| { | |
| "dataloader": { | |
| "kwargs": { | |
| "batch_size": 2048, | |
| "num_workers": 4 | |
| }, | |
| "type": "pytorch_dataloader" | |
| }, | |
| "dataset": { | |
| "kwargs": { | |
| "feature_columns": [ | |
| "KMID", | |
| "KLEN", | |
| "KMID2", | |
| "KUP2", | |
| "KLOW2", | |
| "KSFT", | |
| "KSFT2", | |
| "OPEN0", | |
| "HIGH0", | |
| "LOW0", | |
| "ROC5", | |
| "ROC10", | |
| "ROC20", | |
| "ROC30", | |
| "ROC60", | |
| "MA10", | |
| "MA20", | |
| "MA30", | |
| "STD5", | |
| "STD10", | |
| "STD20", | |
| "STD30", | |
| "STD60", | |
| "BETA5", | |
| "BETA10", | |
| "BETA20", | |
| "BETA30", | |
| "BETA60", | |
| "RSQR5", | |
| "RSQR10", | |
| "RSQR20", | |
| "RSQR30", | |
| "RSQR60", | |
| "RESI5", | |
| "RESI10", | |
| "RESI20", | |
| "RESI30", | |
| "MAX5", | |
| "MAX20", | |
| "MAX30", | |
| "MAX60", | |
| "MIN10", | |
| "MIN20", | |
| "MIN30", | |
| "MIN60", | |
| "QTLU5", | |
| "QTLU10", | |
| "QTLU20", | |
| "QTLU30", | |
| "QTLU60", | |
| "QTLD5", | |
| "QTLD10", | |
| "QTLD20", | |
| "QTLD30", | |
| "QTLD60", | |
| "RANK5", | |
| "RANK10", | |
| "RANK20", | |
| "RANK30", | |
| "RANK60", | |
| "RSV5", | |
| "RSV10", | |
| "RSV20", | |
| "RSV30", | |
| "RSV60", | |
| "IMAX5", | |
| "IMAX10", | |
| "IMAX20", | |
| "IMAX30", | |
| "IMAX60", | |
| "IMIN5", | |
| "IMIN10", | |
| "IMIN20", | |
| "IMIN30", | |
| "IMIN60", | |
| "IMXD5", | |
| "IMXD10", | |
| "IMXD20", | |
| "IMXD30", | |
| "IMXD60", | |
| "CORR5", | |
| "CORR10", | |
| "CORR20", | |
| "CORR30", | |
| "CORR60", | |
| "CORD5", | |
| "CORD10", | |
| "CORD20", | |
| "CORD30", | |
| "CORD60", | |
| "CNTP5", | |
| "CNTP10", | |
| "CNTP20", | |
| "CNTP30", | |
| "CNTP60", | |
| "CNTN5", | |
| "CNTN10", | |
| "CNTN20", | |
| "CNTN30", | |
| "CNTN60", | |
| "CNTD5", | |
| "CNTD10", | |
| "CNTD30", | |
| "CNTD60", | |
| "SUMP5", | |
| "SUMP10", | |
| "SUMP20", | |
| "SUMP30", | |
| "SUMP60", | |
| "SUMN5", | |
| "SUMN10", | |
| "SUMN30", | |
| "SUMN60", | |
| "SUMD5", | |
| "SUMD10", | |
| "SUMD20", | |
| "SUMD30", | |
| "SUMD60", | |
| "WVMA10", | |
| "WVMA20", | |
| "WVMA60", | |
| "VSUMP5", | |
| "VSUMP10", | |
| "VSUMP20", | |
| "VSUMP30", | |
| "VSUMP60", | |
| "VSUMN5", | |
| "VSUMN10", | |
| "VSUMN20", | |
| "VSUMN30", | |
| "VSUMN60", | |
| "VSUMD5", | |
| "VSUMD10", | |
| "VSUMD20", | |
| "VSUMD30", | |
| "VSUMD60", | |
| "KMIDinday", | |
| "KLENinday", | |
| "KMID2inday", | |
| "KUPinday", | |
| "KUP2inday", | |
| "KLOWinday", | |
| "KLOW2inday", | |
| "KSFTinday", | |
| "KSFT2inday", | |
| "OPEN0inday", | |
| "HIGH0inday", | |
| "LOW0inday", | |
| "ROC5inday", | |
| "ROC10inday", | |
| "ROC20inday", | |
| "ROC30inday", | |
| "ROC60inday", | |
| "MA5inday", | |
| "MA10inday", | |
| "MA20inday", | |
| "MA30inday", | |
| "MA60inday", | |
| "STD5inday", | |
| "STD20inday", | |
| "STD30inday", | |
| "STD60inday", | |
