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README.md
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README.md
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# WNE Masters Thesis
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# WNE Masters Thesis
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The repository contains the implementation of evaluation framework and strategies for master's thesis: "Informer In Algorithmic Investment
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Strategies on High Frequency Bitcoin Data"
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The implementation uses [PytorchForecasting](https://pytorch-forecasting.readthedocs.io/en/stable/) framework, and the Informer implementation is taken from the following [Github repository](https://github.com/martinwhl/Informer-PyTorch-Lightning). Experiment management is done using [Weights&Biases](https://wandb.ai/site).
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## Repository structure
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Thre repository is organized in the following way:
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- `src/ml`: contains the code that implements utilities for training the machine learning models.
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- `src/informer`: contains the implementation of the Informer.
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- `src/strategy`: contains the implementation of the strategies, as well as the methods for efficient evaluation and hyperparameter serach.
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- `notebooks/`: contains the evaluations of various srategies and methods for generating the visualistions used in the publication.
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- `scripts/`: contains the main training script.
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- `configs/`: contains configurations for different experiments of ml models, that can be passed to the main training script.
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## Installation
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Install package with the following command:
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```
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pip install -e .
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```
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## Training
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Usage of the training script:
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```
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usage: train.py [-h] [-p PROJECT] [-l LOG_LEVEL] [-s SEED] [-n LOG_INTERVAL] [-v VAL_CHECK_INTERVAL] [-t PATIENCE] [--no-wandb] [--store-predictions] config
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positional arguments:
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config Experiment configuration file in yaml format.
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optional arguments:
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-h, --help show this help message and exit
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-p PROJECT, --project PROJECT
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W&B project name. (default: wne-masters-thesis-testing)
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-l LOG_LEVEL, --log-level LOG_LEVEL
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Sets the log level. (default: 20)
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-s SEED, --seed SEED Random seed for the training. (default: 42)
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-n LOG_INTERVAL, --log-interval LOG_INTERVAL
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Log every n steps. (default: 100)
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-v VAL_CHECK_INTERVAL, --val-check-interval VAL_CHECK_INTERVAL
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Run validation every n batches. (default: 300)
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-t PATIENCE, --patience PATIENCE
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Patience for early stopping. (default: 5)
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--no-wandb Disables wandb, for testing. (default: False)
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--store-predictions Whether to store predictions of the best run. (default: False)
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```
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