Trading-Benchmark-Model
Collection
Models for portfolio construction
•
8 items
•
Updated
class GRUTransformerSimple(nn.Module):
def __init__(
self,
d_feat: int = 8,
hidden_size: int = 64,
num_layers: int = 1,
dropout: float = 0.0,
) -> None:
super().__init__()
self.transformer_encoder_layer = nn.TransformerEncoderLayer(
d_model=hidden_size,
nhead=4,
dim_feedforward=hidden_size * 4,
dropout=dropout,
activation="relu",
batch_first=False,
)
self.transformer_encoder = nn.TransformerEncoder(
self.transformer_encoder_layer, num_layers=num_layers
)
self.gru = nn.GRU(
input_size=d_feat,
hidden_size=hidden_size,
num_layers=num_layers,
batch_first=True,
dropout=dropout,
)
self.out = nn.Sequential(
nn.Linear(hidden_size, hidden_size), nn.GELU(), nn.Linear(hidden_size, 1)
)
def forward(self, x: torch.Tensor) -> torch.Tensor:
b, t, s, f = x.shape
x = x.permute(0, 2, 1, 3).reshape(b * s, t, f)
gru_out, _ = self.gru(x) # [b * s, t, h]
gru_out = gru_out.permute(1, 0, 2).contiguous() # [t, b * s, h]
tfm_out = self.transformer_encoder(gru_out) # [t, b * s, h]
tfm_out = tfm_out[-1].reshape(b, s, -1) # [b, s, h]
final_out = self.out(tfm_out).squeeze(-1) # [b, s]
return final_out
d_feat: 8
hidden_size: 64
num_layers: 1
dropout: 0.0