fix changes on iteration

Author: alifanov

es.py

@@ -16,15 +16,25 @@ def __init__(self):
         self.dataclose = self.datas[0].close
         self.datavol = self.datas[0].volume
 
-    # def stop(self):
-    #     cash = self.broker.getvalue()
-    #     print('Result cash: {}'.format(cash))
+    def stop(self):
+        cash = self.broker.getvalue()
+        print('Result cash: {}'.format(cash))
+
+    def notify_order(self, order):
+        if order.status in [order.Submitted, order.Accepted]:
+            return
+
+        self.order = None
 
     def next(self):
         if self.order:
             return
 
-        inp = np.asanyarray([self.dataclose[0], self.datavol[0]])
+        input_data = []
+        for i in range(7):
+            input_data.append(self.dataclose[i-6])
+            input_data.append(self.datavol[i-6])
+        inp = np.asanyarray(input_data)
         inp = np.expand_dims(inp, 0)
 
         predict = self.p.model.predict(inp)[0]
@@ -44,6 +54,15 @@ def next(self):
             if predict == 0:
                 self.order = self.buy()
 
+model = Sequential()
+model.add(Dense(128, input_dim=14, activation='relu'))
+model.add(Dense(256, activation='relu'))
+model.add(Dense(512, activation='relu'))
+model.add(Dense(1024, activation='relu'))
+model.add(Dense(2, activation='relu'))
+
+model.compile(optimizer='Adam', loss='mse')
+
 data = bt.feeds.GenericCSVData(
     dataname='eur_usd_1d.csv',
     separator=',',
@@ -59,19 +78,12 @@ def next(self):
     openinterest=-1
 )
 
-model = Sequential()
-model.add(Dense(128, input_dim=2, activation='relu'))
-model.add(Dense(1024, activation='relu'))
-model.add(Dense(2, activation='relu'))
-
-model.compile(optimizer='Adam', loss='mse')
-
-
 def get_reward(weights):
     model.set_weights(weights)
     cerebro = bt.Cerebro()
     cerebro.addstrategy(ESStrategy, model=model)
     cerebro.adddata(data)
+    cerebro.broker.setcash(1000)
     cerebro.addsizer(bt.sizers.FixedSize, stake=50)
 
     cerebro.run()