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Cross-asset alpha generation using a simplified Temporal Fusion Transformer in PyTorch. Models OHLCV data with technical indicators, predicts 5-day forward returns (up/down). Includes sequence dataset, attention-based LSTM, training/evaluation pipeline, and key metrics. Scalable for multi-asset and backtesting integration.
AruneemB/TFTs-LazyPredict-for-Cross-Asset-Alpha-Generation
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Cross-asset alpha generation using a simplified Temporal Fusion Transformer in PyTorch. Models OHLCV data with technical indicators, predicts 5-day forward returns (up/down). Includes sequence dataset, attention-based LSTM, training/evaluation pipeline, and key metrics. Scalable for multi-asset and backtesting integration.
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