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42 lines
944 B
42 lines
944 B
2 weeks ago
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# CTA 1D Configuration for Parquet Loading
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# Use this instead of config.yaml when using CTA1DLoaderParquet
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data:
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dt_range: ['2020-01-01', '2023-12-31']
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# Parquet paths (populated by data_ops_research)
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feature_path: /data/parquet/dataset/cta_alpha158_1d
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hffactor_path: /data/parquet/dataset/cta_hffactor_1d
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dom_path: /data/parquet/dataset/cta_dom_1d
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label_path: /data/parquet/dataset/cta_labels_1d
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feature_sets:
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- alpha158
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- hffactor
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normalization: dual
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blend_weights: equal
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segments:
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train: ['2020-01-01', '2022-06-30']
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valid: ['2022-07-01', '2022-12-31']
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test: ['2023-01-01', '2023-12-31']
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model:
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type: xgb
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params:
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objective: reg:squarederror
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eval_metric: rmse
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eta: 0.05
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max_depth: 6
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subsample: 0.8
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colsample_bytree: 0.8
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seed: 42
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num_boost_round: 500
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early_stopping_rounds: 50
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training:
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return_type: o2c_twap1min
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weight_factors:
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positive: 1.0
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negative: 2.0
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