Feat/tgan

config/custom/tcn_config_local.yaml

@@ -39,7 +39,7 @@ optuna_submission_delay: 30
 
 output_size: 3
 num_channels: [150, 150, 150, 150, 150, 150, 150]
-kernel_size: 3
+kernel_size: 10
 dropout: 0.5
 use_last_timepoint: True
 last_y: False

config/custom/tcn_config_m.yaml

@@ -22,11 +22,11 @@ tags:
   - ethusdt_volume500
   - simple_lookahead_y
 no_comet_logger: True
-seed: 40
+seed: 42
 batch_size: 256
 early_stopping_rounds: 15
 optimizer: adabelief
-lr: 0.001
+lr: 'auto'
 max_lr: 0.1
 max_lr_multiplier: 10
 one_cycle_length: 60
@@ -40,7 +40,7 @@ output_size: 1
 num_channels: [20, 20, 20, 20]
 kernel_size: 3
 dropout: 0.5
-use_last_timepoint: False
+use_last_timepoint: True
 last_y: True
 non_last_y_frac: 0.5
 regression: False
@@ -58,14 +58,14 @@ no_sample_weights: True
 data_dir: "C:/Users/u164428/Desktop/Dagobert/data/modelling"
 
 lookback: auto
-mini_series_length: 20
+mini_series_length: auto
 
 # If this is set to a number, then simple lookahead labelling is in place
 simple_lookahead_y: 15
 simple_lookahead_reg: False
 
 # If this is True, anchor is labelled before preprocessing. to_label and simple_lookahead_y cannot be used together.
-to_label: False
+to_label: True
 label_sl: 1
 label_pt: 1
 label_first_or_max: "first"
@@ -84,6 +84,12 @@ cols_to_model:
     - high
     - low
     - close
+    - volume
+    - cum_volume_buy
+    - cum_volume_sell
+    - cum_volume_quote
+    - cum_volume_quote_buy
+    - cum_volume_quote_sell
 #    - open_fd_0.0
 #    - high_fd_0.0
 #    - low_fd_0.0
@@ -94,12 +100,6 @@ cols_to_model:
 #    - close_fd_tuned
 #    - cum_ticks
 #    - cum_dollar
-#    - volume
-#    - cum_volume_buy
-#    - cum_volume_sell
-#    - cum_volume_quote
-#    - cum_volume_quote_buy
-#    - cum_volume_quote_sell
 #    - sin_date
 #    - cos_date
 #    - sin_time
@@ -131,22 +131,23 @@ augment_method: random_fast
 augment_prob: 0.25
 simple_augment_dfs:
   - std_bar_BTCUSDT_tick_1.feather
-  - std_bar_LTCUSDT_tick_1.feather
-  - std_bar_XRPUSDT_tick_1.feather
-  - std_bar_BTCUSDT_volume_100.feather
-  - std_bar_LTCUSDT_volume_1000.feather
-  - std_bar_XRPUSDT_volume_125000.feather
-  - std_bar_BTCUSDT_dollar_1000000.feather
-  - std_bar_LTCUSDT_dollar_40000.feather
-  - std_bar_XRPUSDT_dollar_20000.feather
+#  - std_bar_LTCUSDT_tick_1.feather
+#  - std_bar_XRPUSDT_tick_1.feather
+#  - std_bar_BTCUSDT_volume_100.feather
+#  - std_bar_LTCUSDT_volume_1000.feather
+#  - std_bar_XRPUSDT_volume_125000.feather
+#  - std_bar_BTCUSDT_dollar_1000000.feather
+#  - std_bar_LTCUSDT_dollar_40000.feather
+#  - std_bar_XRPUSDT_dollar_20000.feather
 simple_augment_prob: 0.5
+augment_dfs_mix: 0.33
 
 # --------------------------------------------------------------------------------------
 # PREPROCESSING
 # --------------------------------------------------------------------------------------
 
 train_start_date: "2018-06-01"
-train_days: 30
+train_days: 2
 val_days: 1
 val_train_offset_days: 1
 val_puffer_days: 1

