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2022-11-22 16:47:03 +00:00

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nbeats OpenBB SDK Function

import Tabs from '@theme/Tabs'; import TabItem from '@theme/TabItem';

nbeats

Perform NBEATS Forecasting

Source Code: [link]

openbb.forecast.nbeats(data: Union[pd.Series, pd.DataFrame], target_column: str = "close", n_predict: int = 5, past_covariates: str = None, train_split: float = 0.85, forecast_horizon: int = 5, input_chunk_length: int = 14, output_chunk_length: int = 5, num_stacks: int = 10, num_blocks: int = 3, num_layers: int = 4, layer_widths: int = 512, batch_size: int = 800, n_epochs: int = 100, learning_rate: float = 0.001, model_save_name: str = "nbeats_model", force_reset: bool = True, save_checkpoints: bool = True)

Parameters

Name Type Description Default Optional
data Union[pd.Series, pd.DataFrame] Input Data None False
target_column str Target column to forecast. Defaults to "close". close True
n_predict int Days to predict. Defaults to 5. 5 True
train_split float Train/val split. Defaults to 0.85. 0.85 True
past_covariates str Multiple secondary columns to factor in when forecasting. Defaults to None. None True
forecast_horizon int Forecast horizon when performing historical forecasting. Defaults to 5. 5 True
input_chunk_length int Number of past time steps that are fed to the forecasting module at prediction time. Defaults to 14. 14 True
output_chunk_length int The length of the forecast of the model. Defaults to 5. 5 True
num_stacks int The number of stacks that make up the whole model. Defaults to 10. 10 True
num_blocks int The number of blocks making up every stack. Defaults to 3. 3 True
num_layers int The number of fully connected layers preceding the final forking layers in each block
of every stack. Defaults to 4.
4 True
layer_widths int Determines the number of neurons that make up each fully connected layer in each block
of every stack. Defaults to 512.
512 True
batch_size int Number of time series (input and output sequences) used in each training pass. Defaults to 32. 800 True
n_epochs int Number of epochs over which to train the model. Defaults to 100. 100 True
learning_rate float Defaults to 1e-3. 0.001 True
model_save_name str Name for model. Defaults to "brnn_model". nbeats_model True
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.
True True
save_checkpoints bool Whether or not to automatically save the untrained model and checkpoints from training.
Defaults to True.
True True

Returns

Type Description
Tuple[List[TimeSeries], List[TimeSeries], List[TimeSeries], Optional[float], type[NBEATSModel]] Adjusted Data series,
Historical forecast by best RNN model,
list of Predictions,
Mean average precision error,
Best NBEATS Model.

Display NBEATS forecast

Source Code: [link]

openbb.forecast.nbeats_chart(data: Union[pd.DataFrame, pd.Series], target_column: str = "close", dataset_name: str = "", n_predict: int = 5, past_covariates: str = None, train_split: float = 0.85, forecast_horizon: int = 5, input_chunk_length: int = 14, output_chunk_length: int = 5, num_stacks: int = 10, num_blocks: int = 3, num_layers: int = 4, layer_widths: int = 512, n_epochs: int = 100, learning_rate: float = 0.001, batch_size: int = 800, model_save_name: str = "nbeats_model", force_reset: bool = True, save_checkpoints: bool = True, export: str = "", residuals: bool = False, forecast_only: bool = False, start_date: Optional[datetime.datetime] = None, end_date: Optional[datetime.datetime] = None, naive: bool = False, export_pred_raw: bool = False, external_axes: Optional[List[axes]] = None)

Parameters

Name Type Description Default Optional
data Union[pd.Series, pd.DataFrame] Input Data None False
target_column str Target column to forecast. Defaults to "close". close True
dataset_name str The name of the ticker to be predicted True
n_predict int Days to predict. Defaults to 5. 5 True
train_split float Train/val split. Defaults to 0.85. 0.85 True
past_covariates str Multiple secondary columns to factor in when forecasting. Defaults to None. None True
forecast_horizon int Forecast horizon when performing historical forecasting. Defaults to 5. 5 True
input_chunk_length int Number of past time steps that are fed to the forecasting module at prediction time. Defaults to 14. 14 True
output_chunk_length int The length of the forecast of the model. Defaults to 5. 5 True
num_stacks int The number of stacks that make up the whole model. Defaults to 10. 10 True
num_blocks int The number of blocks making up every stack. Defaults to 3. 3 True
num_layers int The number of fully connected layers preceding the final forking layers in each block
of every stack. Defaults to 4.
4 True
layer_widths int Determines the number of neurons that make up each fully connected layer in each block
of every stack. Defaults to 512.
512 True
batch_size int Number of time series (input and output sequences) used in each training pass. Defaults
to 32.
800 True
n_epochs int Number of epochs over which to train the model. Defaults to 100. 100 True
learning_rate float Defaults to 1e-3. 0.001 True
model_save_name str Name for model. Defaults to "brnn_model". nbeats_model True
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.
True True
save_checkpoints bool Whether or not to automatically save the untrained model and checkpoints from training.
Defaults to True.
True True
export str Format to export data True
residuals bool Whether to show residuals for the model. Defaults to False. False True
forecast_only bool Whether to only show dates in the forecasting range. Defaults to False. False True
start_date Optional[datetime] The starting date to perform analysis, data before this is trimmed. Defaults to None. None True
end_date Optional[datetime] The ending date to perform analysis, data after this is trimmed. Defaults to None. None True
naive bool Whether to show the naive baseline. This just assumes the closing price will be the same
as the previous day's closing price. Defaults to False.
False True
external_axes Optional[List[plt.axes]] External axes to plot on None True

Returns

This function does not return anything