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---------

Co-authored-by: andrewkenreich <andrew.kenreich@gmail.com>
Co-authored-by: tehcoderer <me@tehcoderer.com>
2023-09-29 11:49:05 +02:00

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title, description
title description
autoselect OpenBB Terminal Function

autoselect

Perform Automatic Statistical Forecast (select best statistical model from AutoARIMA, AutoETS, AutoCES, MSTL, ...)

Usage

autoselect [--naive] [-d {}] [-c TARGET_COLUMN] [-n N_DAYS] [-s {N,A,M}] [-p SEASONAL_PERIODS] [-w START_WINDOW] [--end S_END_DATE] [--start S_START_DATE] [--residuals] [--forecast-only] [--export-pred-raw]

Parameters

Name Description Default Optional Choices
naive Show the naive baseline for a model. False True None
target_dataset The name of the dataset you want to select None True None
target_column The name of the specific column you want to use close True None
n_days prediction days. 5 True None
seasonal Seasonality: N: None, A: Additive, M: Multiplicative. A True N, A, M
seasonal_periods Seasonal periods: 4: Quarterly, 7: Daily 7 True None
start_window Start point for rolling training and forecast window. 0.0-1.0 0.85 True None
s_end_date The end date (format YYYY-MM-DD) to select for testing None True None
s_start_date The start date (format YYYY-MM-DD) to select for testing None True None
residuals Show the residuals for the model. False True None
forecast_only Do not plot the historical data without forecasts. False True None
export_pred_raw Export predictions to a csv file. False True None

Examples

2022 Nov 09, 15:23 (🦋) /forecast/ $ load AAPL

2022 Nov 09, 15:24 (🦋) /forecast/ $ autoselect AAPL

Cross Validation Time Series 1: 100%|█████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████| 115/115 [00:4700:00,  2.40it/s]
Forecast: 100%|███████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████████| 1/1 [00:0100:00,  1.80s/it]


  Performance per model.  
   Best model: AutoETS    
┏━━━━━━━━━━━━━━━┳━━━━━━━━┓
┃ Model         ┃ MAPE   ┃
┡━━━━━━━━━━━━━━━╇━━━━━━━━┩
│ AutoETS       │ 2.91%  │
├───────────────┼────────┤
│ AutoARIMA     │ 2.93%  │
├───────────────┼────────┤
│ RWD           │ 3.04%  │
├───────────────┼────────┤
│ AutoCES       │ 3.15%  │
├───────────────┼────────┤
│ MSTL          │ 3.40%  │
├───────────────┼────────┤
│ SeasonalNaive │ 4.32%  │
├───────────────┼────────┤
│ SeasWA        │ 8.06%  │
└───────────────┴────────┘

   Actual price: 139.50    
┏━━━━━━━━━━━━┳━━━━━━━━━━━━┓
┃ Datetime   ┃ Prediction ┃
┡━━━━━━━━━━━━╇━━━━━━━━━━━━┩
│ 2022-11-09 │ 139.47     │
├────────────┼────────────┤
│ 2022-11-10 │ 139.47     │
├────────────┼────────────┤
│ 2022-11-11 │ 139.47     │
├────────────┼────────────┤
│ 2022-11-14 │ 139.47     │
├────────────┼────────────┤
│ 2022-11-15 │ 139.47     │
└────────────┴────────────┘