From 5d816cc1ff454d8f42744c36fca821e65d3799f8 Mon Sep 17 00:00:00 2001 From: Filip Stefaniuk Date: Thu, 19 Sep 2024 19:14:49 +0200 Subject: [PATCH] add all new configs --- .../informer-btcusdt-15m-gmadl.yaml | 1 + .../informer-btcusdt-15m-quantile.yaml | 1 + .../informer-btcusdt-30m-gmadl.yaml | 1 + .../informer-btcusdt-30m-quantile.yaml | 1 + .../informer-btcusdt-5m-gmadl.yaml | 1 + .../informer-btcusdt-5m-quantile.yaml | 1 + .../informer-btcusdt-30m-gmadl.yaml | 70 +++++++++++++++++++ .../sweeps/informer-btcusdt-15m-quantile.yaml | 41 +++++++++++ .../sweeps/informer-btcusdt-30m-gmadl.yaml | 41 +++++++++++ .../sweeps/informer-btcusdt-30m-quantile.yaml | 41 +++++++++++ .../sweeps/informer-btcusdt-5m-quantile.yaml | 1 + 11 files changed, 200 insertions(+) create mode 100644 configs/experiments/informer-btcusdt-30m-gmadl.yaml create mode 100644 configs/sweeps/informer-btcusdt-15m-quantile.yaml create mode 100644 configs/sweeps/informer-btcusdt-30m-gmadl.yaml create mode 100644 configs/sweeps/informer-btcusdt-30m-quantile.yaml diff --git a/configs/evaluations/informer-btcusdt-15m-gmadl.yaml b/configs/evaluations/informer-btcusdt-15m-gmadl.yaml index 02ff876..54f5dbd 100644 --- a/configs/evaluations/informer-btcusdt-15m-gmadl.yaml +++ b/configs/evaluations/informer-btcusdt-15m-gmadl.yaml @@ -1,4 +1,5 @@ program: ./scripts/train.py +name: informer-btcusdt-15m-gmadl-eval project: wne-masters-thesis-testing command: - ${env} diff --git a/configs/evaluations/informer-btcusdt-15m-quantile.yaml b/configs/evaluations/informer-btcusdt-15m-quantile.yaml index 1b3971d..00edba8 100644 --- a/configs/evaluations/informer-btcusdt-15m-quantile.yaml +++ b/configs/evaluations/informer-btcusdt-15m-quantile.yaml @@ -1,4 +1,5 @@ program: ./scripts/train.py +name: informer-btcusdt-15m-quantile-eval project: wne-masters-thesis-testing command: - ${env} diff --git a/configs/evaluations/informer-btcusdt-30m-gmadl.yaml b/configs/evaluations/informer-btcusdt-30m-gmadl.yaml index 7b117cc..ef05c92 100644 --- a/configs/evaluations/informer-btcusdt-30m-gmadl.yaml +++ b/configs/evaluations/informer-btcusdt-30m-gmadl.yaml @@ -1,4 +1,5 @@ program: ./scripts/train.py +name: informer-btcusdt-30m-gmadl-eval project: wne-masters-thesis-testing command: - ${env} diff --git a/configs/evaluations/informer-btcusdt-30m-quantile.yaml b/configs/evaluations/informer-btcusdt-30m-quantile.yaml index 6e903ad..8149e00 100644 --- a/configs/evaluations/informer-btcusdt-30m-quantile.yaml +++ b/configs/evaluations/informer-btcusdt-30m-quantile.yaml @@ -1,4 +1,5 @@ program: ./scripts/train.py +name: informer-btcusdt-30m-quantile-eval project: wne-masters-thesis-testing command: - ${env} diff --git a/configs/evaluations/informer-btcusdt-5m-gmadl.yaml b/configs/evaluations/informer-btcusdt-5m-gmadl.yaml index 541cb72..9a6088a 100644 --- a/configs/evaluations/informer-btcusdt-5m-gmadl.yaml +++ b/configs/evaluations/informer-btcusdt-5m-gmadl.yaml @@ -1,4 +1,5 @@ program: ./scripts/train.py +name: informer-btcusdt-5m-gmadl-eval project: wne-masters-thesis-testing command: - ${env} diff --git a/configs/evaluations/informer-btcusdt-5m-quantile.yaml b/configs/evaluations/informer-btcusdt-5m-quantile.yaml index a0d2dd0..a9185bc 100644 --- a/configs/evaluations/informer-btcusdt-5m-quantile.yaml +++ b/configs/evaluations/informer-btcusdt-5m-quantile.yaml @@ -1,4 +1,5 @@ program: ./scripts/train.py +name: informer-btcusdt-5m-quantile-eval project: wne-masters-thesis-testing command: - ${env} diff --git a/configs/experiments/informer-btcusdt-30m-gmadl.yaml b/configs/experiments/informer-btcusdt-30m-gmadl.yaml new file mode 100644 index 0000000..a299927 --- /dev/null +++ b/configs/experiments/informer-btcusdt-30m-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-30m: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: 