diff --git a/configs/experiments/informer-btcusdt-5m-quantile-returns.yaml b/configs/experiments/informer-btcusdt-5m-quantile-returns.yaml new file mode 100644 index 0000000..f2e15dd --- /dev/null +++ b/configs/experiments/informer-btcusdt-5m-quantile-returns.yaml @@ -0,0 +1,69 @@ +future_window: + value: 2 +past_window: + value: 22 +batch_size: + value: 64 +max_epochs: + value: 30 +data: + value: + dataset: "btc-usdt-5m: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: "Quantile" + quantiles: [0.02, 0.05, 0.1, 0.25, 0.4, 0.5, 0.6, 0.75, 0.9, 0.95, 0.98] +model: + value: + name: "Informer" + d_model: 256 + d_fully_connected: 512 + n_attention_heads: 2 + dropout: 0.05 + n_encoder_layers: 1 + n_decoder_layers: 1 + learning_rate: 0.0001 + optimizer: "Adam"