config/rl_config.yaml

@@ -0,0 +1,165 @@
+
+
+# --------------------------------------------------------------------------------------
+# LIGHTNING
+# --------------------------------------------------------------------------------------
+
+gpus: 1
+pin_memory: True
+profiler: True
+#val_check_interval: 0.5
+# enable it with 'power' or 'binsearch'
+auto_scale_batch_size:
+#precision: 16
+
+# --------------------------------------------------------------------------------------
+# RUN
+# --------------------------------------------------------------------------------------
+
+log_dir: logs
+num_workers: 1
+exp_name: RL-PPO-TCN
+tags:
+  - RL_test
+no_comet_logger: True
+seed: 42
+batch_size: 500
+max_epochs: 100
+
+# --------------------------------------------------------------------------------------
+# RL
+# --------------------------------------------------------------------------------------
+
+asset_names: 
+  - BTC
+  - ETH
+  - XRP
+  - LTC
+trading_cost: 0.002
+reward_type: portfolio_vs_market
+num_env_heads: 20
+num_env_workers: 1
+normalize_advantages: True
+pgportfolio: False
+max_episode_length: 2000
+steps_per_epoch: 80000
+n_optim_iters: 4
+gamma: 0.99
+lam: 0.95
+lr_actor: 0.0001
+lr_critic: 0.0003
+clip_ratio: 0.2
+target_kl: 0.01
+
+
+# don't change these, or preprocessing won't work 
+target_col: rl_return
+to_label: False
+no_sample_weights: True
+binariser_method: 
+
+# --------------------------------------------------------------------------------------
+# MODEL
+# --------------------------------------------------------------------------------------
+
+actor_num_channels: [50, 50, 50, 50, 50]
+actor_kernel_size: 5
+actor_dropout: 0.2
+# sample size - exp abs diff to mean | 20 - 5% | 50 - 3% | 100 - 2% | 500 - 1%
+actor_dirichlet_sample_size: 20
+critic_num_channels: [50, 50, 50, 50, 50]
+critic_kernel_size: 5
+critic_dropout: 0.2
+use_last_timepoint: False
+
+# --------------------------------------------------------------------------------------
+# DATA
+# --------------------------------------------------------------------------------------
+
+data_dir: "C:/Work/dagobert/data/modelling"
+
+lookback: auto
+mini_series_length: auto
+
+df_train:
+  # anchor: std_bar_BTCUSDT_volume_100.feather
+  # df2: std_bar_ETHUSDT_volume_500.feather
+  # df3: std_bar_XRPUSDT_volume_125000.feather
+  # df4: std_bar_LTCUSDT_volume_1000.feather
+  anchor: std_bar_BTCUSDT_tick_1.feather
+  df2: std_bar_ETHUSDT_tick_1.feather
+  df3: std_bar_XRPUSDT_tick_1.feather
+  df4: std_bar_LTCUSDT_tick_1.feather
+df_val: 
+df_test:
+cols_to_model:
+  anchor:
+    - date_diff
+    - open
+    - high
+    - low
+    - close
+    # - open_fd_0.0
+    # - high_fd_0.0
+    # - low_fd_0.0
+    # - close_fd_0.0
+    # - open_fd_tuned
+    # - high_fd_tuned
+    # - low_fd_tuned
+    # - close_fd_tuned
+    - cum_ticks
+    - cum_dollar
+    - volume
+    - cum_volume_buy
+    - cum_volume_sell
+    - cum_volume_quote
+    - cum_volume_quote_buy
+    - cum_volume_quote_sell
+    - sin_date
+    - cos_date
+    - sin_time
+    - cos_time
+    # - boll
+    # - boll_lb
+    # - boll_ub
+    # - macd
+    # - macds
+    # - macdh
+    # - wr_60
+    # - rsi_60
+    # - rsv_60
+    # - atr_60
+    # - cci_60
+    # - kdjk_60
+    # - kdjd_60
+    # - kdjj_60
+    # - pdi_60
+    # - mdi_60
+    # - vr_60
+  df2:
+  df3:
+  df4:
+    # the cols of the secondary DFs will automatically be set to anchor's if not defined
+
+time_feat_n: 1
+time_embed_dim: 12
+
+augment_method: random_fast
+augment_prob: 0
+augment_dfs:
+augment_dfs_mix: 0
+
+# --------------------------------------------------------------------------------------
+# PREPROCESSING
+# --------------------------------------------------------------------------------------
+
+train_start_date: "2019-01-01"
+train_days: 500
+val_days: 30
+val_train_offset_days: 1
+val_puffer_days: 1
+test_days: 30
+test_train_offset_days: 62
+test_puffer_days: 1
+
+scaling_method: minmax

config/tcn_config_data.yaml

@@ -59,7 +59,8 @@ no_sample_weights: False
 # DATA
 # --------------------------------------------------------------------------------------
 
-data_dir: "/home/ubuntu/dagobert/data/modelling"
+#data_dir: "/home/ubuntu/dagobert/data/modelling"
+data_dir: "C:/Users/u164428/Desktop/Dagobert/data/modelling"
 
 lookback: auto
 mini_series_length: auto