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Time series model evaluation

Train and Test

Get Dataset

we can use the read_data function to get the raw data, and then use data_transform function to normalize and de normalize the raw data

Example：

# read raw data
data, data_len = read_data(file_path, gold_path, dim_type, use_percentage)

# split the dataset into train set and test set
train_set, test_set = data[train_index], data[test_index]

# normalize the dataset
train_set, scalerstrain =data_trasform(train_set)

Create Model

we can use the create_model to get the already defined model。

create_model(model_name, n_features, n_steps_in, n_steps_out)

  • model_name：the already defined model name , such as LSTM, BD-LSTM, etc.
  • n_features：the model will used the number of the dataset features. Features include maximum price, minimum price, opening price, closing price, trading volume, and added gold price.
  • n_steps_in，n_steps_out：the model in and the model out size.

Example:

model_name='LSTM'
n_featues='Multi'
n_steps_in = 5 
n_steps_out = 2 

myModel = create_model(model_name, n_features, n_steps_in, n_steps_out)

Train and Test

we use the train_and_forecast function to train the model and predict the result.

Example：

train_result, test_result = train_and_forecast(myModel, n_features, dim_type, train_set, test_set, n_steps_in,n_steps_out, epochs)

Evaluation

We calculate RMSE and MAPE indicators based on the model prediction results to analyze the performance of the model.

we use the eval_result(result, n_steps_out, groud_truth, mode) function to calc the RMSE and MAPE.

  • result：the model prediction results.
  • n_steps_out：the model output size
  • ground_truth：the ground truth
  • mode：choose the evaluation method, RMSE or MAPE.

Example:

  • We can choose to calculate evaluation metrics for normalized data
train_minmax_rmse = eval_result(train_result, n_steps_out, train, 0)
test_minmax_rmse = eval_result(test_result, n_steps_out, test, 0)
  • Similarly, we can also choose to normalize the predicted results before calculating the relevant indicators.

Results summary

In this part, we will integrate the result data including the training and testing results during the 30 rounds experiments. We will calculate the RMSE and MAPE index from the above results data, and then plots Corresponding figures.

The results data formate for input is excel.File Content main include RMSE or MAPE index about all models during training and testing. The summary and draw corresponding figures functioins are integrated into a draw.py python module,so we can import this module to gets the results quickly.

Example:

from draw import Draw
file_path=r'Bitcoin_Multivariate_Mape.xlsx'
draw=Draw(file_path)
draw.start()

Results Summary

We provide the Draw.start() api to finish all the operations and get all results.Meanwhile, we also provide some extra apis for you to calculate intermediate results for analyse step by step.

We provide Draw.get_confidence_interval() function for you to get the confidence interval from the origin input.

Example:

from draw import Draw
file_path=r'Bitcoin_Multivariate_Mape.xlsx'
draw=Draw(file_path)
draw.get_confidence_interval()

the calculated results will be saved in csv format by default.

Draw

In this part, we will visualize the confidence interval results by plotting corresponding figures.

We provide an independent API(draw1() and draw2())for you to draw corresponding images.

from draw import Draw
file_path=r'Bitcoin_Multivariate_Mape.xlsx'
draw=Draw(file_path)
draw.draw1()

draw.draw2()

In the draw.py module, we can set the bar_colors parameter to custom display color range.

Select experiment

We put the codes for experiments 1 and 2 into different python files. Experiments 1 and 2 used different datasets respectively. If you want to do experiment 1, please choose main.py, for experiment 2, please choose Main2.py.

Publication

  • Wu, J., Zhang, X., Huang, F., Zhou, H., & Chandra, R. (2024). Review of deep learning models for crypto price prediction: implementation and evaluation. arXiv preprint arXiv:2405.11431: https://arxiv.org/abs/2405.11431

Seminar