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Update the configs for experiments

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This commit is contained in:
Filip Stefaniuk 2024-10-16 20:40:40 +02:00
parent 4bc2dbf401
commit 7e8c5e7f13
6 changed files with 0 additions and 308 deletions
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19
configs/experiments/informer-btcusdt-15m-gmadl.yaml
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@ -22,31 +22,12 @@ 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
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@ -22,31 +22,12 @@ 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"

69
configs/experiments/informer-btcusdt-5m-quantile-returns.yaml
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@ -1,69 +0,0 @@
future_window:
value: 2
past_window:
value: 22
batch_size:
value: 64
max_epochs:
value: 50
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: [0.1, 0.3, 0.35, 0.4, 0.5, 0.6, 0.65, 0.7, 0.9]
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"

68
configs/experiments/informer-btcusdt-quantile.yaml
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@ -1,68 +0,0 @@
future_window:
value: 5
past_window:
value: 48
batch_size:
value: 64
max_epochs:
value: 1
data:
value:
dataset: "btc-usdt-5m:latest"
sliding_window: 4
validation: 0.2
fields:
time_index: "time_index"
target: "close_price"
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, 0.1, 0.5, 0.9, 0.98]
model:
value:
name: "Informer"
d_model: 256
d_fully_connected: 512
n_attention_heads: 2
dropout: 0.1
n_encoder_layers: 2
n_decoder_layers: 1
learning_rate: 0.001
optimizer: "Adam"

67
configs/experiments/temporal-fusion-btcusdt-gmadl.yaml
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@ -1,67 +0,0 @@
future_window:
value: 1
past_window:
value: 24
batch_size:
value: 64
max_epochs:
value: 30
data:
value:
dataset: "btc-usdt-5m:latest"
sliding_window: 4
validation: 0.2
fields:
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: []
dynamic_known_cat:
- "hour"
static_real:
- "effective_rates"
- "vix_close_price"
- "fear_greed_index"
- "vol_1d"
- "vol_7d"
static_cat:
- "weekday"
loss:
value:
name: "GMADL"
a: 1000
b: 2
model:
value:
name: "TemporalFusionTransformer"
hidden_size: 64
dropout: 0.1
attention_head_size: 2
hidden_continuous_size: 8
learning_rate: 0.001
optimizer: "Adam"

66
configs/experiments/temporal-fusion-btcusdt-quantile.yaml
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@ -1,66 +0,0 @@
future_window:
value: 1
past_window:
value: 24
batch_size:
value: 64
max_epochs:
value: 30
data:
value:
dataset: "btc-usdt-5m:latest"
sliding_window: 4
validation: 0.2
fields:
time_index: "time_index"
target: "close_price"
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: []
dynamic_known_cat:
- "hour"
static_real:
- "effective_rates"
- "vix_close_price"
- "fear_greed_index"
- "vol_1d"
- "vol_7d"
static_cat:
- "weekday"
loss:
value:
name: "Quantile"
quantiles: [0.02, 0.1, 0.5, 0.9, 0.98]
model:
value:
name: "TemporalFusionTransformer"
hidden_size: 64
dropout: 0.1
attention_head_size: 2
hidden_continuous_size: 8
learning_rate: 0.001
optimizer: "Adam"