From a00f9caaf712b9d6ad03f7eabbc239e84226f800 Mon Sep 17 00:00:00 2001 From: Filip Stefaniuk Date: Sat, 14 Sep 2024 20:30:44 +0200 Subject: [PATCH] add config --- .../informer-btcusdt-15m-quantile.yaml | 24 +++++++ .../informer-btcusdt-30m-quantile.yaml | 24 +++++++ .../informer-btcusdt-15m-quantile.yaml | 69 +++++++++++++++++++ .../informer-btcusdt-30m-quantile.yaml | 69 +++++++++++++++++++ .../sweeps/informer-btcusdt-5m-quantile.yaml | 40 +++++++++++ 5 files changed, 226 insertions(+) create mode 100644 configs/evaluations/informer-btcusdt-15m-quantile.yaml create mode 100644 configs/evaluations/informer-btcusdt-30m-quantile.yaml create mode 100644 configs/experiments/informer-btcusdt-15m-quantile.yaml create mode 100644 configs/experiments/informer-btcusdt-30m-quantile.yaml create mode 100644 configs/sweeps/informer-btcusdt-5m-quantile.yaml diff --git a/configs/evaluations/informer-btcusdt-15m-quantile.yaml b/configs/evaluations/informer-btcusdt-15m-quantile.yaml new file mode 100644 index 0000000..3bfc0e7 --- /dev/null +++ b/configs/evaluations/informer-btcusdt-15m-quantile.yaml @@ -0,0 +1,24 @@ +program: ./scripts/train.py +project: wne-masters-thesis-testing +command: + - ${env} + - ${interpreter} + - ${program} + - "./configs/experiments/informer-btcusdt-15m-quantile.yaml" + - "--patience" + - "10" + - "--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 diff --git a/configs/evaluations/informer-btcusdt-30m-quantile.yaml b/configs/evaluations/informer-btcusdt-30m-quantile.yaml new file mode 100644 index 0000000..354da08 --- /dev/null +++ b/configs/evaluations/informer-btcusdt-30m-quantile.yaml @@ -0,0 +1,24 @@ +program: ./scripts/train.py +project: wne-masters-thesis-testing +command: + - ${env} + - ${interpreter} + - ${program} + - "./configs/experiments/informer-btcusdt-30m-quantile.yaml" + - "--patience" + - "10" + - "--store-predictions" +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 diff --git a/configs/experiments/informer-btcusdt-15m-quantile.yaml b/configs/experiments/informer-btcusdt-15m-quantile.yaml new file mode 100644 index 0000000..c3ed4b5 --- /dev/null +++ b/configs/experiments/informer-btcusdt-15m-quantile.yaml @@ -0,0 +1,69 @@ +future_window: + value: 5 +past_window: + value: 48 +batch_size: + value: 64 +max_epochs: + value: 30 +data: + value: + dataset: "btc-usdt-15m:latest" + sliding_window: 0 + validation: 0.2 +fields: + value: + 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, 0.05, 0.1, 0.25, 0.5, 0.75, 0.9, 0.95, 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/informer-btcusdt-30m-quantile.yaml b/configs/experiments/informer-btcusdt-30m-quantile.yaml new file mode 100644 index 0000000..9a0d8f8 --- /dev/null +++ b/configs/experiments/informer-btcusdt-30m-quantile.yaml @@ -0,0 +1,69 @@ +future_window: + value: 5 +past_window: + value: 48 +batch_size: + value: 64 +max_epochs: + value: 1 +data: + value: + dataset: "btc-usdt-30m:latest" + sliding_window: 0 + validation: 0.2 +fields: + value: + 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, 0.05, 0.1, 0.25, 0.5, 0.75, 0.9, 0.95, 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/sweeps/informer-btcusdt-5m-quantile.yaml b/configs/sweeps/informer-btcusdt-5m-quantile.yaml new file mode 100644 index 0000000..1d3ece6 --- /dev/null +++ b/configs/sweeps/informer-btcusdt-5m-quantile.yaml @@ -0,0 +1,40 @@ +program: ./scripts/train.py +project: wne-masters-thesis-testing +command: + - ${env} + - ${interpreter} + - ${program} + - "./configs/experiments/informer-btcusdt-5m-quantile.yaml" + - "--patience" + - "10" +method: random +metric: + goal: minimize + name: val_loss +parameters: + past_window: + distribution: int_uniform + min: 20 + max: 120 + batch_size: + values: [64, 128, 256] + model: + parameters: + name: + value: "Informer" + dmodel: + values: [256, 512, 1024] + d_fully_connected: + values: [256, 512, 1024] + n_attention_heads: + values: [1, 2, 4, 6] + dropout: + values: [0.05, 0.1, 0.2, 0.3] + n_encoder_layers: + values: [1, 2, 4, 6] + n_decoder_layers: + values: [1, 2] + learning_rate: + values: [0.001, 0.0005, 0.0001] + optimizer: + value: "Adam" \ No newline at end of file