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January 11, 2019 12:08
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| {"cells":[{"metadata":{},"cell_type":"markdown","source":"# MMLib - Prediction of Stock Prices using Financial KPIs\n\nFinancial KPIs can be used to drive investment decisions. So it was my goal to create a comprehensive set of KPIs across different dimensions. In this document we will use EDGAR to calculate KPIs to measure the following dimensions of a reporting company\n- Profitability\n- Liquidity\n- Efficiency\n- Innovation\n- Growth\n- Leadereship\n- Surprises\n\nIt is the expectation that the stock price of companies with better KPIs will grow faster than their competitors: So in this document we will evaluate the KPIs against the stock prices.\nThe solution is based on the following functionality\n\n- [Smart EDGAR](https://www.pschatzmann.ch/home/projects/smart-edgar/) for the calculation or KPIs\n- [Investor](https://www.pschatzmann.ch/home/projects/402-2/) for the determination of stock prices\n- [Spark MLLib](https://spark.apache.org/mllib/) Machine Learning\n\n\n## Setup\nIn install the following libraries with the help of Maven\n"},{"metadata":{"trusted":true},"cell_type":"code","source":"%classpath config resolver maven-public http://software.pschatzmann.ch/repository/maven-public/\n%%classpath add mvn \nch.pschatzmann:smart-edgar:LATEST\nch.pschatzmann:jupyter-jdk-extensions:LATEST\nch.pschatzmann:investor:LATEST\norg.apache.spark:spark-sql_2.11:2.3.2\norg.apache.spark:spark-mllib_2.11:2.3.2\n","execution_count":20,"outputs":[{"output_type":"stream","text":"Added new repo: maven-public\n","name":"stdout"},{"output_type":"display_data","data":{"method":"display_data","application/vnd.jupyter.widget-view+json":{"version_minor":0,"model_id":"","version_major":2}},"metadata":{}},{"output_type":"display_data","data":{"method":"display_data","application/vnd.jupyter.widget-view+json":{"version_minor":0,"model_id":"532e1ea8-7447-4bf0-b3be-aa2cb33d6cb2","version_major":2}},"metadata":{}}]},{"metadata":{"trusted":true},"cell_type":"code","source":"import ch.pschatzmann.edgar.reporting.company._\nimport ch.pschatzmann.display.Displayers\nimport ch.pschatzmann.stocks._\nimport ch.pschatzmann.stocks.ta4j.indicator._\nimport ch.pschatzmann.display.Table\nimport org.ta4j.core.indicators.helpers._\nimport org.ta4j.core.indicators._\nimport org.apache.spark.ml.Pipeline\nimport org.apache.spark.ml.evaluation.MulticlassClassificationEvaluator\nimport org.apache.spark.ml.classification.{RandomForestClassificationModel, RandomForestClassifier}\nimport org.apache.spark.ml.feature.{IndexToString, StringIndexer, VectorIndexer,VectorAssembler,Imputer}\nimport org.apache.spark.sql.{Dataset, SparkSession}\nimport org.apache.spark.sql.types.DoubleType\n\nDisplayers.setup\n","execution_count":21,"outputs":[{"output_type":"execute_result","execution_count":21,"data":{"text/plain":"true"},"metadata":{}}]},{"metadata":{},"cell_type":"markdown","source":"## Financial KPIs\nIn my last Blog I have described how to calculate financial KPS with the help of Smart EDGAR. Here is the result:"},{"metadata":{"trusted":true},"cell_type":"code","source":"val ticker = \"AAPL\"\n","execution_count":22,"outputs":[{"output_type":"execute_result","execution_count":22,"data":{"text/plain":"AAPL"},"metadata":{}}]},{"metadata":{"trusted":true},"cell_type":"code","source":"val kpi = new CompanyEdgarValuesDB(new CompanySelection().setTradingSymbol(ticker))\n .setUseArrayList(true)\n .setAddTime(true)\n .setFilter(new FilterQuarterlyCumulated())\n .setParameterNames(\"NetIncomeLoss\",\"OperatingIncomeLoss\",\"ResearchAndDevelopmentExpense\",\"OperatingExpenses\",\"CostsAndExpenses\",\n \"CashAndCashEquivalentsAtCarryingValue\",\"AvailableForSaleSecuritiesCurrent\",\"AccountsReceivableNetCurrent\",\n \"Revenues\",\"SalesRevenueNet\",\"SalesRevenueGoodsNet\",\"InventoryNet\",\"AssetsCurrent\",\n \"LiabilitiesCurrent\",\"Assets\",\"EarningsPerShareBasic\",\"MarketableSecuritiesCurrent\",\n \"StockholdersEquity\", \"Assets\",\"Liabilities\",\"ProfitLoss\",\"GrossProfit\", \"AccountsReceivableNetCurrent\",\n \"NetCashProvidedByUsedInOperatingActivities\",\"NetCashProvidedByUsedInOperatingActivitiesContinuingOperations\",\"CostOfGoodsSold\",\n \"CostOfGoodsAndServicesSold\",\"CostOfRevenue\", \"SalesRevenueNet\")\n// Handling of alternatives / renames\n .addFormula(\"SalesRevenue\",\"Edgar.coalesce('SalesRevenueNet', 'SalesRevenueGoodsNet','Revenues')\")\n .addFormula(\"TotalRevenue\",\"Edgar.coalesce('Revenues', 'SalesRevenueNet')\")\n .addFormula(\"OperatingCashFlow\",\"Edgar.coalesce('NetCashProvidedByUsedInOperatingActivities','NetCashProvidedByUsedInOperatingActivitiesContinuingOperations')\")\n .addFormula(\"COGS\",\"Edgar.coalesce('CostOfGoodsSold', 'CostOfGoodsAndServicesSold','CostOfRevenue')\")\n .addFormula(\"Profit\",\"Edgar.coalesce('ProfitLoss', 'GrossProfit', 'NetIncomeLoss')\")\n// Profititbility\n .addFormula(\"ExpensesOp\",\"Edgar.coalesce('OperatingExpenses', 'CostsAndExpenses')\")\n .addFormula(\"GrossProfitMargin\",\"(TotalRevenue - COGS) / TotalRevenue\")\n .addFormula(\"OperatingProfitMargin\", \"OperatingIncomeLoss / SalesRevenue\")\n .addFormula(\"OperatingExpensesRatio\",\"ExpensesOp / TotalRevenue \")\n .addFormula(\"ReturnonEquity\",\"NetIncomeLoss / StockholdersEquity\")\n .addFormula(\"TotalCapitalEmployed\",\"Assets - LiabilitiesCurrent\")\n .addFormula(\"OperatingCashFlowCapitalRatio\",\"OperatingCashFlow / TotalCapitalEmployed\")\n .addFormula(\"NetProfitMargin\",\"Profit / TotalRevenue\")\n .addFormula(\"DebtToEquityRatio\",\"Liabilities / StockholdersEquity\")\n .addFormula(\"EarningsPerShare\",\"Edgar.coalesce('EarningsPerShareBasic')\")\n// Liquidity\n .addFormula(\"ShortTermInvestements\",\"Edgar.coalesce('AvailableForSaleSecuritiesCurrent','MarketableSecuritiesCurrent')\")\n .addFormula(\"CurrentRatio\",\"AssetsCurrent / LiabilitiesCurrent\")\n .addFormula(\"QuickRatio\",\"(CashAndCashEquivalentsAtCarryingValue + AccountsReceivableNetCurrent + ShortTermInvestements) / LiabilitiesCurrent\")\n .addFormula(\"WorkingCapital\",\"Assets - Liabilities\")\n// Efficiency\n .addFormula(\"InventoryTurnover\",\"SalesRevenue / InventoryNet\")\n .addFormula(\"AccountsReceivableTurnoverRatio\", \"SalesRevenue / AccountsReceivableNetCurrent\")\n .addFormula(\"ReturnOnAssets\", \"NetIncomeLoss / Assets\")\n .addFormula(\"SalesWorkingCapitalRatio\",\"SalesRevenue / WorkingCapital\")\n// Innovation\n .addFormula(\"SalesResearchRatio\",\"ResearchAndDevelopmentExpense / SalesRevenue * 100\")\n .addFormula(\"NetIncomeResearchRatio\",\"ResearchAndDevelopmentExpense / NetIncomeLoss * 100\")\n// Growth\n .addFormula(\"SalesRevenueChange\", \"Edgar.percentChange('SalesRevenue')\" ) \n .addFormula(\"NetIncomeChange\", \"Edgar.percentChange('NetIncomeLoss')\" ) \n .addFormula(\"EarningsPerShareChange\", \"Edgar.percentChange('EarningsPerShare')\" ) \n .addFormula(\"ResearchAndDevelopmentChange\",\"Edgar.percentChange('ResearchAndDevelopmentExpense')\" )\n// Surprises\n .addFormula(\"NetIncomeSurprise\",\"Edgar.surprisePercent('NetIncomeLoss')\")\n .addFormula(\"RevenueSurprise\",\"Edgar.surprisePercent('SalesRevenue')\")\n// Leadereship\n .addFormula(\"MarketShareOfYear\",\"Edgar.marketShare()\")\n .addFormula(\"MarketShareChange\", \"Edgar.percentChange('MarketShareOfYear')\" ) \n .removeParameterNames(\"Assets\",\"AssetsCurrent\",\"AccountsReceivableNetCurrent\",\"AvailableForSaleSecuritiesCurrent\",\n \"CashAndCashEquivalentsAtCarryingValue\",\"Revenues\",\"SalesRevenueNet\",\n \"SalesRevenueGoodsNet\",\"CostOfGoodsSold\",\"InventoryNet\",\"Liabilities\",\"LiabilitiesCurrent\",\n \"NetIncomeLoss\", \"OperatingExpenses\", \"OperatingIncomeLoss\",\"ResearchAndDevelopmentExpense\",\n \"Profit\", \"COGS\" ,\"TotalRevenue\", \"SalesRevenue\", \"StockholdersEquity\", \n \"WorkingCapital\", \"TotalCapitalEmployed\", \"OperatingCashFlow\",\n \"NetCashProvidedByUsedInOperatingActivities\",\"NetCashProvidedByUsedInOperatingActivitiesContinuingOperations\",\n \"CostOfGoodsAndServicesSold\",\"ProfitLoss\",\"GrossProfit\",\"EarningsPerShareBasic\",\n \"CostOfRevenue\",\"CostsAndExpenses\",\"ExpensesOp\",\"MarketableSecuritiesCurrent\",\"ShortTermInvestements\")\n\n\nvar table = kpi.getTable","execution_count":23,"outputs":[{"output_type":"display_data","data":{"method":"display_data","application/vnd.jupyter.widget-view+json":{"version_minor":0,"model_id":"8ef8fa7d-e6f7-4648-bec2-97c4dad6812e","version_major":2}},"metadata":{}}]},{"metadata":{},"cell_type":"markdown","source":"## Impact on Stock Prices\nThe EDGAR filing is done quarterly. However we have stock prices for each trading day. In order to bridge the gap of the reporting frequency we will take the quarterly moving average (which is roughly 62 working days). \n\nWe want to predict if the stock price is going up or down. Therfore we use the OffsetIndicator to move the future to the current date and calculate the percent difference."},{"metadata":{"trusted":true},"cell_type":"code","source":"var series = Context.getStockData(ticker).toTimeSeries\nvar closePrice = new ClosePriceIndicator(series);\n\n// Getting a longer SMA (e.g. over 1 quarter of ticks)\nvar current = new SMAIndicator(closePrice, 62);\nvar future = new OffsetIndicator(current, -62);\nvar forecast = new PercentChangeIndicator(current, future)\n\nTable.create(forecast, future, current)","execution_count":24,"outputs":[{"output_type":"display_data","data":{"method":"display_data","application/vnd.jupyter.widget-view+json":{"version_minor":0,"model_id":"f78d7eed-2e02-4628-96da-60c241c9bc76","version_major":2}},"metadata":{}}]},{"metadata":{"trusted":true},"cell_type":"code","source":"var historicValues = forecast.toHistoricValues\n\ndef classifyChange(value:Double):String = {\n var historicValues = forecast.toHistoricValues\n var result = \"neutral\"\n if (value >= 0.05) {\n result = \"positive\"\n } else if (value <= -0.05) {\n result = \"negative\" \n }\n return result\n}\n\ndef getValue(date:String):Double = {\n return historicValues.getNextValue((date).asInstanceOf[String]).getValue\n}\n\ndef classifyDate(date:Option[Any]): String = {\n val value = getValue(date.get.toString)\n return classifyChange(value)\n}","execution_count":25,"outputs":[{"output_type":"execute_result","execution_count":25,"data":{"text/plain":"historicValues: ch.pschatzmann.stocks.integration.HistoricValues = ch.pschatzmann.stocks.integration.HistoricValues@553675e5\nclassifyChange: (value: Double)String\ngetValue: (date: String)Double\nclassifyDate: (date: Option[Any])String\n"},"metadata":{}}]},{"metadata":{"trusted":true},"cell_type":"code","source":"classifyChange(0)","execution_count":26,"outputs":[{"output_type":"execute_result","execution_count":26,"data":{"text/plain":"neutral"},"metadata":{}}]},{"metadata":{"trusted":true},"cell_type":"code","source":"classifyChange(0.1)","execution_count":27,"outputs":[{"output_type":"execute_result","execution_count":27,"data":{"text/plain":"positive"},"metadata":{}}]},{"metadata":{"trusted":true},"cell_type":"code","source":"classifyChange(0.01)","execution_count":28,"outputs":[{"output_type":"execute_result","execution_count":28,"data":{"text/plain":"neutral"},"metadata":{}}]},{"metadata":{"trusted":true},"cell_type":"code","source":"classifyChange(-0.1)","execution_count":29,"outputs":[{"output_type":"execute_result","execution_count":29,"data":{"text/plain":"negative"},"metadata":{}}]},{"metadata":{"trusted":true},"cell_type":"code","source":"classifyDate(Option(\"2017-04-01\"))","execution_count":30,"outputs":[{"output_type":"execute_result","execution_count":30,"data":{"text/plain":"negative"},"metadata":{}}]},{"metadata":{},"cell_type":"markdown","source":"We have the prices for all dates but we want to keep only the values which are relevant at the quarterly filing date and add them to our KPI data. Unfortunatly we have filings at dates where there is not trading, so we need to take the next available value. This can be done with the getNextValue method.:"},{"metadata":{"trusted":true},"cell_type":"code","source":"import scala.collection.JavaConverters._\n\nvar historicValues = forecast.toHistoricValues\nvar resultList = table.toList.asScala\n .map(map => map.asScala.asInstanceOf[scala.collection.mutable.Map[String,Any]]) \n .map(map => map -= (\"companyName\",\"sicDescription\", \"identifier\"))\n .map(map => map += (\"label\" -> classifyDate(map.get(\"date\"))))\n\ns\"Number of records: ${table.getRowCount} / ${resultList.size}\"\n","execution_count":31,"outputs":[{"output_type":"execute_result","execution_count":31,"data":{"text/plain":"Number of records: 42 / 42"},"metadata":{}}]},{"metadata":{"trusted":true},"cell_type":"code","source":"val table = Table.create(resultList.slice(2,resultList.size-1).map(m => m.asJava).asJava)","execution_count":32,"outputs":[{"output_type":"display_data","data":{"method":"display_data","application/vnd.jupyter.widget-view+json":{"version_minor":0,"model_id":"f078d4aa-2dfb-4f2e-9f5b-1769fe7cfd96","version_major":2}},"metadata":{}}]},{"metadata":{},"cell_type":"markdown","source":"## Machine Learning\nWe will use Spark MLLib for the implementatio of our Machine Learning. First we need to start a spark session."},{"metadata":{"trusted":true},"cell_type":"code","source":"val spark = SparkSession.builder()\n .appName(\"EDGAR KPIs\")\n .master(\"local[*]\")\n .config(\"spark.ui.enabled\", \"false\")\n .getOrCreate()\n","execution_count":33,"outputs":[{"output_type":"execute_result","execution_count":33,"data":{"text/plain":"org.apache.spark.sql.SparkSession@31a9f196"},"metadata":{}}]},{"metadata":{},"cell_type":"markdown","source":"We load the data into Spark: The easiest way is to go via a CSV String..."},{"metadata":{"trusted":true},"cell_type":"code","source":"import spark.implicits._\n\nval csvData: Dataset[String] = spark.sparkContext.parallelize(table.toCSV.stripMargin.lines.toList).toDS()\nval data = spark.read.option(\"header\", true).option(\"inferSchema\",true).csv(csvData)\n\ndata.printSchema()","execution_count":34,"outputs":[{"output_type":"stream","text":"root\n |-- AccountsReceivableTurnoverRatio: double (nullable = true)\n |-- CurrentRatio: double (nullable = true)\n |-- DebtToEquityRatio: double (nullable = true)\n |-- EarningsPerShare: double (nullable = true)\n |-- EarningsPerShareChange: double (nullable = true)\n |-- GrossProfitMargin: double (nullable = true)\n |-- InventoryTurnover: double (nullable = true)\n |-- MarketShareChange: double (nullable = true)\n |-- MarketShareOfYear: double (nullable = true)\n |-- NetIncomeChange: double (nullable = true)\n |-- NetIncomeResearchRatio: double (nullable = true)\n |-- NetIncomeSurprise: double (nullable = true)\n |-- NetProfitMargin: double (nullable = true)\n |-- OperatingCashFlowCapitalRatio: double (nullable = true)\n |-- OperatingExpensesRatio: double (nullable = true)\n |-- OperatingProfitMargin: double (nullable = true)\n |-- QuickRatio: double (nullable = true)\n |-- ResearchAndDevelopmentChange: double (nullable = true)\n |-- ReturnOnAssets: double (nullable = true)\n |-- ReturnonEquity: double (nullable = true)\n |-- RevenueSurprise: double (nullable = true)\n |-- SalesResearchRatio: double (nullable = true)\n |-- SalesRevenueChange: double (nullable = true)\n |-- SalesWorkingCapitalRatio: double (nullable = true)\n |-- date: timestamp (nullable = true)\n |-- incorporation: string (nullable = true)\n |-- label: string (nullable = true)\n |-- location: string (nullable = true)\n |-- tradingSymbol: string (nullable = true)\n\n","name":"stdout"},{"output_type":"execute_result","execution_count":34,"data":{"text/plain":"org.apache.spark.sql.SparkSession$implicits$@170d25b9"},"metadata":{}}]},{"metadata":{},"cell_type":"markdown","source":"All double values of our dataset are valid KPIs that can be used by our machine learning. This logic helps us to exclude the parameters which are not available: FB is not reporting any inventory so there is no InventoryTurnover KPI and the standard Spark import results in a String attribute."},{"metadata":{"trusted":true},"cell_type":"code","source":"val kpis = data.schema.filter(sf => sf.dataType==DoubleType).map(sf => sf.name).toArray","execution_count":35,"outputs":[{"output_type":"execute_result","execution_count":35,"data":{"text/plain":"[AccountsReceivableTurnoverRatio, CurrentRatio, DebtToEquityRatio, EarningsPerShare, EarningsPerShareChange, GrossProfitMargin, InventoryTurnover, MarketShareChange, MarketShareOfYear, NetIncomeChange, NetIncomeResearchRatio, NetIncomeSurprise, NetProfitMargin, OperatingCashFlowCapitalRatio, OperatingExpensesRatio, OperatingProfitMargin, QuickRatio, ResearchAndDevelopmentChange, ReturnOnAssets, ReturnonEquity, RevenueSurprise, SalesResearchRatio, SalesRevenueChange, SalesWorkingCapitalRatio]"},"metadata":{}}]},{"metadata":{},"cell_type":"markdown","source":"We also need to handle the situation that not all KPI values are available: We impute the missing values and split our data into a training and a test set"},{"metadata":{"trusted":true},"cell_type":"code","source":"val imputer = new Imputer()\n .setInputCols(kpis)\n .setOutputCols(kpis)\n\nval imputerModel = imputer.fit(data)\nval dataImputed = imputerModel.transform(data)\n\n// Split the data into training and test sets (30% held out for testing).\nval Array(trainingData, testData) = dataImputed.randomSplit(Array(0.7, 0.3))\n","execution_count":36,"outputs":[{"output_type":"execute_result","execution_count":36,"data":{"text/plain":"[AccountsReceivableTurnoverRatio: double, CurrentRatio: double ... 27 more fields]"},"metadata":{}}]},{"metadata":{},"cell_type":"markdown","source":"## Maschine Learning Pipeline\nWe define the machine learning pipline and train the model. \n- The featured need to be assembled in a vector\n- We define a StringIndexer and IndexToString for the label\n- We use a RandomForestClassifier"},{"metadata":{"trusted":true},"cell_type":"code","source":"val assembler = new VectorAssembler()\n .setInputCols(kpis)\n .setOutputCol(\"features\")\n\n// Index labels, adding metadata to the label column.