import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
import jqdata
import datetime
from jqlib.alpha101 import *

stocks = get_index_stocks('000300.XSHG')
factors = ['B/M','PEG','ROE','ROA','GP/R','P/R','L/A','FAP','CMV',]

#从聚宽数据库中正确读取股票及因子数据，以及对应的前五日收益率数据
def get_factors(fdate,factors):
    q = query(
        valuation.code,
        balance.total_owner_equities/valuation.market_cap/100000000,
        valuation.pe_ratio,
        income.net_profit/balance.total_owner_equities,
        income.net_profit/balance.total_assets,
        income.total_profit/income.operating_revenue,
        income.net_profit/income.operating_revenue,
        balance.total_liability/balance.total_assets,
        balance.fixed_assets/balance.total_assets,
        valuation.circulating_market_cap
        ).filter(
        valuation.code.in_(stocks),
        valuation.circulating_market_cap
    )
    fdf = get_fundamentals(q, date=fdate)
    fdf.index = fdf['code']
    fdf.columns = ['code'] + factors
    return fdf.iloc[:,-9:]

#整理前五日收益率数据，并分类为是否上涨超过0.1%
def timereturn(fdate):
    d1 = datetime.datetime.strptime(fdate, '%Y-%m-%d')
    delta1 = datetime.timedelta(days=1)
    delta2 = datetime.timedelta(days=15)
    d2=d1+delta1
    d3=d1+delta2
    ndate=d2.strftime('%Y-%m-%d')
    bdate=d3.strftime('%Y-%m-%d')
    getprice=get_price(stocks, start_date=ndate, end_date=bdate,frequency='daily', fields="open")["open"]
    getprice_array=getprice.values
    qw=np.matrix(getprice_array)
    arrt=((qw[-1]-qw[0])/qw[0])/qw.shape[0]
    arr=np.asarray(arrt)
    qwer= np.zeros((1,arr.shape[1]))
    for i in range(0, arr.shape[1]):
        if arr[0,i] > 0.001:
            qwer[0,i] = 1
        else:
            qwer[0,i] = 0
    return qwer

#把股票因子数据标准化，以及调整好对应的矩阵格式
def normalize(fdate, factors):
    x_origin=get_factors(fdate,factors).values.T
    x_norm=np.linalg.norm(x_origin,ord=2,axis=1,keepdims=True)
    x_normalize=np.asarray(np.matrix(x_origin/x_norm))
    return x_normalize

fdf = get_factors('2017-05-01',factors).T
fdf

exa=timereturn("2017-05-01")
exa

normalize("2017-05-01", factors)

#开始构建两层神经网络
# 定义处理好train_data, test_data, train_data
train_x=normalize("2017-05-09", factors)
train_y=timereturn("2017-05-20")
test_x=normalize("2017-05-09", factors)
test_y=timereturn('2017-05-20')

### 定义初始设定 ###
n_x = 9     # feature数量
n_h = 7
n_y = 1
layers_dims = (n_x, n_h, n_y)

# initialize_parameters
def initialize_parameters(n_x, n_h, n_y):
    """
    Argument:
    n_x -- size of the input layer
    n_h -- size of the hidden layer
    n_y -- size of the output layer
    
    Returns:
    parameters -- python dictionary containing your parameters:
                    W1 -- weight matrix of shape (n_h, n_x)
                    b1 -- bias vector of shape (n_h, 1)
                    W2 -- weight matrix of shape (n_y, n_h)
                    b2 -- bias vector of shape (n_y, 1)
    """
    
    np.random.seed(1)
    
