# pylint: disable=too-many-arguments """TCN Model""" __docformat__ = "numpy" import logging import warnings from typing import List, Optional, Tuple, Union import pandas as pd from darts import TimeSeries from darts.models import TCNModel from openbb_terminal.core.session.current_user import get_current_user from openbb_terminal.decorators import log_start_end from openbb_terminal.forecast import helpers logger = logging.getLogger(__name__) @log_start_end(log=logger) def get_tcn_data( data: Union[pd.Series, pd.DataFrame], target_column: str = "close", n_predict: int = 5, past_covariates: Optional[str] = None, train_split: float = 0.85, forecast_horizon: int = 5, input_chunk_length: int = 14, output_chunk_length: int = 5, dropout: float = 0.1, num_filters: int = 3, weight_norm: bool = True, dilation_base: int = 2, n_epochs: int = 300, learning_rate: float = 1e-3, batch_size: int = 32, model_save_name: str = "tcn_model", force_reset: bool = True, save_checkpoints: bool = True, metric: str = "mape", ) -> Tuple[ List[Optional[TimeSeries]], List[Optional[TimeSeries]], List[Optional[TimeSeries]], Optional[float], Optional[type[TCNModel]], ]: """Perform TCN forecasting Parameters ---------- data: Union[pd.Series, pd.DataFrame] Input Data target_column: str Target column to forecast. Defaults to "close". n_predict: int Days to predict. Defaults to 5. train_split: float Train/val split. Defaults to 0.85. past_covariates: str Multiple secondary columns to factor in when forecasting. Defaults to None. forecast_horizon: int Forecast horizon when performing historical forecasting. Defaults to 5. input_chunk_length: int Number of past time steps that are fed to the forecasting module at prediction time. Defaults to 14. output_chunk_length: int The length of the forecast of the model. Defaults to 5. dropout: float Fraction of neurons affected by Dropout. Defaults to 0.1. num_filters: int The number of filters in a convolutional layer of the TCN. Defaults to 6. weight_norm: bool Boolean value indicating whether to use weight normalization. Defaults to True. dilation_base: int The base of the exponent that will determine the dilation on every level. Defaults to 2. batch_size: int Number of time series (input and output sequences) used in each training pass. Defaults to 32. n_epochs: int Number of epochs over which to train the model. Defaults to 100. learning_rate: float Defaults to 1e-3. model_save_name: str Name for model. Defaults to "brnn_model". force_reset: bool If set to True, any previously-existing model with the same name will be reset (all checkpoints will be discarded). Defaults to True. save_checkpoints: bool Whether or not to automatically save the untrained model and checkpoints from training. Defaults to True. metric: str Metric to use for model selection. Defaults to "mape". Returns ------- Tuple[List[TimeSeries], List[TimeSeries], List[TimeSeries], Optional[float], type[TCNModel]] Adjusted Data series, Historical forecast by best RNN model, list of Predictions, Mean average precision error, Best TCN Model. """ # TODO Check if torch GPU AVAILABLE use_scalers = True probabilistic = False scaler, ticker_series = helpers.get_series( data, target_column, is_scaler=use_scalers ) train, val = ticker_series.split_before(train_split) valid = helpers.check_data_length( train, val, input_chunk_length, output_chunk_length ) if not valid: return [], [], [], None, None ( past_covariate_whole, past_covariate_train, past_covariate_val, ) = helpers.past_covs(past_covariates, data, train_split, use_scalers) current_user = get_current_user() tcn_model = TCNModel( input_chunk_length=input_chunk_length, output_chunk_length=output_chunk_length, dropout=dropout, dilation_base=dilation_base, weight_norm=weight_norm, num_filters=num_filters, n_epochs=n_epochs, nr_epochs_val_period=1, batch_size=batch_size, optimizer_kwargs={"lr": learning_rate}, model_name=model_save_name, force_reset=force_reset, save_checkpoints=save_checkpoints, random_state=42, pl_trainer_kwargs=helpers.get_pl_kwargs(accelerator="cpu"), log_tensorboard=True, work_dir=current_user.preferences.USER_FORECAST_MODELS_DIRECTORY, ) # fit model on train series for historical forecasting with warnings.catch_warnings(): warnings.simplefilter("ignore") helpers.fit_model( tcn_model, train, val, past_covariate_train, past_covariate_val, ) best_model = TCNModel.load_from_checkpoint( model_name=model_save_name, best=True, work_dir=current_user.preferences.USER_FORECAST_MODELS_DIRECTORY, ) helpers.print_tensorboard_logs( model_save_name, str(current_user.preferences.USER_FORECAST_MODELS_DIRECTORY) ) # Showing historical backtesting without retraining model (too slow) return helpers.get_prediction( "TCN", probabilistic, use_scalers, scaler, past_covariates, best_model, ticker_series, past_covariate_whole, train_split, forecast_horizon, n_predict, metric, )