: 0.63877, std: 0.01335, params: {'kernel': 'rbf', 'gamma': 0.02, 'C': 50}, mean: 0.63704, std: 0.01469, params: {'kernel': 'rbf', 'gamma': 0.015, 'C': 50} , mean: 0.63803, std: 0.01550, params: {'kernel': 'rbf', 'gamma': 0.01, 'C': 50}, mean: 0.62714, std: 0.01185, params: {'kernel': 'rbf', 'gamma': 0.001, 'C': 50} , mean: 0.62887, std: 0.01095, params: {'kernel': 'rbf', 'gamma': 0.002, 'C': 50} , mean: 0.63357, std: 0.01024, params: {'kernel': 'rbf', 'gamma': 0.004, 'C': 50} ]
日経平均、ダウ、為替、NASDAQ,S&P500の5次元データ
In [4]: grid.grid_scores_ Out[4]: [mean: 0.63778, std: 0.01383, params: {'C': 50, 'kernel': 'rbf', 'gamma': 0.02}, mean: 0.63852, std: 0.01395, params: {'C': 50, 'kernel': 'rbf', 'gamma': 0.015} , mean: 0.63803, std: 0.01475, params: {'C': 50, 'kernel': 'rbf', 'gamma': 0.01}, mean: 0.62813, std: 0.01095, params: {'C': 50, 'kernel': 'rbf', 'gamma': 0.001} , mean: 0.63134, std: 0.00971, params: {'C': 50, 'kernel': 'rbf', 'gamma': 0.002} ]
日経平均、為替、NASDAQ,S&P500の4次元データ
In [2]: grid.grid_scores_ Out[2]: [mean: 0.64249, std: 0.01532, params: {'C': 50, 'kernel': 'rbf', 'gamma': 0.02}, mean: 0.64051, std: 0.01509, params: {'C': 50, 'kernel': 'rbf', 'gamma': 0.015} , mean: 0.64199, std: 0.01294, params: {'C': 50, 'kernel': 'rbf', 'gamma': 0.01}, mean: 0.62738, std: 0.01017, params: {'C': 50, 'kernel': 'rbf', 'gamma': 0.001} , mean: 0.63283, std: 0.01182, params: {'C': 50, 'kernel': 'rbf', 'gamma': 0.002} ]
日経平均、為替、NASDAQ,S&P500,DAXの5次元データ
おお、66%まで正解率が上がってきたぞ
In [6]: grid.grid_scores_ Out[6]: [mean: 0.66081, std: 0.00863, params: {'C': 50, 'kernel': 'rbf', 'gamma': 0.02}, mean: 0.65907, std: 0.00940, params: {'C': 50, 'kernel': 'rbf', 'gamma': 0.015} , mean: 0.65957, std: 0.00790, params: {'C': 50, 'kernel': 'rbf', 'gamma': 0.01}, mean: 0.64249, std: 0.01133, params: {'C': 50, 'kernel': 'rbf', 'gamma': 0.001} , mean: 0.65412, std: 0.01097, params: {'C': 50, 'kernel': 'rbf', 'gamma': 0.002} ]
日経平均、為替、NASDAQ,S&P500,DAX,ハンセン指数の6次元データ
スコアが下がってしまった
In [2]: grid.grid_scores_ Out[2]: [mean: 0.65784, std: 0.00717, params: {'gamma': 0.02, 'C': 50, 'kernel': 'rbf'}, mean: 0.65932, std: 0.00863, params: {'gamma': 0.015, 'C': 50, 'kernel': 'rbf'} , mean: 0.65883, std: 0.00886, params: {'gamma': 0.01, 'C': 50, 'kernel': 'rbf'}, mean: 0.64372, std: 0.01101, params: {'gamma': 0.001, 'C': 50, 'kernel': 'rbf'} , mean: 0.65462, std: 0.01116, params: {'gamma': 0.002, 'C': 50, 'kernel': 'rbf'} ]
日経平均、為替、NASDAQ,S&P500,DAX,FTSEの6次元データ
やはりスコア上がらない
In [4]: grid.grid_scores_ Out[4]: [mean: 0.65511, std: 0.02009, params: {'gamma': 0.02, 'C': 50, 'kernel': 'rbf'}, mean: 0.65511, std: 0.01987, params: {'gamma': 0.015, 'C': 50, 'kernel': 'rbf'} , mean: 0.65932, std: 0.02206, params: {'gamma': 0.01, 'C': 50, 'kernel': 'rbf'}, mean: 0.64843, std: 0.00687, params: {'gamma': 0.001, 'C': 50, 'kernel': 'rbf'} , mean: 0.65387, std: 0.01275, params: {'gamma': 0.002, 'C': 50, 'kernel': 'rbf'} ]