67 lines
3.3 KiB
Markdown
67 lines
3.3 KiB
Markdown
The proposed architecture effectively addresses synchronizing multiple timeframes and indicators using channel-specific processing and transformer-based attention. Here's how to enhance it further and key considerations:
|
|
|
|
Key Enhancements & Considerations:
|
|
Timeframe Embeddings:
|
|
Why: Helps the model distinguish between different resolutions (1m vs 1h).
|
|
How: Add an embedding layer that encodes timeframe IDs (e.g., 0 for 1m, 1 for 5m). Inject this into each channel's processed features.
|
|
python
|
|
|
|
Run
|
|
|
|
Copy
|
|
self.timeframe_embed = nn.Embedding(num_timeframes, hidden_dim)
|
|
# In forward:
|
|
timeframe_ids = torch.arange(num_timeframes).to(device) # During init or passed as input
|
|
embeddings = self.timeframe_embed(timeframe_ids).unsqueeze(0) # (1, num_timeframes, hidden_dim)
|
|
channels_concat = channels_concat + embeddings # Add to branch outputs
|
|
Positional Encodings in Transformer:
|
|
Why: Inform the model about the order/hierarchy of timeframes.
|
|
How: Apply sinusoidal positional encodings to transformer_input before passing to the encoder.
|
|
Dynamic Aggregation:
|
|
Why: Mean aggregation may dilute important signals.
|
|
How: Use attention pooling to weight channels dynamically:
|
|
python
|
|
|
|
Run
|
|
|
|
Copy
|
|
# After transformer_output of shape (num_timeframes, batch_size, hidden_dim)
|
|
attn_weights = torch.softmax(self.attn_pool(transformer_output), dim=0) # Learnable linear layer
|
|
aggregated_channels = (transformer_output * attn_weights).sum(dim=0)
|
|
Multi-Step Prediction:
|
|
Why: Predicting multiple future candles requires temporal coherence.
|
|
How: Replace the final fc layer with an LSTM or transformer decoder to output sequences.
|
|
Meta Feature Interaction:
|
|
Why: Allow meta features to modulate channel processing.
|
|
How: Use cross-attention between meta features and channel data:
|
|
python
|
|
|
|
Run
|
|
|
|
Copy
|
|
# Compute cross-attention where meta_out attends to aggregated_channels
|
|
cross_attn = nn.MultiheadAttention(hidden_dim, n_heads)
|
|
attn_output, _ = cross_attn(meta_out.unsqueeze(0), aggregated_channels.unsqueeze(0), aggregated_channels.unsqueeze(0))
|
|
combined = torch.cat([attn_output.squeeze(0), meta_out], dim=1)
|
|
Data Alignment Strategy:
|
|
Preprocessing: Resample higher timeframes to match the lowest resolution's timestamps (e.g., 1m), forward-filling 5m/1h data. This ensures all channels have values at every 1m timestamp.
|
|
Example: For a 1h channel, each 1m timestamp in the same hour window shares the same 1h candle values until the next hour.
|
|
Loss Function:
|
|
Enhancement: Incorporate a custom loss that penalizes prediction errors in peaks/valleys more heavily:
|
|
python
|
|
|
|
Run
|
|
|
|
Copy
|
|
def peak_valley_loss(pred_highs, true_highs, pred_lows, true_lows):
|
|
high_error = torch.abs(pred_highs - true_highs) * 2 # Emphasize peaks
|
|
low_error = torch.abs(pred_lows - true_lows) * 2 # Emphasize valleys
|
|
return (high_error + low_error).mean()
|
|
Implementation Adjustments:
|
|
Transformer Layers: Increase depth (num_layers=2) for richer interactions.
|
|
Regularization: Add dropout in channel branches and meta encoder to prevent overfitting.
|
|
Input Normalization: Apply instance normalization per channel to handle varying indicator scales.
|
|
RL Integration (Future Step):
|
|
Use the model's predictions as part of the state representation in an RL agent (e.g., PPO or DQN).
|
|
Design a reward function based on trading profitability (e.g., Sharpe ratio, portfolio returns).
|
|
Include transaction costs and slippage in the RL environment for realistic backtesting. |