update configs

configs/evaluations/informer-btcusdt-15m-gmadl2.yaml

@@ -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

configs/evaluations/informer-btcusdt-30m-gmadl2.yaml

@@ -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

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"

configs/experiments/informer-btcusdt-15m-gmadl2.yaml

@@ -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"

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"

configs/experiments/informer-btcusdt-30m-gmadl2.yaml

@@ -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"

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"

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"

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"

configs/sweeps/temporal-fusion-btcusdt-gmadl.yaml

@@ -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"

configs/sweeps/temporal-fusion-btcusdt-quantile.yaml

@@ -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"]