    ### START CODE HERE ### (≈ 4 lines of code)
    W1 = np.random.randn(n_h, n_x)*0.01
    b1 = np.zeros((n_h, 1))
    W2 = np.random.randn(n_y, n_h)*0.01
    b2 = np.zeros((n_y, 1))
    ### END CODE HERE ###
    
    assert(W1.shape == (n_h, n_x))
    assert(b1.shape == (n_h, 1))
    assert(W2.shape == (n_y, n_h))
    assert(b2.shape == (n_y, 1))
    
    parameters = {"W1": W1,
                  "b1": b1,
                  "W2": W2,
                  "b2": b2}
    
    return parameters   

# GRADED FUNCTION: initialize_parameters_deep
def initialize_parameters_deep(layer_dims):
    """
    Arguments:
    layer_dims -- python array (list) containing the dimensions of each layer in our network
    
    Returns:
    parameters -- python dictionary containing your parameters "W1", "b1", ..., "WL", "bL":
                    Wl -- weight matrix of shape (layer_dims[l], layer_dims[l-1])
                    bl -- bias vector of shape (layer_dims[l], 1)
    """
    
    np.random.seed(3)
    parameters = {}
    L = len(layer_dims)            # number of layers in the network
    for l in range(1, L):
        ### START CODE HERE ### (≈ 2 lines of code)
        parameters['W' + str(l)] = np.random.randn(layer_dims[l], layer_dims[l-1])*0.01
        parameters['b' + str(l)] = np.zeros((layer_dims[l], 1))
        ### END CODE HERE ###
        
        assert(parameters['W' + str(l)].shape == (layer_dims[l], layer_dims[l-1]))
        assert(parameters['b' + str(l)].shape == (layer_dims[l], 1))
        
    return parameters

# GRADED FUNCTION: linear_forward
def linear_forward(A, W, b):
    """
    Implement the linear part of a layer's forward propagation.
    Arguments:
    A -- activations from previous layer (or input data): (size of previous layer, number of examples)
    W -- weights matrix: numpy array of shape (size of current layer, size of previous layer)
    b -- bias vector, numpy array of shape (size of the current layer, 1)
    Returns:
    Z -- the input of the activation function, also called pre-activation parameter 
    cache -- a python dictionary containing "A", "W" and "b" ; stored for computing the backward pass efficiently
    """
    
    ### START CODE HERE ### (≈ 1 line of code)
    Z = np.dot(W, A)+b
    ### END CODE HERE ###
    
    assert(Z.shape == (W.shape[0], A.shape[1]))
    cache = (A, W, b)
    
    return Z, cache

# GRADED FUNCTION: linear_activation_forward
def linear_activation_forward(A_prev, W, b, activation):
    """
    Implement the forward propagation for the LINEAR->ACTIVATION layer
    Arguments:
    A_prev -- activations from previous layer (or input data): (size of previous layer, number of examples)
    W -- weights matrix: numpy array of shape (size of current layer, size of previous layer)
    b -- bias vector, numpy array of shape (size of the current layer, 1)
    activation -- the activation to be used in this layer, stored as a text string: "sigmoid" or "relu"
    Returns:
    A -- the output of the activation function, also called the post-activation value 
    cache -- a python dictionary containing "linear_cache" and "activation_cache";
             stored for computing the backward pass efficiently
    """
    
    if activation == "sigmoid":
        # Inputs: "A_prev, W, b". Outputs: "A, activation_cache".
        ### START CODE HERE ### (≈ 2 lines of code)
        Z, linear_cache = linear_forward(A_prev, W, b)
        A, activation_cache = sigmoid(Z)
        ### END CODE HERE ###
    
    elif activation == "relu":
        # Inputs: "A_prev, W, b". Outputs: "A, activation_cache".
        ### START CODE HERE ### (≈ 2 lines of code)
        Z, linear_cache = linear_forward(A_prev, W, b)
        A, activation_cache = relu(Z)
        ### END CODE HERE ###
    
    assert (A.shape == (W.shape[0], A_prev.shape[1]))
    cache = (linear_cache, activation_cache)
    return A, cache

# GRADED FUNCTION: L_model_forward
def L_model_forward(X, parameters):
    """
    Implement forward propagation for the [LINEAR->RELU]*(L-1)->LINEAR->SIGMOID computation
    
