diff --git a/configs/evaluations/informer-btcusdt-1m-gmadl.yaml b/configs/evaluations/informer-btcusdt-1m-gmadl.yaml new file mode 100644 index 0000000..b87ae23 --- /dev/null +++ b/configs/evaluations/informer-btcusdt-1m-gmadl.yaml @@ -0,0 +1,25 @@ +program: ./scripts/train.py +name: informer-btcusdt-1m-gmadl-eval +project: wne-masters-thesis-testing +command: + - ${env} + - ${interpreter} + - ${program} + - "./configs/experiments/informer-btcusdt-1m-gmadl.yaml" + - "--patience" + - "20" + - "--store-predictions" +method: grid +metric: + goal: minimize + name: val_loss +parameters: + data: + parameters: + dataset: + value: "btc-usdt-1m:latest" + validation: + value: 0.2 + sliding_window: + min: 0 + max: 5 diff --git a/configs/experiments/informer-btcusdt-1m-gmadl.yaml b/configs/experiments/informer-btcusdt-1m-gmadl.yaml new file mode 100644 index 0000000..eae1c5c --- /dev/null +++ b/configs/experiments/informer-btcusdt-1m-gmadl.yaml @@ -0,0 +1,70 @@ +future_window: + value: 2 +past_window: + value: 28 +batch_size: + value: 256 +max_epochs: + value: 40 +data: + value: + dataset: "btc-usdt-1m:latest" + sliding_window: 0 + validation: 0.2 +fields: + value: + time_index: "time_index" + target: "returns" + group_ids: ["group_id"] + dynamic_unknown_real: + - "high_price" + - "low_price" + - "open_price" + - "close_price" + - "volume" + - "open_to_close_price" + - "high_to_close_price" + - "low_to_close_price" + - "high_to_low_price" + - "returns" + - "log_returns" + - "vol_1h" + - "macd" + - "macd_signal" + - "rsi" + - "low_bband_to_close_price" + - "up_bband_to_close_price" + - "mid_bband_to_close_price" + - "sma_1h_to_close_price" + - "sma_1d_to_close_price" + - "sma_7d_to_close_price" + - "ema_1h_to_close_price" + - "ema_1d_to_close_price" + dynamic_unknown_cat: [] + dynamic_known_real: + - "effective_rates" + - "vix_close_price" + - "fear_greed_index" + - "vol_1d" + - "vol_7d" + dynamic_known_cat: + - "hour" + - "weekday" + static_real: [] + static_cat: [] +loss: + value: + name: "GMADL" + a: 1000 + b: 2 +model: + value: + name: "Informer" + d_model: 256 + d_fully_connected: 256 + n_attention_heads: 2 + dropout: 0.01 + n_encoder_layers: 1 + n_decoder_layers: 3 + learning_rate: 0.0001 + optimizer: "Adam"