| "BETA10inday", | |
| "BETA20inday", | |
| "BETA30inday", | |
| "BETA60inday", | |
| "RSQR5inday", | |
| "RSQR10inday", | |
| "RSQR20inday", | |
| "RSQR30inday", | |
| "RSQR60inday", | |
| "RESI5inday", | |
| "RESI10inday", | |
| "RESI20inday", | |
| "RESI30inday", | |
| "RESI60inday", | |
| "MAX5inday", | |
| "MAX10inday", | |
| "MAX20inday", | |
| "MAX30inday", | |
| "MAX60inday", | |
| "MIN10inday", | |
| "MIN20inday", | |
| "MIN30inday", | |
| "MIN60inday", | |
| "QTLU5inday", | |
| "QTLU10inday", | |
| "QTLU20inday", | |
| "QTLU30inday", | |
| "QTLU60inday", | |
| "QTLD5inday", | |
| "QTLD10inday", | |
| "QTLD20inday", | |
| "QTLD60inday", | |
| "RANK5inday", | |
| "RANK10inday", | |
| "RANK20inday", | |
| "RANK30inday", | |
| "RANK60inday", | |
| "RSV5inday", | |
| "RSV10inday", | |
| "RSV30inday", | |
| "IMAX5inday", | |
| "IMAX10inday", | |
| "IMAX20inday", | |
| "IMAX30inday", | |
| "IMAX60inday", | |
| "IMIN5inday", | |
| "IMIN10inday", | |
| "IMIN20inday", | |
| "IMIN30inday", | |
| "IMIN60inday", | |
| "IMXD5inday", | |
| "IMXD10inday", | |
| "IMXD20inday", | |
| "IMXD30inday", | |
| "IMXD60inday", | |
| "CORR5inday", | |
| "CORR10inday", | |
| "CORR20inday", | |
| "CORR30inday", | |
| "CORR60inday", | |
| "CORD5inday", | |
| "CORD10inday", | |
| "CORD20inday", | |
| "CORD30inday", | |
| "CNTP5inday", | |
| "CNTP10inday", | |
| "CNTP20inday", | |
| "CNTP30inday", | |
| "CNTP60inday", | |
| "CNTN5inday", | |
| "CNTN10inday", | |
| "CNTN20inday", | |
| "CNTN30inday", | |
| "CNTN60inday", | |
| "CNTD5inday", | |
| "CNTD10inday", | |
| "CNTD30inday", | |
| "CNTD60inday", | |
| "SUMP10inday", | |
| "SUMP20inday", | |
| "SUMP30inday", | |
| "SUMP60inday", | |
| "SUMN5inday", | |
| "SUMN10inday", | |
| "SUMN20inday", | |
| "SUMN30inday", | |
| "SUMN60inday", | |
| "SUMD5inday", | |
| "SUMD10inday", | |
| "SUMD20inday", | |
| "SUMD30inday", | |
| "SUMD60inday", | |
| "VMA5inday", | |
| "VMA10inday", | |
| "VMA20inday", | |
| "VMA30inday", | |
| "VMA60inday", | |
| "VSTD5inday", | |
| "VSTD10inday", | |
| "VSTD20inday", | |
| "VSTD30inday", | |
| "VSTD60inday", | |
| "WVMA5inday", | |
| "WVMA10inday", | |
| "WVMA20inday", | |
| "WVMA30inday", | |
| "WVMA60inday", | |
| "VSUMP5inday", | |
| "VSUMP10inday", | |
| "VSUMP20inday", | |
| "VSUMP30inday", | |
| "VSUMP60inday", | |
| "VSUMN5inday", | |
| "VSUMN10inday", | |
| "VSUMN20inday", | |
| "VSUMN30inday", | |
| "VSUMD5inday", | |
| "VSUMD10inday", | |
| "VSUMD20inday", | |
| "RM5inday", | |
| "RM5", | |
| "ESR5inday", | |
| "ESR5", | |
| "UMDSV5", | |
| "UMDSV5inday", | |
| "DSM5inday", | |
| "DSM5", | |
| "EMDD5", | |
| "DSV5inday", | |
| "DSV5", | |
| "EMDD5inday", | |
| "USM5", | |
| "USM5inday", | |
| "USV5", | |
| "USV5inday", | |
| "EMDD10", | |
| "DSM10", | |
| "DSM10inday", | |
| "DSV10", | |
| "DSV10inday", | |
| "RM10inday", | |
