Popular Libraries
Hmmlearn
Create Subscriptions
In the Initialize
method, subscribe to some data so you can train the hmmlearn
model and make predictions.
self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
Build Models
In this example, assume the market has only 2 regimes and the market returns follow a Gaussian distribution. Therefore, create a 2-component Hidden Markov Model with Gaussian emissions, which is equivalent to a Gaussian mixture model with 2 means.
To build the model, call the GaussianHMM
constructor with the number of components, a covariance type, and the number of iterations:
self.model = hmm.GaussianHMM(n_components=2, covariance_type="full", n_iter=100)
Train Models
You can train the model at the beginning of your algorithm and you can periodically re-train it as the algorithm executes.
Warm Up Training Data
You need historical data to initially train the model at the start of your algorithm. To get the initial training data, in the Initialize
method, make a history request.
training_length = 252*2 self.training_data = RollingWindow[float](training_length) history = self.History[TradeBar](self.symbol, training_length, Resolution.Daily) for trade_bar in history: self.training_data.Add(trade_bar.Close)
Define a Training Method
To train the model, define a method that fits the model with the training data.
def get_features(self): training_df = np.array(list(self.training_data)[::-1]) daily_pct_change = (np.roll(training_df, 1) - training_df) / training_df return daily_pct_change[1:].reshape(-1, 1) def my_training_method(self): features = self.get_features() self.model.fit(features)
Set Training Schedule
To train the model at the beginning of your algorithm, in the Initialize
method, call the Train
method.
self.Train(self.my_training_method)
To periodically re-train the model as your algorithm executes, in the Initialize
method, call the Train
method as a Scheduled Event.
# Train the model every Sunday at 8:00 AM self.Train(self.DateRules.Every(DayOfWeek.Sunday), self.TimeRules.At(8, 0), self.my_training_method)
Update Training Data
To update the training data as the algorithm executes, in the OnData
method, add the current close price to the RollingWindow
that holds the training data.
def OnData(self, slice: Slice) -> None: if self.symbol in slice.Bars: self.training_data.Add(slice.Bars[self.symbol].Close)
Predict Labels
To predict the labels of new data, in the OnData
method, get the most recent set of features and then call the predict
method.
new_feature = self.get_features() prediction = self.model.predict(new_feature) prediction = float(prediction[-1])
You can use the label prediction to place orders.
if prediction == 1: self.SetHoldings(self.symbol, 1) else: self.Liquidate(self.symbol)
Save Models
Follow these steps to save hmmlearn
models into the Object Store:
- Set the key name you want to store the model under in the Object Store.
- Call the
GetFilePath
method with the key. - Call the
dump
method the file path.
model_key = "model.hmm"
file_name = self.ObjectStore.GetFilePath(model_key)
This method returns the file path where the model will be stored.
joblib.dump(self.model, file_name)
If you dump the model using the joblib
module before you save the model, you don't need to retrain the model.
Load Models
You can load and trade with pre-trained hmmlearn
models that you saved in the Object Store. To load a hmmlearn
model from the Object Store, in the Initialize
method, get the file path to the saved model and then call the load
method.
def Initialize(self) -> None: if self.ObjectStore.ContainsKey(model_key): file_name = self.ObjectStore.GetFilePath(model_key) self.model = joblib.load(file_name)
The ContainsKey
method returns a boolean that represents if the model_key
is in the Object Store. If the Object Store does not contain the model_key
, save the model using the model_key
before you proceed.