yasha/informer_model
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

update configs

Browse Source
This commit is contained in:
Filip Stefaniuk 2024-11-02 15:11:45 +01:00
parent fb731be598
commit 6360d76d11
11 changed files with 95 additions and 266 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

25
configs/evaluations/informer-btcusdt-15m-gmadl2.yaml
View File

@ -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

27
configs/evaluations/informer-btcusdt-30m-gmadl2.yaml
View File

@ -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

19
configs/experiments/informer-btcusdt-15m-gmadl.yaml
View File

@ -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"

70
configs/experiments/informer-btcusdt-15m-gmadl2.yaml
View File

@ -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"

19
configs/experiments/informer-btcusdt-15m-quantile.yaml
View File

@ -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"

70
configs/experiments/informer-btcusdt-30m-gmadl2.yaml
View File

@ -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"

19
configs/experiments/informer-btcusdt-30m-quantile.yaml
View File

@ -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"

19
configs/experiments/informer-btcusdt-5m-gmadl.yaml
View File

@ -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"

19
configs/experiments/informer-btcusdt-5m-quantile.yaml
View File

@ -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"

38
configs/sweeps/temporal-fusion-btcusdt-gmadl.yaml
View File

@ -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"

36
configs/sweeps/temporal-fusion-btcusdt-quantile.yaml
View File

@ -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"]