\n// Fit on whole dataset to include all labels in index.\nval labelIndexer = new StringIndexer()\n .setInputCol(\"label\")\n .setOutputCol(\"indexedLabel\")\n .fit(data)\n\n// Convert indexed labels back to original labels.\nval labelConverter = new IndexToString()\n .setInputCol(\"prediction\")\n .setOutputCol(\"predictedLabel\")\n .setLabels(labelIndexer.labels)\n\n// Train a GBT model.\nval model = new RandomForestClassifier()\n .setLabelCol(\"indexedLabel\")\n .setFeaturesCol(\"features\")\n .setNumTrees(20)\n\n// Chain indexer and GBT in a Pipeline.\nval pipeline = new Pipeline()\n .setStages(Array(labelIndexer,assembler, model, labelConverter))\n\n// Train model. This also runs the indexer.\nval trainedModel = pipeline.fit(trainingData)\n","execution_count":37,"outputs":[{"output_type":"execute_result","execution_count":37,"data":{"text/plain":"pipeline_baf2494ac621"},"metadata":{}}]},{"metadata":{"trusted":true},"cell_type":"code","source":"// We calculate the Accuracy over the training data\nval predictionsTrain = trainedModel.transform(trainingData)\nval evaluator = new MulticlassClassificationEvaluator()\n .setLabelCol(\"indexedLabel\")\n .setPredictionCol(\"prediction\")\n .setMetricName(\"accuracy\")\nval accuracy = evaluator.evaluate(predictionsTrain)\n\ns\"Accuracy on training data = $accuracy\"\n","execution_count":38,"outputs":[{"output_type":"execute_result","execution_count":38,"data":{"text/plain":"Accuracy on training data = 1.0"},"metadata":{}}]},{"metadata":{},"cell_type":"markdown","source":"## Evaluate the Model\nWe evaluate the model by calculating the Accuracy for the test data"},{"metadata":{"trusted":true},"cell_type":"code","source":"// Make predictions.\nval predictions = trainedModel.transform(testData)\n\n// Select example rows to display.\npredictions.select(\"predictedLabel\", \"label\").show()\n\n// Select (prediction, true label) and compute test error.\nval evaluator = new MulticlassClassificationEvaluator()\n .setLabelCol(\"indexedLabel\")\n .setPredictionCol(\"prediction\")\n .setMetricName(\"accuracy\")\nval accuracy = evaluator.evaluate(predictions)\n\ns\"Accuracy for test data = $accuracy\"\n","execution_count":39,"outputs":[{"output_type":"stream","text":"+--------------+--------+\n|predictedLabel| label|\n+--------------+--------+\n| negative|negative|\n| neutral|negative|\n| neutral| neutral|\n| negative|positive|\n| negative|negative|\n| negative|negative|\n| negative| neutral|\n| negative|negative|\n| negative|positive|\n| negative|negative|\n| negative|negative|\n+--------------+--------+\n\n","name":"stdout"},{"output_type":"execute_result","execution_count":39,"data":{"text/plain":"Accuracy for test data = 0.6363636363636364"},"metadata":{}}]},{"metadata":{},"cell_type":"markdown","source":"It seems that the amout of data from one company is not sufficient to give a stable reliable result and the accuracy dependes very much on the splitting of the dataset into training and test data. \n\nIn the next blog I will extend the logic to use many ticker symbols...."},{"metadata":{"trusted":true},"cell_type":"code","source":"","execution_count":null,"outputs":[]}],"metadata":{"kernelspec":{"name":"scala","display_name":"Scala","language":"scala"},"language_info":{"nbconverter_exporter":"","codemirror_mode":"text/x-scala","name":"Scala","mimetype":"","file_extension":".scala","version":"2.11.12"},"toc":{"nav_menu":{},"number_sections":false,"sideBar":false,"skip_h1_title":false,"base_numbering":1,"title_cell":"Table of 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