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_faster_residual_aggressive_ensemble2128.0414yes82.4timemachines
tsa_balanced_d0_ensemble2080.012yes2594.0statsmodels , timemachines
tsa_p1_d0_q12076.0172yes335.2statsmodels , timemachines
elo_faster_residual_precision_ensemble2066.0390yes99.2timemachines
elo_faster_univariate_precision_ensemble2046.0345yes0.6timemachines
tsa_p3_d0_q02024.0141yes66.8statsmodels , timemachines
tsa_slowly_hypocratic_d0_ensemble2020.039yes155.9statsmodels , timemachines
tsa_quickly_hypocratic_d0_ensemble2015.027yes210.2statsmodels , timemachines
bats_damped_bc1977.012no753.1tbats , timemachines
elo_fastest_residual_precision_ensemble1976.0824yes1.3timemachines
tsa_p2_d0_q11971.0113yes67.9statsmodels , timemachines
thinking_slow_and_fast1950.0586yes0.1timemachines
elo_fastest_residual_balanced_ensemble1942.0603yes1.0timemachines
elo_faster_univariate_balanced_ensemble1938.0426yes1.2timemachines
bats_trendy_arma_bc1936.010yes2424.1tbats , timemachines
tsa_p2_d0_q01928.0275yes77.4statsmodels , timemachines
slowly_moving_average1907.0879yes0.0timemachines
slow_precision_ema_ensemble1904.0560yes0.2timemachines
tsa_precision_d0_ensemble1900.012yes172.2statsmodels , timemachines
bats_damped_arma1900.06yes1446.9tbats , timemachines
elo_faster_univariate_aggressive_ensemble1900.0497yes1.2timemachines
tsa_p1_d0_q01891.0384yes21.5statsmodels , timemachines
tsa_p3_d0_q11880.0102yes179.9statsmodels , timemachines
tsa_aggressive_d0_ensemble1875.017yes160.6statsmodels , timemachines
bats_damped_arma_bc1856.05no1325.4tbats , timemachines
elo_faster_residual_balanced_ensemble1854.0824yes96.8timemachines
thinking_slow_and_slow1845.0708yes0.2timemachines
thinking_fast_and_slow1844.0713yes0.1timemachines
tsa_precision_combined_ensemble1842.011yes196.4statsmodels , timemachines
bats_trendy_bc1840.013yes1634.7tbats , timemachines
slow_balanced_ema_ensemble1827.0766yes0.2timemachines
elo_fastest_univariate_balanced_ensemble1823.0643yes1.0timemachines
divine_univariate_hypocratic_slow1809.0118yes117.7divinity , timemachines
elo_fastest_univariate_precision_ensemble1792.0512yes1.2timemachines
divine_univariate_hypocratic_fast1770.0106yes250.7divinity , timemachines
bats_damped1764.06yes1211.0tbats , timemachines
precision_ema_ensemble1761.0659yes0.1timemachines
sluggish_moving_average1751.01016yes0.0timemachines
sk_autoarima1742.051yes69.5sktime , timemachines
rvr_slowly_hypocratic1741.0282no0.2river , timemachines
bats_bc1740.07yes996.4tbats , timemachines
balanced_ema_ensemble1739.0615yes0.2timemachines
pmd_exogenous_hypocratic1737.0552yes23.2pmdarima , timemachines
divine_univariate1726.0153yes65.5divinity , timemachines
tsa_balanced_combined_ensemble1722.09yes4722.7statsmodels , timemachines
pmd_univariate1713.0442yes5.9pmdarima , timemachines
dlm_univariate_a1709.072no-1.0pydlm , timemachines
bats_trendy_arma1704.010yes1254.8tbats , timemachines
sk_ae_add_damped1696.0581yes10.0sktime , timemachines
elo_fastest_univariate_aggressive_ensemble1695.0482yes1.3timemachines
quick_precision_ema_ensemble1689.0581yes0.2timemachines
bats_trendy1678.012yes890.5tbats , timemachines
elo_fastest_residual_aggressive_ensemble1674.0832yes0.9timemachines
aggressive_ema_ensemble1656.0646yes0.1timemachines
rvr_quickly_hypocratic1653.0416no0.2river , timemachines
tsa_aggressive_combined_ensemble1651.08yes2231.0statsmodels , timemachines
