add config

config.json

@@ -0,0 +1,458 @@
+{
+  "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"
+}