    Arguments:
    X -- data, numpy array of shape (input size, number of examples)
    parameters -- output of initialize_parameters_deep()
    
    Returns:
    AL -- last post-activation value
    caches -- list of caches containing:
                every cache of linear_relu_forward() (there are L-1 of them, indexed from 0 to L-2)
                the cache of linear_sigmoid_forward() (there is one, indexed L-1)
    """
    caches = []
    A = X
    L = len(parameters) // 2                  # number of layers in the neural network
    
    # Implement [LINEAR -> RELU]*(L-1). Add "cache" to the "caches" list.
    for l in range(1, L):
        A_prev = A 
        ### START CODE HERE ### (≈ 2 lines of code)
        A, cache = linear_activation_forward(A_prev, parameters["W1"], parameters["b1"], activation = "relu")
        caches.append(cache)
        
        ### END CODE HERE ###
    
    # Implement LINEAR -> SIGMOID. Add "cache" to the "caches" list.
    ### START CODE HERE ### (≈ 2 lines of code)
    AL, cache = linear_activation_forward(A, parameters["W2"], parameters["b2"], activation = "sigmoid")
    caches.append(cache)
    ### END CODE HERE ###
    
    assert(AL.shape == (1,X.shape[1]))
            
    return AL, caches

# GRADED FUNCTION: compute_cost
def compute_cost(AL, Y):
    """
    Implement the cost function defined by equation (7).
    Arguments:
    AL -- probability vector corresponding to your label predictions, shape (1, number of examples)
    Y -- true "label" vector (for example: containing 0 if non-cat, 1 if cat), shape (1, number of examples)
    Returns:
    cost -- cross-entropy cost
    """
    
    m = Y.shape[1]
    # Compute loss from aL and y.
    ### START CODE HERE ### (≈ 1 lines of code)
    cost = -(np.dot(Y, np.log(AL).T)+np.dot((1-Y), np.log(1-AL).T))/m
    ### END CODE HERE ###
    
    cost = np.squeeze(cost)      # To make sure your cost's shape is what we expect (e.g. this turns [[17]] into 17).
    assert(cost.shape == ())
    return cost

# GRADED FUNCTION: linear_backward
def linear_backward(dZ, cache):
    """
    Implement the linear portion of backward propagation for a single layer (layer l)
    Arguments:
    dZ -- Gradient of the cost with respect to the linear output (of current layer l)
    cache -- tuple of values (A_prev, W, b) coming from the forward propagation in the current layer
    Returns:
    dA_prev -- Gradient of the cost with respect to the activation (of the previous layer l-1), same shape as A_prev
    dW -- Gradient of the cost with respect to W (current layer l), same shape as W
    db -- Gradient of the cost with respect to b (current layer l), same shape as b
    """
    A_prev, W, b = cache
    m = A_prev.shape[1]
    ### START CODE HERE ### (≈ 3 lines of code)
    dW = np.dot(dZ, A_prev.T)/m
    db = np.sum(dZ, axis=1, keepdims=True)/m
    dA_prev = np.dot(W.T, dZ)
    ### END CODE HERE ###
    
    assert (dA_prev.shape == A_prev.shape)
    assert (dW.shape == W.shape)
    assert (db.shape == b.shape)
    
    return dA_prev, dW, db

# GRADED FUNCTION: linear_activation_backward
def linear_activation_backward(dA, cache, activation):
    """
    Implement the backward propagation for the LINEAR->ACTIVATION layer.
    