0.05 + n_encoder_layers: 1 + n_decoder_layers: 1 + learning_rate: 0.0001 + optimizer: "Adam" diff --git a/configs/sweeps/informer-btcusdt-15m-quantile.yaml b/configs/sweeps/informer-btcusdt-15m-quantile.yaml new file mode 100644 index 0000000..6022bbe --- /dev/null +++ b/configs/sweeps/informer-btcusdt-15m-quantile.yaml @@ -0,0 +1,41 @@ +program: ./scripts/train.py +name: informer-btcusdt-15m-quantile-sweep +project: wne-masters-thesis-testing +command: + - ${env} + - ${interpreter} + - ${program} + - "./configs/experiments/informer-btcusdt-15m-quantile.yaml" + - "--patience" + - "15" +method: random +metric: + goal: minimize + name: val_loss +parameters: + past_window: + distribution: int_uniform + min: 20 + max: 120 + batch_size: + values: [64, 128, 256] + model: + parameters: + name: + value: "Informer" + d_model: + values: [256, 512, 1024] + d_fully_connected: + values: [256, 512, 1024] + n_attention_heads: + values: [1, 2, 4, 6] + dropout: + values: [0.05, 0.1, 0.2, 0.3] + n_encoder_layers: + values: [1, 2, 3] + n_decoder_layers: + values: [1, 2, 3] + learning_rate: + values: [0.001, 0.0005, 0.0001] + optimizer: + value: "Adam" \ No newline at end of file diff --git a/configs/sweeps/informer-btcusdt-30m-gmadl.yaml b/configs/sweeps/informer-btcusdt-30m-gmadl.yaml new file mode 100644 index 0000000..810e799 --- /dev/null +++ b/configs/sweeps/informer-btcusdt-30m-gmadl.yaml @@ -0,0 +1,41 @@ +program: ./scripts/train.py +name: informer-btcusdt-30m-gmadl-sweep +project: wne-masters-thesis-testing +command: + - ${env} + - ${interpreter} + - ${program} + - "./configs/experiments/informer-btcusdt-30m-gmadl.yaml" + - "--patience" + - "15" +method: random +metric: + goal: minimize + name: val_loss +parameters: + past_window: + distribution: int_uniform + min: 20 + max: 120 + batch_size: + values: [64, 128, 256] + model: + parameters: + name: + value: "Informer" + d_model: + values: [256, 512, 1024] + d_fully_connected: + values: [256, 512, 1024] + n_attention_heads: + values: [1, 2, 4, 6] + dropout: + values: [0.05, 0.1, 0.2, 0.3] + n_encoder_layers: + values: [1, 2, 3] + n_decoder_layers: + values: [1, 2, 3] + learning_rate: + values: [0.001, 0.0005, 0.0001] + optimizer: + value: "Adam" \ No newline at end of file diff --git a/configs/sweeps/informer-btcusdt-30m-quantile.yaml b/configs/sweeps/informer-btcusdt-30m-quantile.yaml new file mode 100644 index 0000000..959f8c4 --- /dev/null +++ b/configs/sweeps/informer-btcusdt-30m-quantile.yaml @@ -0,0 +1,41 @@ +program: ./scripts/train.py +name: informer-btcusdt-30m-quantile-sweep +project: wne-masters-thesis-testing +command: + - ${env} + - ${interpreter} + - ${program} + - "./configs/experiments/informer-btcusdt-30m-quantile.yaml" + - "--patience" + - "15" +method: random +metric: + goal: minimize + name: val_loss +parameters: + past_window: + distribution: int_uniform + min: 20 + max: 120 + batch_size: + values: [64, 128, 256] + model: + parameters: + name: + value: "Informer" + d_model: + values: [256, 512, 1024] + d_fully_connected: + values: [256, 512, 1024] + n_attention_heads: + values: [1, 2, 4, 6] + dropout: + values: [0.05, 0.1, 0.2, 0.3] + n_encoder_layers: + values: [1, 2, 3] + n_decoder_layers: + values: [1, 2, 3] + learning_rate: + values: [0.001, 0.0005, 0.0001] + optimizer: + value: "Adam" \ No newline at end of file diff --git a/configs/sweeps/informer-btcusdt-5m-quantile.yaml b/configs/sweeps/informer-btcusdt-5m-quantile.yaml index 19f04bb..4b54f00 100644 --- a/configs/sweeps/informer-btcusdt-5m-quantile.yaml +++ b/configs/sweeps/informer-btcusdt-5m-quantile.yaml @@ -1,4 +1,5 @@ program: ./scripts/train.py +name: informer-btcusdt-5m-quantile-sweep project: wne-masters-thesis-testing command: - ${env}