MLA_Learn_Periodic_Functions/code/wilshire_5000/nn.py

import numpy as np
import tensorflow as tf
import pandas as pd
import matplotlib.pyplot as plt
import wilshire
import tensorflow_addons as tfa

def snake(x):
    return(x+(tf.math.sin(50*x)**2)/50)
def sinus(x):
    return(tf.math.sin(x))
def sinus_cosinus(x):
    return(tf.math.sin(x)+tf.math.cos(x))
def swish(x):
    return(x*tf.math.sigmoid(x))

#activations = [tf.keras.activations.relu,swish,sinus_cosinus,sinus,snake]
activations = [snake]
models = []
errors_train,errors_test = [],[]
mean_y_train,mean_y_test,std_y_test=[],[],[]

df_train,df_test = wilshire.preprocess('WILL5000INDFC2.csv')
x_train = np.arange(df_train.shape[0])


maximum = np.max(x_train)
x_train = x_train / maximum


y_train=df_train["WILL5000INDFC"]
y_train.to_numpy()

x_test = np.arange(df_train.shape[0]+1,df_train.shape[0]+df_test.shape[0]+1)
y_test = df_test["WILL5000INDFC"]
y_test.to_numpy()

x_test=x_test / maximum

for activation in activations :
    y_train_5=[]
    y_test_5=[]
    errors_train_5=[]
    errors_test_5=[]
    for k in range(1):

        model =  tf.keras.Sequential()

        model.add(tf.keras.layers.Dense(1,input_shape=[1,],activation=activation))
        model.add(tf.keras.layers.Dense(64,activation=activation))
        model.add(tf.keras.layers.Dense(64,activation=activation))
        model.add(tf.keras.layers.Dense(1))
        opt = tf.keras.optimizers.SGD(learning_rate=0.01,momentum=0.9)
        model.compile(optimizer=opt, loss='mse')
        model.build()
        model.summary()
        model.fit(x_train,y_train, batch_size=2, epochs=20)

        y_pred_test = model.predict(x_test)
        y_pred_train = model.predict(x_train)
        y_train_5.append(y_pred_train)
        y_test_5.append(y_pred_test)
        errors_test_5.append(model.evaluate(x_test,y_test))
        errors_train_5.append(model.evaluate(x_train,y_train))


    mean_y_train.append(np.mean(y_train_5,axis=0))
    mean_y_test.append(np.mean(y_test_5,axis=0))
    std_y_test.append(np.std(y_test_5,axis=0))
    errors_train.append([np.mean(errors_train_5),np.std(errors_train_5)])
    errors_test.append([np.mean(errors_test_5),np.std(errors_test_5)])
    # y_preds_train.append(y_pred_train)
    # y_preds_test.append(y_pred_test)


x = np.arange(df_train.shape[0]+df_test.shape[0]+908)
x = x / maximum
future_preds = model.predict(x)  ## Calculated with a website the number of working days between 01-06-2020 and 01-01-2024
    

def plot_total(x_train,y_train,y_pred_train,x_test,y_test,y_pred_test):
    x = np.concatenate((x_train,x_test))
    y_true = np.concatenate((y_train,y_test))
    y_pred = np.concatenate((y_pred_train,y_pred_test))
    plt.figure()
    plt.plot(x,y_true,label="True data")
    plt.plot(x,y_pred,label="Predictions")
    plt.vlines([5240,5326])
    plt.legend()
    plt.show()

#plot_total(x_train,y_train,y_pred_train,x_test,y_test,y_pred_test)

print(errors_test)

x=np.arange(df_train.shape[0]+df_test.shape[0]+908)
y_true = np.concatenate((y_train,y_test))
x_cut = np.arange(df_train.shape[0]+df_test.shape[0])
plt.figure()
plt.plot(x_cut,y_true,label="True data")
plt.plot(x,future_preds,label="Predictions")
plt.vlines([5240,5326],ymin=0,ymax=1)
plt.legend()
plt.show()