diff --git a/Forex-MCMC.R b/Forex-MCMC.R new file mode 100644 index 0000000..58bb748 --- /dev/null +++ b/Forex-MCMC.R @@ -0,0 +1,79 @@ +# Loading the required packages +library(bsts) +library(ggplot2) +library(scales) +library(forecast) + +# Setting the working directory and seed +setwd('/home/dorsa/Desktop/projects/ForexMCMC') +set.seed(2020) + +# Functions +load_split = function(data_csv, n_skip = 1, train_test_split, print_df = FALSE){ + data = read.csv(data_csv, skip = n_skip, header = FALSE, col.names = c('TimeStamp', 'Rate')) + df = data.frame(as.Date(data$TimeStamp, format = "%d %b %Y"), as.numeric(data$Rate)) + names(df) = c('TimeStamp', 'Rate') + n = nrow(df) + n_train = floor(n * train_test_split) + n_test = n - n_train + df.train = df[1:n_train,] + df.test = df[-(1:n_train),] + rownames(df.test) = 1:nrow(df.test) + l = list(df, df.train, df.test, n_train, n_test) + if (print_df == TRUE){ + print('train df: ', quote = FALSE) + print(df.train) + print('test df: ', quote = FALSE) + print(df.test) + } + return(l) +} + +resDF = function(pred, actual){ + res = unlist(c(pred["original.series"], pred["mean"])) + interval_L = unlist(c(rep(NA, n_train), pred[["interval"]][1,])) + interval_U = unlist(c(rep(NA, n_train), pred[["interval"]][2,])) + results = data.frame(actual[[1]], actual[[2]], res, interval_L, interval_U) + names(results) = c('DateTime', 'Actual', 'Prediction', 'L', 'U') + return(results) +} + +resviz = function(results, title = ''){ + ggplot(results, aes(x = DateTime)) + + theme_bw() + theme(legend.title = element_blank(), plot.title = element_text(hjust = 0.5), legend.position = "bottom") + labs(title = title, x = 'Time', y = 'Rate') + + geom_line(aes(y = Actual, color = 'Actual')) + + geom_line(aes(y = Prediction, color = 'Prediction'), linetype = 5) + + geom_ribbon(aes(ymin = L, ymax = U), fill = 'grey', alpha = 0.3) + + geom_vline(xintercept = results[n_train, 1], linetype = 4, color = 'blue', alpha = 0.3 ) +} + +Accuracy = function(test, pred){ + accuracy = 100 - mean(abs(test[['Rate']] - pred[['mean']])/test[['Rate']]) * 100 + return(accuracy) +} + +# Preparing the datasets +df_list = load_split('GBPCHF_daily_2016_2020.csv', train_test_split = 0.6, print_df = TRUE) +df = df_list[[1]] +df.train = df_list[[2]] +df.test = df_list[[3]] +n_train = df_list[[4]] +n_test = df_list[[5]] + +# Defining the model +ss_4 = AddLocalLinearTrend(list(), df.train[[2]]) +ss_4 = AddTrig(ss_4, df.train[[2]], period = 365, frequencies = c(1, 2, 4, 12)) +model_4 = bsts(df.train[[2]], state.specification = ss_4, niter = 2000, seed = 2020) + +# Prediction and performance +pred_model_4 = predict(model_4, horizon = n_test, burn = SuggestBurn(0.1, model_4)) +res_model_4 = resDF(pred_model_5, df) +resviz(res_model_4, title = 'GBPCHF - Model 4') +print(Accuracy(df.test, pred_model_4)) + +# Visualization +ggplot(df.test, aes(x = TimeStamp)) + theme_bw() + + theme(legend.title = element_blank(), plot.title = element_text(hjust = 0.5), legend.position = c(0.25, 0.2), legend.direction = "vertical") + + labs(title = 'GBPCHF - Predictions vs Actual', x = 'Time', y = 'Rate') + scale_x_date(date_labels = "%b %y") + + geom_line(aes(y = Rate, color = 'Actual'), alpha = 0.3) + + geom_line(aes(y = pred_model_4[['mean']], color = 'Model 4: Local Linear Trend + Trig'))