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Deep learning stock prediction in the Numerai challenge

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CS7150 Deep Learning Final Project

Applying Deep Learning to the Numerai data science competition.

Code authors

Jackson Neal
Rohit Barve
Quay Dragon

GPU Access

NOTE: GPU configuration is optional but recommended for compute intensive jobs.

  1. SSH to login.discovery.neu.edu
  2. Request GPU partition
make req-gpu
  1. Load anaconda and cuda modules
module load anaconda3/2022.01
module load cuda/11.1
  1. Activate pytorch_env_training environment
source activate pytorch_env_training

Installation

make init

Execution

Demo Predictions

Load saved BASE model, load Numerai data, execute predictions. Predictions formatted for submission to Numerai and output to ./predictions.csv in project root.

# no GPU
make demo-base
# use GPU
make demo-base-gpu

Training walk through with EDA available in code_walkthrough.ipynb

Single Run Train Configuration

  1. Modify single run hyperparameters in single.yaml
  2. Run trainer with one of:
# no GPU
make single
# use GPU
make single-gpu
  1. View Tensorboard logs
make tb-logs

Weights and Biases Sweep Run Train Configuration

NOTE: Executing sweep runs requires an api key

  1. Modify sweep run hyperparameters in sweep.yaml
  2. Run trainer with on of:
# no GPU
make sweep
# use GPU
make sweep-gpu
  1. View sweep results at https://wandb.ai/cs7150-jn

Predictions From Model Checkpoint

Load saved model configs and weights to execute predictions. File paths are relative to project root. Run predictions with one of:

# no GPU
make predict ckpt=path/to/.ckpt hparams=path/to/.yaml
# use GPU
make predict-gpu ckpt=path/to/.ckpt hparams=path/to/.yaml

Submit Predictions to Numerai

NOTE: Submission requires api keys in local .env file

make submit model=(BASE|AEMLP|TMLP|CAE)

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Deep learning stock prediction in the Numerai challenge

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