    Arguments:
    dA -- post-activation gradient for current layer l 
    cache -- tuple of values (linear_cache, activation_cache) we store for computing backward propagation efficiently
    activation -- the activation to be used in this layer, stored as a text string: "sigmoid" or "relu"
    
    Returns:
    dA_prev -- Gradient of the cost with respect to the activation (of the previous layer l-1), same shape as A_prev
    dW -- Gradient of the cost with respect to W (current layer l), same shape as W
    db -- Gradient of the cost with respect to b (current layer l), same shape as b
    """
    linear_cache, activation_cache = cache
    
    if activation == "relu":
        ### START CODE HERE ### (≈ 2 lines of code)
        dZ = relu_backward(dA, activation_cache)
        dA_prev, dW, db = linear_backward(dZ, linear_cache)
        ### END CODE HERE ###
        
    elif activation == "sigmoid":
        ### START CODE HERE ### (≈ 2 lines of code)
        dZ = sigmoid_backward(dA, activation_cache)
        dA_prev, dW, db = linear_backward(dZ, linear_cache)
        ### END CODE HERE ###
    
    return dA_prev, dW, db

# GRADED FUNCTION: L_model_backward
def L_model_backward(AL, Y, caches):
    """
    Implement the backward propagation for the [LINEAR->RELU] * (L-1) -> LINEAR -> SIGMOID group
    
    Arguments:
    AL -- probability vector, output of the forward propagation (L_model_forward())
    Y -- true "label" vector (containing 0 if non-cat, 1 if cat)
    caches -- list of caches containing:
                every cache of linear_activation_forward() with "relu" (it's caches[l], for l in range(L-1) i.e l = 0...L-2)
                the cache of linear_activation_forward() with "sigmoid" (it's caches[L-1])
    
    Returns:
    grads -- A dictionary with the gradients
             grads["dA" + str(l)] = ... 
             grads["dW" + str(l)] = ...
             grads["db" + str(l)] = ... 
    """
    grads = {}
    L = len(caches) # the number of layers
    m = AL.shape[1]
    Y = Y.reshape(AL.shape) # after this line, Y is the same shape as AL
    
    # Initializing the backpropagation
    ### START CODE HERE ### (1 line of code)
    dAL = -(np.divide(Y, AL)-np.divide(1-Y, 1-AL))
    ### END CODE HERE ###
    
    # Lth layer (SIGMOID -> LINEAR) gradients. Inputs: "AL, Y, caches". Outputs: "grads["dAL"], grads["dWL"], grads["dbL"]
    ### START CODE HERE ### (approx. 2 lines)
    current_cache = caches[1]
    grads["dA" + str(L)], grads["dW" + str(L)], grads["db" + str(L)] = linear_activation_backward(dAL, current_cache, activation = "sigmoid")
    ### END CODE HERE ###
    
    for l in reversed(range(L-1)):
        # lth layer: (RELU -> LINEAR) gradients.
        # Inputs: "grads["dA" + str(l + 2)], caches". Outputs: "grads["dA" + str(l + 1)] , grads["dW" + str(l + 1)] , grads["db" + str(l + 1)] 
        ### START CODE HERE ### (approx. 5 lines)
        current_cache = caches[0]
        dA_prev_temp, dW_temp, db_temp = linear_activation_backward(grads["dA" + str(L)], current_cache, activation = "relu")
        grads["dA" + str(l + 1)] = dA_prev_temp
        grads["dW" + str(l + 1)] = dW_temp
        grads["db" + str(l + 1)] = db_temp
        ### END CODE HERE ###
    return grads

# GRADED FUNCTION: update_parameters
def update_parameters(parameters, grads, learning_rate):
    """
    Update parameters using gradient descent
    
    Arguments:
    parameters -- python dictionary containing your parameters 
    grads -- python dictionary containing your gradients, output of L_model_backward
    
    Returns:
    parameters -- python dictionary containing your updated parameters 
                  parameters["W" + str(l)] = ... 
                  parameters["b" + str(l)] = ...
    """
    
