Predict next day open price for USD by previous 5 days

predict.py

import pandas_datareader.data as web
import matplotlib.pyplot as plt
from sklearn.linear_model import LinearRegression
import numpy as np
import datetime

start = datetime.datetime(2010, 1, 1)
end = datetime.datetime(2015, 3, 8)
usd = web.DataReader("USD", 'google', start, end)

usd = usd.dropna()

l, s = usd.shape
n = 5

data = np.zeros((l-n, (s * (n-1) + 1)))
for i in xrange(0, l-n):
    data[i] = usd.values[i:i+5, :].flatten()[:-4]

train = data[:l-20, :]
test = data[l-20:, :]

X_train = train[:, :-1]
y_train = train[:, -1]

X_test = test[:, :-1]
y_test = test[:, -1]

slope = np.linalg.lstsq(X_train, y_train)[0]
print "slope:\n", slope
y_pred = np.dot(X_test, slope)

plt.plot(y_test)
plt.plot(y_pred)
plt.show()

Example output