Train based on eps

Setup to run on floydhub

Preprocess Stock Data.ipynb

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+{
+ "cells": [
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## Import to Postgres\n",
+    "\n",
+    "Load the prices and fundamentals into postgres."
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "```shell\n",
+    "DB_NAME=stocks pgfutter csv prices.csv\n",
+    "DB_NAME=stocks pgfutter csv  --fields \"ticker_indicator,date,value\" fundamentals.csv\n",
+    "```\n",
+    "\n",
+    "Setup the prices table.\n",
+    "\n",
+    "```sql\n",
+    "ALTER TABLE import.prices\n",
+    "SET SCHEMA public;\n",
+    "\n",
+    "ALTER TABLE prices ALTER COLUMN \"date\" \n",
+    "SET DATA TYPE date \n",
+    "USING date::date;\n",
+    "\n",
+    "CREATE INDEX idx_prices_date \n",
+    "ON prices(date);\n",
+    "```\n",
+    "\n",
+    "Setup the fundamentals materialized view.\n",
+    "\n",
+    "```sql\n",
+    "ALTER TABLE import.fundamentals ALTER COLUMN \"date\" \n",
+    "SET DATA TYPE date \n",
+    "USING date::date;\n",
+    "\n",
+    "CREATE MATERIALIZED VIEW fundamentals AS\n",
+    "SELECT split_part(ticker_indicator, '_', 1) as ticker, date, value as epsdil \n",
+    "FROM import.fundamentals\n",
+    "WHERE ticker_indicator LIKE '%EPSDIL_MRT';\n",
+    "\n",
+    "CREATE INDEX idx_fundamentals_date \n",
+    "ON fundamentals(date);\n",
+    "\n",
+    "CREATE INDEX idx_fundamentals_ticker \n",
+    "ON fundamentals(ticker);\n",
+    "```"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## Query and Export\n",
+    "\n",
+    "Export the prices with fundamentals. This took about 40 minutes."
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "```sql\n",
+    "COPY \n",
+    "\n",
+    "(SELECT p.*, \n",
+    "\n",
+    "CASE p.epsdil::numeric\n",
+    "\tWHEN 0 THEN 0\n",
+    "\tELSE p.adj_close::numeric / p.epsdil::numeric\n",
+    "END as pe\n",
+    "\n",
+    "FROM (\n",
+    "\tSELECT prices.adj_close, prices.date, prices.ticker,\n",
+    "\t(\n",
+    "\t\tSELECT fundamentals.epsdil\n",
+    "\t\tFROM fundamentals\n",
+    "\t\tWHERE prices.ticker = fundamentals.ticker\n",
+    "\t\tAND prices.date >= fundamentals.date \n",
+    "\t\tORDER BY fundamentals.date DESC\n",
+    "\t\tLIMIT 1\n",
+    "\t)\n",
+    "\tFROM prices\n",
+    "\tWHERE prices.adj_close IS NOT NULL AND prices.adj_close != ''\n",
+    ") p\n",
+    "WHERE p.epsdil IS NOT NULL AND p.epsdil != ''\n",
+    ")\n",
+    "\n",
+    "TO 'prices.csv' (format CSV);\n",
+    "```"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {
+    "collapsed": true
+   },
+   "outputs": [],
+   "source": []
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.6.0"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 2
+}

README.md

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+## Run on floydhub
+
+```shell
+floyd run --gpu --mode jupyter --env tensorflow-1.0
+```

floyd_requirements.txt

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+tqdm