    L = len(parameters) // 2 # number of layers in the neural network
    # Update rule for each parameter. Use a for loop.
    ### START CODE HERE ### (≈ 3 lines of code)
    for l in range(L):
        parameters["W" + str(l+1)] = parameters["W" + str(l+1)]-grads["dW" + str(l+1)]*learning_rate
        parameters["b" + str(l+1)] = parameters["b" + str(l+1)]-grads["db" + str(l+1)]*learning_rate
    ### END CODE HERE ###
    
    return parameters

def sigmoid(Z):
    """
    Implements the sigmoid activation in numpy
    
    Arguments:
    Z -- numpy array of any shape
    
    Returns:
    A -- output of sigmoid(z), same shape as Z
    cache -- returns Z as well, useful during backpropagation
    """
    
    A = 1/(1+np.exp(-Z))
    cache = Z
    
    return A, cache

def relu(Z):
    """
    Implement the RELU function.

    Arguments:
    Z -- Output of the linear layer, of any shape

    Returns:
    A -- Post-activation parameter, of the same shape as Z
    cache -- a python dictionary containing "A" ; stored for computing the backward pass efficiently
    """
    
    A = np.maximum(0,Z)
    
    assert(A.shape == Z.shape)
    
    cache = Z 
    return A, cache

def relu_backward(dA, cache):
    """
    Implement the backward propagation for a single RELU unit.

    Arguments:
    dA -- post-activation gradient, of any shape
    cache -- 'Z' where we store for computing backward propagation efficiently

    Returns:
    dZ -- Gradient of the cost with respect to Z
    """
    
    Z = cache
    dZ = np.array(dA, copy=True) # just converting dz to a correct object.
    
    # When z <= 0, you should set dz to 0 as well. 
    dZ[Z <= 0] = 0
    
    assert (dZ.shape == Z.shape)
    
    return dZ

def sigmoid_backward(dA, cache):
    """
    Implement the backward propagation for a single SIGMOID unit.

    Arguments:
    dA -- post-activation gradient, of any shape
    cache -- 'Z' where we store for computing backward propagation efficiently

    Returns:
    dZ -- Gradient of the cost with respect to Z
    """
    
    Z = cache
    
    s = 1/(1+np.exp(-Z))
    dZ = dA * s * (1-s)
    
    assert (dZ.shape == Z.shape)
    
    return dZ

def predict(X, y, parameters):
    """
    This function is used to predict the results of a  L-layer neural network.
    
    Arguments:
    X -- data set of examples you would like to label
    parameters -- parameters of the trained model
    
    Returns:
    p -- predictions for the given dataset X
    """
    
    m = X.shape[1]
    n = len(parameters) // 2 # number of layers in the neural network
    p = np.zeros((1,m))
    
    # Forward propagation
    probas, caches = L_model_forward(X, parameters)

    
    # convert probas to 0/1 predictions
    for i in range(0, probas.shape[1]):
        if probas[0,i] > 0.5:
            p[0,i] = 1
        else:
            p[0,i] = 0
    
    #print results
    #print ("predictions: " + str(p))
    #print ("true labels: " + str(y))
    print("Accuracy: "  + str(np.sum((p == y)/m)))
        
    return p

def print_mislabeled_images(classes, X, y, p):
    """
    Plots images where predictions and truth were different.
    X -- dataset
    y -- true labels
    p -- predictions
    """
    a = p + y
    mislabeled_indices = np.asarray(np.where(a == 1))
    plt.rcParams['figure.figsize'] = (40.0, 40.0) # set default size of plots
    num_images = len(mislabeled_indices[0])
    for i in range(num_images):
        index = mislabeled_indices[1][i]
        
        plt.subplot(2, num_images, i + 1)
        plt.imshow(X[:,index].reshape(64,64,3), interpolation='nearest')
        plt.axis('off')
        plt.title("Prediction: " + classes[int(p[0,index])].decode("utf-8") + " \n Class: " + classes[y[0,index]].decode("utf-8"))

# GRADED FUNCTION: two_layer_model

def two_layer_model(X, Y, layers_dims, learning_rate = 0.2, num_iterations = 3000, print_cost=False):
    """
    Implements a two-layer neural network: LINEAR->RELU->LINEAR->SIGMOID.
    
