Numerai tournament example scripts using NN and optuna

Related tags

Deep Learning numerai_NN_example
Overview

numerai_NN_example

Numerai tournament example scripts using pytorch NN, lightGBM and optuna

https://numer.ai/tournament

Performance of my model based on this example

numerai model page

Features

  • era-boosted train, time-series cross-validation
  • era-batches training
  • model hyperparameter tuning on pytorch NN and GBDT model
  • several tips on Numerai Forum are also included

Prerequisites

python3
gpu environment for pytorch # if you use pytorch NN model
virtualenv

Get this code and build environment

git clone https://github.com/meaten/numerai_NN_example.git
cd numerai_NN_example
mkdir env
virtualenv env -p python3
source env/bin/activate
pip install -r requirements.txt

Quick demo

train model by era-boosted training. you can choose other config files also.

python src/main.py --config_file config/mlp.yml --gpu GPU_ID

test model for diagnostic.

python src/main.py --config_file config/mlp.yml --mode test --gpu GPU_ID

inference & submit.
Please specify follows.

  • pairs of your model name and config file in src/main.py.
  • Numerai API user id and secret key in src/default_param.py
python src/main.py --mode submit --gpu GPU_ID

tune model hyperparameter by optuna To train with tuned parameters, add LOAD_TUNED: True to the config file.

python src/main.py --config_file config/mlp.yml --mode tune --gpu GPU_ID

LICENCE

MIT

FEEDBACK

Please send me the bug report or wanted features on GitHub Issue or Numerai Forum.

SUPPORT

If you find this repository helpful and feel generous, Please send NMR to my wallet address below.

0x0000000000000000000000000000000000025769

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Comments
  • Example Line from readme.md fails

    Example Line from readme.md fails

    After forking/cloning with no additional work

    (numerai) gbrecht@pop-os:~/github/numerai_NN_example$ python src/main.py --config_file config/mlp.yml --gpu 0 Traceback (most recent call last): File "src/main.py", line 679, in main() File "src/main.py", line 662, in main cfg = load_config(args) File "/home/gbrecht/github/numerai_NN_example/src/utils.py", line 53, in load_config from default_param import _C as cfg File "/home/gbrecht/github/numerai_NN_example/src/default_param.py", line 67, in _C.SOLVER.AUG = None File "/home/gbrecht/miniconda3/envs/numerai/lib/python3.8/site-packages/yacs/config.py", line 155, in setattr _assert_with_logging( File "/home/gbrecht/miniconda3/envs/numerai/lib/python3.8/site-packages/yacs/config.py", line 521, in _assert_with_logging assert cond, msg AssertionError: Invalid type <class 'NoneType'> for key AUG; valid types = {<class 'list'>, <class 'tuple'>, <class 'int'>, <class 'bool'>, <class 'str'>, <class 'float'>}

    opened by simpsus 2
Owner
Takahiro Maeda
Machine Learning Researcher at TTI-J
Takahiro Maeda
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