kennyhsieh1111
12/28/2019 - 4:08 PM

Transform to RNN Input Data Form

Transform to RNN Input Data Form

Transform the time sequence dataframe into RNN input data form

Input

Time Sequence Dataframe

Result

RNN Input Data Form

transform_rnn_input.py
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def buildRNNInputData(data, pastDay=30, futureDay=1):
    X_train, y_train = [], []
    
    for i in range(data.shape[0]-futureDay-pastDay+1):
        X_train.append(np.array(data.iloc[i:i+pastDay]))
        y_train.append(np.array(data.iloc[i+pastDay:i+pastDay+futureDay]["Close"]))
    
    return np.array(X_train), np.array(y_train)
    
# Transfrom data shape
X_train, y_train = buildRNNInputData(data_train_sc, pastDay=PAST_DAY, futureDay=FUTURE_DAY)
print('RNN Input Training Set Shape  : ', X_train.shape)