From 028bc88430974104b3386253c5953caf614f9c0c Mon Sep 17 00:00:00 2001
From: D-X-Y <280835372@qq.com>
Date: Wed, 7 Apr 2021 22:42:00 -0700
Subject: [PATCH] Allow different timeframes

---
 .latent-data/NATS-Bench   |  2 +-
 exps/trading/baselines.py | 40 ++++++++++++++++++++++++++++++++++-----
 scripts/trade/tsf-time.sh | 26 +++++++++++++++++++++++++
 3 files changed, 62 insertions(+), 6 deletions(-)
 create mode 100644 scripts/trade/tsf-time.sh

diff --git a/.latent-data/NATS-Bench b/.latent-data/NATS-Bench
index 391d482..3a87943 160000
--- a/.latent-data/NATS-Bench
+++ b/.latent-data/NATS-Bench
@@ -1 +1 @@
-Subproject commit 391d4823b70898cdd3b70045519d9cde42979ada
+Subproject commit 3a8794322f0b990499a44db1b2cb05ef2bb33851
diff --git a/exps/trading/baselines.py b/exps/trading/baselines.py
index 130792d..cf42cf7 100644
--- a/exps/trading/baselines.py
+++ b/exps/trading/baselines.py
@@ -13,13 +13,15 @@
 # python exps/trading/baselines.py --alg LightGBM   #
 # python exps/trading/baselines.py --alg DoubleE    #
 # python exps/trading/baselines.py --alg TabNet     #
-#                                                   #
-# python exps/trading/baselines.py --alg Transformer#
+#                                                   #############################
+# python exps/trading/baselines.py --alg Transformer
 # python exps/trading/baselines.py --alg TSF
-# python exps/trading/baselines.py --alg TSF-4x64-drop0_0
-#####################################################
+# python exps/trading/baselines.py --alg TSF-2x24-drop0_0 --market csi300
+# python exps/trading/baselines.py --alg TSF-6x32-drop0_0 --market csi300
+#################################################################################
 import sys
 import copy
+from datetime import datetime
 import argparse
 from collections import OrderedDict
 from pathlib import Path
@@ -60,7 +62,7 @@ def to_layer(config, embed_dim, depth):
 
 def extend_transformer_settings(alg2configs, name):
     config = copy.deepcopy(alg2configs[name])
-    for i in range(1, 8):
+    for i in range(1, 9):
         for j in (6, 12, 24, 32, 48, 64):
             for k1 in (0, 0.1, 0.2):
                 for k2 in (0, 0.1):
@@ -70,6 +72,31 @@ def extend_transformer_settings(alg2configs, name):
     return alg2configs
 
 
+def replace_start_time(config, start_time):
+    config = copy.deepcopy(config)
+    xtime = datetime.strptime(start_time, "%Y-%m-%d")
+    config["data_handler_config"]["start_time"] = xtime.date()
+    config["data_handler_config"]["fit_start_time"] = xtime.date()
+    config["task"]["dataset"]["kwargs"]["segments"]["train"][0] = xtime.date()
+    return config
+
+
+def extend_train_data(alg2configs, name):
+    config = copy.deepcopy(alg2configs[name])
+    start_times = (
+        "2008-01-01",
+        "2009-01-01",
+        "2010-01-01",
+        "2011-01-01",
+        "2012-01-01",
+        "2013-01-01",
+    )
+    for start_time in start_times:
+        config = replace_start_time(config, start_time)
+        alg2configs[name + "s{:}".format(start_time)] = config
+    return alg2configs
+
+
 def refresh_record(alg2configs):
     alg2configs = copy.deepcopy(alg2configs)
     for key, config in alg2configs.items():
@@ -133,6 +160,9 @@ def retrieve_configs():
         )
     alg2configs = extend_transformer_settings(alg2configs, "TSF")
     alg2configs = refresh_record(alg2configs)
+    # extend the algorithms by different train-data
+    for name in ("TSF-2x24-drop0_0", "TSF-6x32-drop0_0"):
+        alg2configs = extend_train_data(alg2configs, name)
     print(
         "There are {:} algorithms : {:}".format(
             len(alg2configs), list(alg2configs.keys())
diff --git a/scripts/trade/tsf-time.sh b/scripts/trade/tsf-time.sh
new file mode 100644
index 0000000..0687a63
--- /dev/null
+++ b/scripts/trade/tsf-time.sh
@@ -0,0 +1,26 @@
+#!/bin/bash
+#
+# bash scripts/trade/tsf-time.sh 0 csi300 TSF-2x24-drop0_0
+# bash scripts/trade/tsf-time.sh 1 csi100
+# bash scripts/trade/tsf-time.sh 1 all
+#
+set -e
+echo script name: $0
+echo $# arguments
+
+if [ "$#" -ne 3 ] ;then
+  echo "Input illegal number of parameters " $#
+  exit 1
+fi
+
+gpu=$1
+market=$2
+base=$3
+xtimes="2008-01-01 2009-01-01 2010-01-01 2011-01-01 2012-01-01 2013-01-01"
+
+for xtime in ${xtimes}
+do
+
+  python exps/trading/baselines.py --alg ${base}s${xtime} --gpu ${gpu} --market ${market} --shared_dataset False
+
+done