function pinball(ŷ, y, τ)
    r = ŷ .- y
    ρ = τ .* max.(r, 0) .+ (τ - 1) .* min.(r, 0)
    return mean(ρ)
end

train(...; 
    loss_types=[:mse, :r2, (pinball, (0.1)],
    training_loss=(pinball, (0.1)),
)

function pinball(ŷ, y; τ=0.2)
    r = ŷ .- y
    ρ = τ .* max.(r, 0) .+ (τ - 1) .* min.(r, 0)
    return mean(ρ)
end

train(...; 
    loss_types=[:mse, :r2, (pinball, (τ=0.2,)],
    training_loss=(pinball, (τ=0.2,)),
)