| "ONRM10inday", | |
| "RM10", | |
| "ONRM10", | |
| "UMDSV30inday", | |
| "ESR10inday", | |
| "UMDSV30", | |
| "ESR10", | |
| "RM30inday", | |
| "BSRL30inday", | |
| "UMDSV10", | |
| "DSM20", | |
| "DSM30", | |
| "DSM30inday", | |
| "DSM20inday", | |
| "UMDSV10inday", | |
| "RM30", | |
| "BSRL30", | |
| "VRMIN5", | |
| "RM20inday", | |
| "VRMIN5inday", | |
| "ESR30inday", | |
| "UMDSV20", | |
| "UMDSV20inday", | |
| "ESR30", | |
| "DSV30inday", | |
| "DSV30", | |
| "EMDD30", | |
| "RM20", | |
| "ESR20", | |
| "VRMIN10", | |
| "DSV20", | |
| "VRMIN10inday", | |
| "DSV20inday", | |
| "VWAP0", | |
| "VWAP0inday" | |
| ], | |
| "label_columns": [ | |
| "label2" | |
| ], | |
| "mask": { | |
| "kwargs": { | |
| "window_size": 4 | |
| }, | |
| "type": "window_attention" | |
| }, | |
| "weight_columns": [ | |
| "available", | |
| "nan_label2" | |
| ] | |
| }, | |
| "type": "TransformerDatasetWithDict" | |
| }, | |
| "feature_file": "configs/lgbm_corr_columns.txt", | |
| "log_train_loss": true, | |
| "loss": { | |
| "kwargs": { | |
| "mean_n": 0.0, | |
| "std_n": 0.0, | |
| "weight_change": [ | |
| [ | |
| 0.05, | |
| 0.5 | |
| ], | |
| [ | |
| 0.07, | |
| 0.2 | |
| ] | |
| ] | |
| }, | |
| "type": "CorrLoss" | |
| }, | |
| "max_epochs": 12, | |
| "min_epochs": 5, | |
| "model": { | |
| "kwargs": { | |
| "embedding_config": { | |
| "kwargs": { | |
| "dropout": 0.2, | |
| "fixed": false, | |
| "inlinear": true | |
| }, | |
| "type": "Exp2dEmbedding" | |
| }, | |
| "embedding_size": 256, | |
| "encoder_config": { | |
| "kwargs": { | |
| "activation": "gelu", | |
| "d_ff": 256, | |
| "d_k": 128, | |
| "d_v": 128, | |
| "layer_num": 8, | |
| "n_heads": 8, | |
| "res_dropout": 0.15 | |
| }, | |
| "type": "TSTPlusEncoder" | |
| }, | |
| "feature_size": 256, | |
| "head_config": { | |
| "kwargs": { | |
| "dropout": 0.5, | |
| "hidden_size": 256, | |
| "num_layers": 1 | |
| }, | |
| "type": "FCHead" | |
| }, | |
| "input_size": 338, | |
| "pooling_config": { | |
| "kwargs": {}, | |
| "type": "LastPooling" | |
| }, | |
| "y_len": 1 | |
| }, | |
| "type": "TransformerModel" | |
| }, | |
| "model_name": "tst_t2_reweight_10_2", | |
| "monitor": "val_loss", | |
| "norm_mean": 0.2889273219162342, | |
| "norm_std": 1.7019113344176244, | |
| "optimizer": { | |
| "kwargs": { | |
| "lr": 4e-05, | |
| "weight_decay": 1e-06 | |
| }, | |
| "type": "Adam" | |
| }, | |
| "patience": 10, | |
| "pp": "t1_0", | |
| "scheduler": { | |
| "kwargs": { | |
| "gamma": 0.5, | |
| "milestones": [ | |
| 8, | |
| 15 | |
| ] | |
| }, | |
| "type": "MultiStepLR" | |
| }, | |
| "seq_length": 10, | |
| "test_dataset": "dataset/test_000300_2101-2107.csv", | |
| "train_dataset": "dataset/train_000906_0801-1901.csv", | |
| "transformers_version": "4.10.0.dev0", | |
| "use_cache": true, | |
| "valid_dataset": "dataset/valid_000300_1901-2101.csv" | |
| } | |