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CPAI

Artificial Intelligence for CryptoCurrency market trends predictions.

Current accuracy (5-fold Stratified Cross-Validation with PCA): 82%.

Description

Database

Recurrent Neural Network (Many-to-Many approach) based on historical and social datas.

Number of hours to predict: 32. Number of past hours for the prediction: 2048.

As of now, the algorithm is trying to predict Ethereum (ETH) prices with the following features acquired through CryptoCompare's API:

  • ETH historical data (open, close, high, low, volume from, volume to),
  • BTC historical data (same as above as all cryptocurrencies are strongly correlated to BTC),
  • Social data (such as Github commits, tweets, facebook mentions, etc.).

With ETH's historical data, several indicators are computed to help the RNN:

  • Ichimoku Kinko Hyo (unshifted cloud, standard values),
  • MACD,
  • Bollinger Bands,
  • Fourier Transforms (3, 6, 9, 100 components),
  • ADX,
  • Stochastic RSI.

After that all features are collected, a PCA is computed, and components giving .99 of explained variance are kept. Let x be the number of components.

Model

Currently used model is pretty basic. It's a stacked GRU model taking an input of shape (2048, x).

There are 4 Gated Recurrent Units (GRU) layers of 128, 64, 32 and 32 neurons each, with a parametric relu activation function connected to a Dense layer (output layer) of 5 neurons with a softmax activation function.

As of now, the classifier is using a classical Sparse Categorical Crossentropy loss function with Sparse Categorical Accuracy as metric, with a rmsprop optimizer, a batch size of 64 and 64 epochs.

The model is now a Classifier to reduce model complexity.

The main goal changed: we do not try to predict future prices, but the overall trend for the next hours. To do so, y_train is the slope of a linear regression over 32 hours. Classes are then defined as:

  • 0, Very decreasing trend with slope <= mean(slopes)-a*std(slopes),
  • 1, Decreasing trend with slope <= mean(slopes)-b*std(slopes),
  • 2, Range with slope between mean(slopes) +/- c(std(slopes)),
  • 3, Increasing trend with slope >= mean(slopes)+b*std(slopes),
  • 4, Very Increasing trend with slope >= mean(slopes)+a*stp(slopes).

model

The model needs hyperparameters tuning.

Here is the resulting prices array with training historical price, and the two most probable predictions (bottom left):

WARNING: Example may not be up-to-dat in regard to the model while I'm tunning it with k-fold crossvalidation.

prediction

Next step

Note

  • Early and unstable,
  • Basic RNN still not tuned,
  • Integrating Google Trends is theoretically working, but pytrends' API isn't working,
  • History is heavily limited by the quantity of social data, but this is related to CryptoCompare's API,
  • PCA is linear, why not using KernelPCA or Autoencoders?

Used libraries