    Arguments:
    X -- input data, of shape (n_x, number of examples)
    Y -- true "label" vector (containing 0 if cat, 1 if non-cat), of shape (1, number of examples)
    layers_dims -- dimensions of the layers (n_x, n_h, n_y)
    num_iterations -- number of iterations of the optimization loop
    learning_rate -- learning rate of the gradient descent update rule
    print_cost -- If set to True, this will print the cost every 100 iterations 
    
    Returns:
    parameters -- a dictionary containing W1, W2, b1, and b2
    """
    
    np.random.seed(1)
    grads = {}
    costs = []                              # to keep track of the cost
    m = X.shape[1]                           # number of examples
    (n_x, n_h, n_y) = layers_dims
    
    # Initialize parameters dictionary, by calling one of the functions you'd previously implemented
    ### START CODE HERE ### (≈ 1 line of code)
    parameters = initialize_parameters(n_x, n_h, n_y)
    ### END CODE HERE ###
    
    # Get W1, b1, W2 and b2 from the dictionary parameters.
    W1 = parameters["W1"]
    b1 = parameters["b1"]
    W2 = parameters["W2"]
    b2 = parameters["b2"]
    
    # Loop (gradient descent)

    for i in range(0, num_iterations):

        # Forward propagation: LINEAR -> RELU -> LINEAR -> SIGMOID. Inputs: "X, W1, b1". Output: "A1, cache1, A2, cache2".
        ### START CODE HERE ### (≈ 2 lines of code)
        A1, cache1 = linear_activation_forward(X, W1, b1, activation="relu")
        A2, cache2 = linear_activation_forward(A1, W2, b2, activation="sigmoid")
        ### END CODE HERE ###
        
        # Compute cost
        ### START CODE HERE ### (≈ 1 line of code)
        cost = compute_cost(A2, Y)
        ### END CODE HERE ###
        
        # Initializing backward propagation
        dA2 = - (np.divide(Y, A2) - np.divide(1 - Y, 1 - A2))
        
        # Backward propagation. Inputs: "dA2, cache2, cache1". Outputs: "dA1, dW2, db2; also dA0 (not used), dW1, db1".
        ### START CODE HERE ### (≈ 2 lines of code)
        dA1, dW2, db2 = linear_activation_backward(dA2, cache2, activation="sigmoid")
        dA0, dW1, db1 = linear_activation_backward(dA1, cache1, activation="relu")
        ### END CODE HERE ###
        
        # Set grads['dWl'] to dW1, grads['db1'] to db1, grads['dW2'] to dW2, grads['db2'] to db2
        grads['dW1'] = dW1
        grads['db1'] = db1
        grads['dW2'] = dW2
        grads['db2'] = db2
        
        # Update parameters.
        ### START CODE HERE ### (approx. 1 line of code)
        parameters = update_parameters(parameters, grads, learning_rate)
        ### END CODE HERE ###

        # Retrieve W1, b1, W2, b2 from parameters
        W1 = parameters["W1"]
        b1 = parameters["b1"]
        W2 = parameters["W2"]
        b2 = parameters["b2"]
        
        # Print the cost every 100 training example
        if print_cost and i % 1000 == 0:
            print("Cost after iteration {}: {}".format(i, np.squeeze(cost)))
        if print_cost and i % 1000 == 0:
            costs.append(cost)
       
    # plot the cost

    plt.plot(np.squeeze(costs))
    plt.ylabel('cost')
    plt.xlabel('iterations (per tens)')
    plt.title("Learning rate =" + str(learning_rate))
    plt.show()    
    return A2

parameters = two_layer_model(train_x, train_y, layers_dims = (n_x, n_h, n_y), num_iterations = 40000, print_cost=True)

parameters