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spb/wp41_uqo

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1{2 "config": {3  "name": "pilot",4  "description": "20 instruments x 3 months (train-period slice) to validate download -> features -> model -> evaluation -> LaTeX.",5  "paths": {6   "cache": "/Users/simon-pierreboucher/wp41-cache",7   "root": "/Users/simon-pierreboucher/wp41_uqo"8  },9  "universe": {10   "manifest": "data/manifests/universe_main.json",11   "n_pilot": 20,12   "pilot_seed": 4113  },14  "data": {15   "dataset_stock": "market_bars.stock.1m.raw",16   "dataset_etf": "market_bars.etf.1m.raw",17   "start": "2022-09-01",18   "end": "2022-12-30",19   "warmup_sessions": 2120  },21  "windows": {22   "L_A": 390,23   "L_B": 390,24   "L_C": 260,25   "H": 60,26   "m_min": 30,27   "min_future_present": 0.828  },29  "splits": {30   "train_end": "2022-11-30",31   "val_end": "2022-12-15",32   "test_end": "2022-12-30"33  },34  "train": {35   "model": "small",36   "batch_size": 64,37   "max_steps": 600,38   "lr": 0.0003,39   "warmup_steps": 50,40   "weight_decay": 0.01,41   "grad_clip": 1.0,42   "eval_every": 100,43   "origins_per_session": 6,44   "seed": 1,45   "num_workers": 446  },47  "eval": {48   "stride": 10,49   "horizons": [50    5,51    15,52    30,53    6054   ],55   "n_samples": 25656  },57  "baselines": [58   "naive",59   "har",60   "garch",61   "trees"62  ],63  "reference": "naive_rw",64  "models": [65   {66    "name": "mrpt_small",67    "preset": "small",68    "kwargs": {},69    "feature_set": "full"70   },71   {72    "name": "mrpt_small_1m_only",73    "preset": "small",74    "kwargs": {75     "branches": [76      "A"77     ]78    },79    "feature_set": "full"80   },81   {82    "name": "tcn",83    "kind": "tcn"84   },85   {86    "name": "mlp",87    "kind": "mlp"88   }89  ]90 },91 "symbols": [92  "CHD",93  "CNDT",94  "CVE",95  "D",96  "DLR",97  "GLD",98  "HSBC",99  "IEF",100  "IRBT",101  "NTNX",102  "PK",103  "RCI",104  "SABR",105  "SBUX",106  "SDS",107  "SHEL",108  "TNA",109  "VIG",110  "VZ",111  "ZTO"112 ],113 "origins": {114  "train": 4942,115  "val": 5362,116  "test": 4659117 },118 "eval_split": "test",119 "heldout": false120}
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