# pylint: disable=too-many-arguments """Transformer Model""" __docformat__ = "numpy" import logging import warnings from typing import Tuple, Union, List, Optional import pandas as pd from darts import TimeSeries from darts.models import TransformerModel 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_trans_data( data: Union[pd.Series, pd.DataFrame], target_column: str = "close", n_predict: int = 5, train_split: float = 0.85, past_covariates: str = None, forecast_horizon: int = 5, input_chunk_length: int = 14, output_chunk_length: int = 5, d_model: int = 64, nhead: int = 4, num_encoder_layers: int = 3, num_decoder_layers: int = 3, dim_feedforward: int = 512, activation: str = "relu", dropout: float = 0.0, batch_size: int = 32, n_epochs: int = 300, learning_rate: float = 1e-3, model_save_name: str = "trans_model", force_reset: bool = True, save_checkpoints: bool = True, ) -> Tuple[ Optional[List[TimeSeries]], Optional[List[TimeSeries]], Optional[List[TimeSeries]], Optional[float], Optional[type[TransformerModel]], ]: """Performs Transformer forecasting Parameters ---------- data: Union[pd.Series, pd.DataFrame] Input Data n_predict: int Days to predict. Defaults to 5. target_column: str Target column to forecast. Defaults to "close". 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. d_model: int The number of expected features in the encoder/decoder inputs. Defaults to 64. nhead: int The number of heads in the multi-head attention mechanism. Defaults to 4. num_encoder_layers: int The number of encoder layers in the encoder. Defaults to 3. num_decoder_layers: int The number of decoder layers in the encoder. Defaults to 3. dim_feedforward: int The dimension of the feedforward network model. Defaults to 512. activation: str The activation function of encoder/decoder intermediate layer, ‘relu’ or ‘gelu’. Defaults to 'relu'. dropout: float Fraction of neurons afected by Dropout. Defaults to 0.0. 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. Returns ------- Tuple[List[TimeSeries], List[TimeSeries], List[TimeSeries], Optional[float], type[TransformerModel]] Adjusted Data series, Historical forecast by best RNN model, list of Predictions, Mean average precision error, Best transformer 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) trans_model = TransformerModel( input_chunk_length=input_chunk_length, output_chunk_length=output_chunk_length, d_model=d_model, nhead=nhead, num_encoder_layers=num_encoder_layers, num_decoder_layers=num_decoder_layers, dim_feedforward=dim_feedforward, activation=activation, dropout=dropout, batch_size=batch_size, n_epochs=n_epochs, optimizer_kwargs={"lr": learning_rate}, model_name=model_save_name, random_state=42, pl_trainer_kwargs=helpers.get_pl_kwargs(accelerator="cpu"), force_reset=force_reset, save_checkpoints=save_checkpoints, ) # fit model on train series for historical forecasting with warnings.catch_warnings(): warnings.simplefilter("ignore") helpers.fit_model( trans_model, train, val, past_covariate_train, past_covariate_val, ) best_model = TransformerModel.load_from_checkpoint( model_name=model_save_name, best=True ) # Showing historical backtesting without retraining model (too slow) return helpers.get_prediction( "Transformer", probabilistic, use_scalers, scaler, past_covariates, best_model, ticker_series, past_covariate_whole, train_split, forecast_horizon, n_predict, )