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https://github.com/wassname/DeepTime.git
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wassname
81 lines
2.1 KiB
Markdown
81 lines
2.1 KiB
Markdown
# install environment
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```sh
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# try with pip torch WORKS!
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export PROJ=deeptime
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conda create -n $PROJ python=3.8 -y
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conda activate $PROJ
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mamba install -y ipykernel pip ipywidgets
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pip install torch==1.10.0+cu113 torchvision torchaudio --extra-index-url https://download.pytorch.org/whl/cu113
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# 117 does not exist yet
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python -m ipykernel install --user --name $PROJ
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pip install gin-config fire pandas matplotlib numpy scikit-learn einops tensorboard yapf
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pip install tsai
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# note that I've also recorded the env in requirements
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python -m experiments.forecast --config_path=storage/experiments/Exchange/192S/repeat=0/config.gin run | tee -a storage/experiments/Exchange/192S/repeat=0/instance.log 2>&1%
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```
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# run
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```sh
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python -m experiments.forecast --config_path=storage/experiments/Exchange/96S/repeat=0/config.gin run
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python -m experiments.forecast --config_path=storage/experiments/Exchange/96Splus/repeat=0/config.gin run
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python -m experiments.forecast --config_path=storage/experiments/Exchange/96Splusshort/repeat=0/config.gin run
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python -m experiments.forecast --config_path=storage/experiments/Exchange/96Sshort/repeat=0/config.gin run
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```
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# Lessons
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Single variate works much better. The output is not just a straight line. Likely because we have limited the output, not the input
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# stocks
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```sh
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python -m experiments.forecast --config_path=experiments/configs/Stocks/96S.gin build_experiment
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python -m experiments.forecast --config_path=storage/experiments/Stocks/96S/repeat=0/config.gin run
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```
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```
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make build-all path=experiments/configs/Stocks
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./run.sh
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```
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# So how does deeptime work?
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original:
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- inr(coords)
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- RR
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My mods (I added past other variables):
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- inr(concat([x, coords]))
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- RR
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Where INR is one of [mlp, lstm, lstm2, transformer, transforme2, inceptioncausal]
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TODO:
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- [x] try just one predictor
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- [x] compare multi
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- losses:
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- try logp? nah
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- mae?
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- [x] make my own csv with 5m data (maybe 10k rows)
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- [ ] backtest?
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- [x] M2S mode
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- [ ] add other INR's
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- [ ] add None as learner
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- [ ] no encoder?
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```
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python -m experiments.forecast --config_path=experiments/configs/hp_search/Stocks.gin build_experiment
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./run.sh
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```
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