Leaderboards

fasterfastestoverallresidual-k_001residual-k_002residual-k_003residual-k_005residual-k_008residual-k_013residual-k_021residual-k_034univariate-k_001univariate-k_002univariate-k_003univariate-k_005univariate-k_008univariate-k_013univariate-k_021univariate-k_034

Accuracy and Speed of Some Short Term Automated Time-Series Forecasting Approaches (Python Packages only)

The Elo Ratings in this table are produced transparently in the repo timeseries-elo-ratings and based on k-step ahead prediction duels using live time series data. See METHODOLOGY.md for interpretation of Elo ratings. The table named univariate-k_002 refers to 2-step ahead prediction, and so forth. Residual leaderboards use so-called z-streams (as explained in An Introduction to Z-Streams).

There is some motivation in the blog post Fast Python Time-Series Forecasting. All algorithms utilized here can be called the same way using the TimeMachines Python package. However, as indicated in the table, some of these draw an important part of their functionality (if not all) from other packages such as Facebook Prophet, Statsmodels TSA, Flux, PmdArima, Uber Orbit and more. Take relative performance with with a grain of salt, since many packages don't intend completely autonomous use and some are aimed at longer term seasonal forecasts. If you have a suggestion for a package or technique that should be included, please file an issue or, even better, add a skater and make a pull request. There is a guide for contributors and a long list of popular time-series packages.

Some of these methods are used in real-time to provide free prediction to anyone who publishes public data using a community API explained at microprediction.com. See the example crawlers folder for examples of algorithms calling the timemachines package. See the knowledge center or contributor guide for instructions on publishing live data that can influence these ratings.