darts_prophet1645.01yes131.3darts , timemachines
darts_autoarima1644.02yes103.4darts , timemachines
darts_arima1644.08yes49.4darts , timemachines
quick_aggressive_ema_ensemble1638.0960yes0.4timemachines
fbprophet_cautious1624.0147yes77.7prophet , timemachines
orbit_lgt_1216000yes-0.5orbit-ml , timemachines
orbit_lgt_2416000yes-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_damped16000no0.0sktime , timemachines
sk_ae_mul16000no-0.1sktime , timemachines
rvr_p3_d0_q016000no-1.0river , timemachines
rvr_aggressive_ensemble16000no-1.0river , timemachines
fbprophet_chaser16000no-1.0prophet , timemachines
darts_ExponentialSmoothing_skater16000no-1.0darts , timemachines
slow_aggressive_ema_ensemble1598.0820yes0.3timemachines
fbprophet_cautious_hypocratic1585.069yes89.9prophet , timemachines
sk_ae_add1575.0710yes11.2sktime , timemachines
fbprophet_exogenous1567.0132yes76.2prophet , timemachines
sk_ae1567.0440yes18.9sktime , timemachines
bats_arma_bc1566.07no1628.2tbats , timemachines
quick_balanced_ema_ensemble1560.0650yes0.9timemachines
fbprophet_univariate_hypocratic1558.0105yes184.2prophet , timemachines
tsa_aggressive_theta_ensemble1554.0534yes5.6statsmodels , timemachines
bats_arma1523.05yes2283.2tbats , timemachines
sk_theta1517.0635yes1.2sktime , timemachines
tsa_balanced_theta_ensemble1510.0665yes4.3statsmodels , timemachines
darts_fft1503.01yes70.5darts , timemachines
fbprophet_exogenous_hypocratic1500.093yes77.0prophet , timemachines
fbprophet_known1493.0132yes77.3prophet , timemachines
darts_exp_smoothing1487.02yes78.4darts , timemachines
bats_fast1483.016yes1567.9tbats , timemachines
fbprophet_univariate1454.0123yes76.6prophet , timemachines
fbprophet_recursive1444.0141yes86.9prophet , timemachines
tsa_precision_theta_ensemble1430.0536yes3.9statsmodels , timemachines
dlm_univariate_b1422.078no-1.0pydlm , timemachines
quickly_moving_average1414.01091yes0.0timemachines
thinking_fast_and_fast1412.0636yes0.2timemachines
rvr_balanced_ensemble1404.0379no0.2river , timemachines
rvr_p2_d0_q01319.0830no0.0river , timemachines
rapidly_moving_average1316.0679yes0.0timemachines
rvr_p8_d0_q01268.0342no0.0river , timemachines
rvr_p5_d0_q01240.0506no0.0river , timemachines
rvr_p1_d0_q01224.0361no0.0river , timemachines
nprophet_p1_hypocratic1198.0193yes73.6neuralprophet , timemachines
nprophet_p21182.0195yes97.2neuralprophet , timemachines
nprophet_p31153.0199yes29.8neuralprophet , timemachines
nprophet_p11094.0548yes92.3neuralprophet , timemachines
fbprophet_univariate_univariate_hypocratic1087.082yes245.9prophet , timemachines
nprophet_p81073.0159yes91.7neuralprophet , timemachines
smdk_p5_d0_q3_n500_aggressive1060.0126yes81.3simdkalman , timemachines
nprophet_p51059.0227yes73.7neuralprophet , timemachines
nprophet_p5_hypocratic1010.0169yes92.7neuralprophet , timemachines
empirical_last_value985.0589yes0.1timemachines
nprophet_p3_hypocratic978.0211yes136.4neuralprophet , timemachines
smdk_p5_d0_q3_n500974.0192yes61.3simdkalman , timemachines
nprophet_p8_hypocratic971.0160yes99.1neuralprophet , timemachines
smdk_p5_d0_q3_n1000_aggressive888.069yes53.2simdkalman , timemachines
fbprophet_exogenous_exogenous831.085yes229.3prophet , timemachines
smdk_p5_d0_q3_n1000758.094yes157.6simdkalman , timemachines
nprophet_p2_hypocratic700.0138yes142.4neuralprophet , timemachines