diff --git a/configs/experiments/informer-btcusdt-15m-gmadl.yaml b/configs/experiments/informer-btcusdt-15m-gmadl.yaml index dcf5997..b2aed19 100644 --- a/configs/experiments/informer-btcusdt-15m-gmadl.yaml +++ b/configs/experiments/informer-btcusdt-15m-gmadl.yaml @@ -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" diff --git a/configs/experiments/informer-btcusdt-5m-gmadl.yaml b/configs/experiments/informer-btcusdt-5m-gmadl.yaml index 7f15d5d..5c71243 100644 --- a/configs/experiments/informer-btcusdt-5m-gmadl.yaml +++ b/configs/experiments/informer-btcusdt-5m-gmadl.yaml @@ -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" diff --git a/configs/experiments/informer-btcusdt-5m-quantile-returns.yaml b/configs/experiments/informer-btcusdt-5m-quantile-returns.yaml deleted file mode 100644 index 0a42e1d..0000000 --- a/configs/experiments/informer-btcusdt-5m-quantile-returns.yaml +++ /dev/null @@ -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" diff --git a/configs/experiments/informer-btcusdt-quantile.yaml b/configs/experiments/informer-btcusdt-quantile.yaml deleted file mode 100644 index 278d2b7..0000000 --- a/configs/experiments/informer-btcusdt-quantile.yaml +++ /dev/null @@ -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" diff --git a/configs/experiments/temporal-fusion-btcusdt-gmadl.yaml b/configs/experiments/temporal-fusion-btcusdt-gmadl.yaml deleted file mode 100644 index 11148ba..0000000 --- a/configs/experiments/temporal-fusion-btcusdt-gmadl.yaml +++ /dev/null @@ -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" diff --git a/configs/experiments/temporal-fusion-btcusdt-quantile.yaml b/configs/experiments/temporal-fusion-btcusdt-quantile.yaml deleted file mode 100644 index 900b570..0000000 --- a/configs/experiments/temporal-fusion-btcusdt-quantile.yaml +++ /dev/null @@ -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"