NameRatingGamesActiveSecondsDependencies
elo_fastest_univariate_balanced_ensemble1976.01390yes1.5timemachines
elo_faster_residual_precision_ensemble1971.01564yes75.5timemachines
quick_aggressive_ema_ensemble1939.03034yes0.1timemachines
elo_fastest_residual_aggressive_ensemble1930.01451yes1.1timemachines
sk_autoarima1886.0166yes205.5sktime , timemachines
bats_damped_arma1883.05no1781.1tbats , timemachines
tsa_aggressive_combined_ensemble1879.073yes142.0statsmodels , timemachines
tsa_p1_d0_q11875.0368yes82.2statsmodels , timemachines
quick_balanced_ema_ensemble1872.01493yes0.1timemachines
quickly_moving_average1865.01449yes0.0timemachines
slow_precision_ema_ensemble1841.01490yes0.1timemachines
aggressive_ema_ensemble1831.01643yes0.1timemachines
bats_damped_bc1826.044yes853.1tbats , timemachines
slow_balanced_ema_ensemble1823.01908yes0.2timemachines
sk_ae_add_damped1822.01665yes12.6sktime , timemachines
tsa_precision_d0_ensemble1816.055yes251.1statsmodels , timemachines
elo_faster_residual_aggressive_ensemble1808.01132yes14.5timemachines
bats_damped_arma_bc1807.014yes1157.2tbats , timemachines
tsa_p2_d0_q11804.0162yes78.4statsmodels , timemachines
elo_faster_univariate_aggressive_ensemble1802.01464yes6.4timemachines
tsa_slowly_hypocratic_d0_ensemble1796.071yes3256.9statsmodels , timemachines
quick_precision_ema_ensemble1788.01585yes0.2timemachines
precision_ema_ensemble1787.02234yes0.1timemachines
bats_arma1784.011yes779.2tbats , timemachines
elo_fastest_univariate_aggressive_ensemble1782.01552yes1.9timemachines
sk_theta1779.01581yes2.1sktime , timemachines
elo_faster_residual_balanced_ensemble1767.01343yes19.5timemachines
tsa_balanced_combined_ensemble1763.063yes263.4statsmodels , timemachines
tsa_precision_combined_ensemble1761.037yes604.5statsmodels , timemachines
elo_fastest_univariate_precision_ensemble1754.02456yes1.1timemachines
bats_bc1754.038yes705.4tbats , timemachines
tsa_aggressive_d0_ensemble1752.039yes336.0statsmodels , timemachines
bats_fast1749.016yes724.4tbats , timemachines
elo_faster_univariate_precision_ensemble1748.01617yes10.0timemachines
tsa_p3_d0_q11732.0161yes62.0statsmodels , timemachines
elo_fastest_residual_precision_ensemble1732.01908yes0.8timemachines
bats_damped1724.07yes1188.3tbats , timemachines
sk_ae1722.01831yes62.3sktime , timemachines
tsa_p2_d0_q01718.0491yes227.9statsmodels , timemachines
balanced_ema_ensemble1703.02161yes0.0timemachines
nprophet_p3_hypocratic1701.0554yes87.8neuralprophet , timemachines
tsa_balanced_d0_ensemble1687.012yes1991.1statsmodels , timemachines
sk_ae_add1685.02465yes20.1sktime , timemachines
smdk_p5_d0_q3_n500_aggressive1676.0974yes18.6simdkalman , timemachines
slow_aggressive_ema_ensemble1675.01419yes0.1timemachines
thinking_slow_and_fast1661.01385yes0.0timemachines
elo_faster_univariate_balanced_ensemble1651.01209yes5.5timemachines
elo_fastest_residual_balanced_ensemble1640.01413yes0.7timemachines
tsa_precision_theta_ensemble1640.01397yes5.4statsmodels , timemachines
bats_trendy_bc1635.024yes912.4tbats , timemachines
darts_autoarima1633.02yes267.9darts , timemachines
tsa_balanced_theta_ensemble1621.01357yes5.6statsmodels , timemachines
fbprophet_cautious1620.033yes77.5prophet , timemachines
thinking_fast_and_fast1617.01484yes0.1timemachines
pmd_exogenous_hypocratic1617.01125yes132.0pmdarima , timemachines
darts_arima1608.024yes74.4darts , timemachines
nprophet_p81605.0651yes75.0neuralprophet , timemachines
rvr_slowly_hypocratic1603.0789no0.2river , timemachines
orbit_lgt_2416000yes-0.4orbit-ml , timemachines
orbit_lgt_1216000yes-0.5orbit-ml , timemachines
darts_four_theta16000yes-0.2darts , timemachines
regress_change_on_first_known16000no-1.0timemachines
tsa_p1_d1_q016000no-1.0statsmodels , timemachines
tsa_p2_d1_q016000no-1.0statsmodels , timemachines
tsa_p3_d1_q016000no-1.0statsmodels , timemachines
sk_ae_mul_damped16000no-0.1sktime , timemachines
sk_ae_mul16000no-0.1sktime , timemachines
rvr_p3_d0_q016000no-1.0river , timemachines
rvr_aggressive_ensemble16000no-1.0river , timemachines
dlm_univariate_a16000no-1.0pydlm , timemachines
dlm_univariate_b16000no-1.0pydlm , timemachines
bats_arma_bc1599.09yes1411.2tbats , timemachines
divine_univariate1599.0108yes98.9divinity , timemachines
bats_trendy1597.054yes851.8tbats , timemachines
tsa_aggressive_theta_ensemble1595.02301yes7.6statsmodels , timemachines
fbprophet_cautious_hypocratic1594.026yes77.9prophet , timemachines
thinking_slow_and_slow1568.01496yes0.0timemachines
thinking_fast_and_slow1564.01454yes0.1timemachines
tsa_p1_d0_q01553.0934yes78.8statsmodels , timemachines
fbprophet_exogenous_hypocratic1551.027yes76.3prophet , timemachines
fbprophet_exogenous1550.045yes78.7prophet , timemachines
nprophet_p21550.0784yes107.0neuralprophet , timemachines
bats_trendy_arma1548.011yes1811.2tbats , timemachines
fbprophet_univariate_hypocratic1543.038yes75.9prophet , timemachines
fbprophet_recursive1529.025yes77.1prophet , timemachines
smdk_p5_d0_q3_n1000_aggressive1517.01090yes49.2simdkalman , timemachines
nprophet_p51516.0543yes91.8neuralprophet , timemachines
tsa_p3_d0_q01508.0743yes194.4statsmodels , timemachines
smdk_p5_d0_q3_n10001505.0678yes37.6simdkalman , timemachines
fbprophet_exogenous_exogenous1487.028yes228.9prophet , timemachines
nprophet_p31469.0557yes70.5neuralprophet , timemachines
fbprophet_univariate_univariate_hypocratic1462.031yes231.8prophet , timemachines
nprophet_p5_hypocratic1461.0784yes68.8neuralprophet , timemachines
nprophet_p11455.01436yes67.2neuralprophet , timemachines
rapidly_moving_average1454.01817yes0.0timemachines
divine_univariate_hypocratic_slow1444.0121yes60.6divinity , timemachines
darts_exp_smoothing1444.018yes83.5darts , timemachines
nprophet_p1_hypocratic1439.0705yes85.3neuralprophet , timemachines
bats_trendy_arma_bc1435.08yes4523.2tbats , timemachines
darts_fft1419.02yes46.1darts , timemachines
slowly_moving_average1417.01897yes0.0timemachines
tsa_quickly_hypocratic_d0_ensemble1399.081yes230.3statsmodels , timemachines
nprophet_p8_hypocratic1380.0427yes107.1neuralprophet , timemachines
rvr_balanced_ensemble1363.0962no0.2river , timemachines
sluggish_moving_average1345.01856yes0.0timemachines
fbprophet_univariate1345.030yes76.3prophet , timemachines
divine_univariate_hypocratic_fast1334.0100yes76.0divinity , timemachines
fbprophet_known1324.027yes76.2prophet , timemachines
rvr_quickly_hypocratic1300.0775no0.2river , timemachines
nprophet_p2_hypocratic1282.0598yes68.4neuralprophet , timemachines
smdk_p5_d0_q3_n5001270.01239yes24.7simdkalman , timemachines
rvr_p1_d0_q01204.01181no0.0river , timemachines
pmd_univariate1094.0992yes6.0pmdarima , timemachines
darts_prophet1094.013yes175.2darts , timemachines
rvr_p8_d0_q01069.0779no0.0river , timemachines
empirical_last_value1065.01137yes0.0timemachines
rvr_p2_d0_q01044.0911no0.0river , timemachines
rvr_p5_d0_q0793.0723no0.0river , timemachines