add training script

2024-09-04 15:32:22 +02:00
parent c3a03fe338
commit e6c2d4b914
5 changed files with 333 additions and 1 deletions
@@ -0,0 +1,66 @@
+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"
@@ -0,0 +1,36 @@
+program: ./scripts/train.py
+project: wne-masters-thesis-testing
+command:
+  - ${env}
+  - ${interpreter}
+  - ${program}
+  - "./configs/experiments/temporal-fusion-btcusdt-quantile.yaml"
+method: random
+metric:
+  goal: maximize
+  name: val_loss
+parameters:
+  past_window:
+    distribution: int_uniform
+    min: 5
+    max: 100
+  batch_size:
+    values: [64, 128, 256]
+  model:
+    parameters:
+      name:
+        value: "TemporalFusionTransoformer"
+      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"]