From 6360d76d11712e882c6b8c6f40b86e6e9486ea83 Mon Sep 17 00:00:00 2001 From: Filip Stefaniuk Date: Sat, 2 Nov 2024 15:11:45 +0100 Subject: [PATCH] update configs --- .../informer-btcusdt-15m-gmadl2.yaml | 25 ------- .../informer-btcusdt-30m-gmadl2.yaml | 27 ------- .../informer-btcusdt-15m-gmadl.yaml | 19 +++++ .../informer-btcusdt-15m-gmadl2.yaml | 70 ------------------- .../informer-btcusdt-15m-quantile.yaml | 19 +++++ .../informer-btcusdt-30m-gmadl2.yaml | 70 ------------------- .../informer-btcusdt-30m-quantile.yaml | 19 +++++ .../informer-btcusdt-5m-gmadl.yaml | 19 +++++ .../informer-btcusdt-5m-quantile.yaml | 19 +++++ .../sweeps/temporal-fusion-btcusdt-gmadl.yaml | 38 ---------- .../temporal-fusion-btcusdt-quantile.yaml | 36 ---------- 11 files changed, 95 insertions(+), 266 deletions(-) delete mode 100644 configs/evaluations/informer-btcusdt-15m-gmadl2.yaml delete mode 100644 configs/evaluations/informer-btcusdt-30m-gmadl2.yaml delete mode 100644 configs/experiments/informer-btcusdt-15m-gmadl2.yaml delete mode 100644 configs/experiments/informer-btcusdt-30m-gmadl2.yaml delete mode 100644 configs/sweeps/temporal-fusion-btcusdt-gmadl.yaml delete mode 100644 configs/sweeps/temporal-fusion-btcusdt-quantile.yaml diff --git a/configs/evaluations/informer-btcusdt-15m-gmadl2.yaml b/configs/evaluations/informer-btcusdt-15m-gmadl2.yaml deleted file mode 100644 index 1ddf597..0000000 --- a/configs/evaluations/informer-btcusdt-15m-gmadl2.yaml +++ /dev/null @@ -1,25 +0,0 @@ -program: ./scripts/train.py -name: informer-btcusdt-15m-gmadl-eval -project: wne-masters-thesis-testing -command: - - ${env} - - ${interpreter} - - ${program} - - "./configs/experiments/informer-btcusdt-15m-gmadl2.yaml" - - "--patience" - - "20" - - "--store-predictions" -method: grid -metric: - goal: minimize - name: val_loss -parameters: - data: - parameters: - dataset: - value: "btc-usdt-15m:latest" - validation: - value: 0.2 - sliding_window: - min: 0 - max: 5 diff --git a/configs/evaluations/informer-btcusdt-30m-gmadl2.yaml b/configs/evaluations/informer-btcusdt-30m-gmadl2.yaml deleted file mode 100644 index c81c384..0000000 --- a/configs/evaluations/informer-btcusdt-30m-gmadl2.yaml +++ /dev/null @@ -1,27 +0,0 @@ -program: ./scripts/train.py -name: informer-btcusdt-30m-gmadl-eval -project: wne-masters-thesis-testing -command: - - ${env} - - ${interpreter} - - ${program} - - "./configs/experiments/informer-btcusdt-30m-gmadl2.yaml" - - "--patience" - - "20" - - "--store-predictions" - - "--val-check-interval" - - "100" -method: grid -metric: - goal: minimize - name: val_loss -parameters: - data: - parameters: - dataset: - value: "btc-usdt-30m:latest" - validation: - value: 0.2 - sliding_window: - min: 0 - max: 5 diff --git a/configs/experiments/informer-btcusdt-15m-gmadl.yaml b/configs/experiments/informer-btcusdt-15m-gmadl.yaml index b2aed19..dcf5997 100644 --- a/configs/experiments/informer-btcusdt-15m-gmadl.yaml +++ b/configs/experiments/informer-btcusdt-15m-gmadl.yaml @@ -22,12 +22,31 @@ fields: - "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" diff --git a/configs/experiments/informer-btcusdt-15m-gmadl2.yaml b/configs/experiments/informer-btcusdt-15m-gmadl2.yaml deleted file mode 100644 index c7926eb..0000000 --- a/configs/experiments/informer-btcusdt-15m-gmadl2.yaml +++ /dev/null @@ -1,70 +0,0 @@ -future_window: - value: 2 -past_window: - value: 30 -batch_size: - value: 128 -max_epochs: - value: 40 -data: - value: - dataset: "btc-usdt-15m: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: 0.1 - n_encoder_layers: 2 - n_decoder_layers: 1 - learning_rate: 0.0001 - optimizer: "Adam" diff --git a/configs/experiments/informer-btcusdt-15m-quantile.yaml b/configs/experiments/informer-btcusdt-15m-quantile.yaml index 80b4131..3b550f9 100644 --- a/configs/experiments/informer-btcusdt-15m-quantile.yaml +++ b/configs/experiments/informer-btcusdt-15m-quantile.yaml @@ -22,12 +22,31 @@ fields: - "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" diff --git a/configs/experiments/informer-btcusdt-30m-gmadl2.yaml b/configs/experiments/informer-btcusdt-30m-gmadl2.yaml deleted file mode 100644 index e81bff0..0000000 --- a/configs/experiments/informer-btcusdt-30m-gmadl2.yaml +++ /dev/null @@ -1,70 +0,0 @@ -future_window: - value: 2 -past_window: - value: 26 -batch_size: - value: 128 -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: 4 - dropout: 0.1 - n_encoder_layers: 2 - n_decoder_layers: 1 - learning_rate: 0.001 - optimizer: "Adam" diff --git a/configs/experiments/informer-btcusdt-30m-quantile.yaml b/configs/experiments/informer-btcusdt-30m-quantile.yaml index e71cfac..c1a6896 100644 --- a/configs/experiments/informer-btcusdt-30m-quantile.yaml +++ b/configs/experiments/informer-btcusdt-30m-quantile.yaml @@ -22,12 +22,31 @@ fields: - "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" diff --git a/configs/experiments/informer-btcusdt-5m-gmadl.yaml b/configs/experiments/informer-btcusdt-5m-gmadl.yaml index 5c71243..7f15d5d 100644 --- a/configs/experiments/informer-btcusdt-5m-gmadl.yaml +++ b/configs/experiments/informer-btcusdt-5m-gmadl.yaml @@ -22,12 +22,31 @@ fields: - "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" diff --git a/configs/experiments/informer-btcusdt-5m-quantile.yaml b/configs/experiments/informer-btcusdt-5m-quantile.yaml index ccad344..03cf019 100644 --- a/configs/experiments/informer-btcusdt-5m-quantile.yaml +++ b/configs/experiments/informer-btcusdt-5m-quantile.yaml @@ -22,12 +22,31 @@ fields: - "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" diff --git a/configs/sweeps/temporal-fusion-btcusdt-gmadl.yaml b/configs/sweeps/temporal-fusion-btcusdt-gmadl.yaml deleted file mode 100644 index c7d308e..0000000 --- a/configs/sweeps/temporal-fusion-btcusdt-gmadl.yaml +++ /dev/null @@ -1,38 +0,0 @@ -program: ./scripts/train.py -project: wne-masters-thesis-testing -command: - - ${env} - - ${interpreter} - - ${program} - - "./configs/experiments/temporal-fusion-btcusdt-gmadl.yaml" - - "--patience" - - "10" -method: random -metric: - goal: minimize - name: val_loss -parameters: - past_window: - distribution: int_uniform - min: 20 - max: 100 - batch_size: - values: [64, 128, 256] - model: - parameters: - name: - value: "TemporalFusionTransformer" - share_single_variable_networks: - value: false - hidden_size: - values: [128, 256, 512, 1024] - dropout: - values: [0.0, 0.1, 0.2, 0.3] - attention_head_size: - values: [1, 2, 4, 6] - hidden_continuous_size: - values: [4, 8, 16, 32] - learning_rate: - value: 0.001 - optimizer: - value: "Adam" \ No newline at end of file diff --git a/configs/sweeps/temporal-fusion-btcusdt-quantile.yaml b/configs/sweeps/temporal-fusion-btcusdt-quantile.yaml deleted file mode 100644 index 30c8745..0000000 --- a/configs/sweeps/temporal-fusion-btcusdt-quantile.yaml +++ /dev/null @@ -1,36 +0,0 @@ -program: ./scripts/train.py -project: wne-masters-thesis-testing -command: - - ${env} - - ${interpreter} - - ${program} - - "./configs/experiments/temporal-fusion-btcusdt-quantile.yaml" -method: random -metric: - goal: minimize - name: val_loss -parameters: - past_window: - distribution: int_uniform - min: 5 - max: 100 - batch_size: - values: [64, 128, 256] - model: - parameters: - name: - value: "TemporalFusionTransformer" - share_single_variable_networks: - value: false - hidden_size: - values: [128, 256, 512, 1024] - dropout: - values: [0.0, 0.1, 0.2, 0.3, 0.4] - attention_head_size: - values: [1, 2, 4, 6] - hidden_continuous_size: - values: [4, 8, 16, 32] - learning_rate: - values: [0.01, 0.001, 0.0005, 0.0001] - optimizer: - values: ["Adam", "RMSProp", "Adagrad"] \ No newline at end of file