Improve the Guess of Window Length for Moving Average Trends #238

pyaf/TS/DateTime_Functions.py

@@ -106,7 +106,7 @@ def guess_time_resolution(self, iEstimTime):
         return eTimeResolution.YEAR;
 
 
-    def get_lags_for_time_resolution(self):
+    def get_lags_for_time_resolution(self, iResolution):
         # self.mOptions.mMaxAROrder is set to 64 by default, Which covers all these resolutions.
         if(not self.isPhysicalTime()):
             return None;
@@ -116,7 +116,17 @@ def get_lags_for_time_resolution(self):
         lARORder[eTimeResolution.HOUR] = 24
         lARORder[eTimeResolution.DAY] = 31
         lARORder[eTimeResolution.MONTH] = 12
-        return lARORder.get(self.mResolution , None)
+        return lARORder.get(iResolution , None)
+
+    def get_moving_window_lengths_for_time_resolution(self, iResolution):
+        # self.mOptions.mMovingAverageLengths self.mOptions.mMovingMedianLengths 
+        lWindows = {}
+        lWindows[eTimeResolution.SECOND] = [60] # Minute
+        lWindows[eTimeResolution.MINUTE] = [60] # Hour
+        lWindows[eTimeResolution.HOUR] = [12, 24] # Half-Day, Day
+        lWindows[eTimeResolution.DAY] = [5, 7, 30] # Business Week, Week, Month
+        lWindows[eTimeResolution.MONTH] = [3, 6, 12] # 3, 6 and 12 months
+        return lWindows.get(iResolution , [])
 
 
     def adaptTimeDeltaToTimeResolution(self, iResolution, iTimeDelta):

pyaf/TS/Options.py

@@ -223,6 +223,7 @@ def __init__(self):
         self.mPytorch_Options = None
         self.mKeras_Options = None
         self.mVotingMethod = "Condorcet" # Or None for Legacy Method (backward compatibility with PyAF 4.0). 
+        self.mMovingWindowLengths = None # [5, 7, 12, 24 , 30, 60];
         self.disableDebuggingOptions();
 
     def disableDebuggingOptions(self):
@@ -236,8 +237,6 @@ def disableDebuggingOptions(self):
     def enable_slow_mode(self):
         self.set_active_models_for_slow_mode()
         self.mQuantiles = [5, 10, 20]; # quintiles, deciles, and vingtiles;)
-        self.mMovingAverageLengths = [5, 7, 12, 24 , 30, 60];
-        self.mMovingMedianLengths = [5, 7, 12, 24 , 30, 60];
         # PyAF does not detect complex seasonal patterns #73.
         # use unlimited cycle lengths in slow mode
         self.mCycleLengths = None;
@@ -252,8 +251,6 @@ def enable_slow_mode(self):
     def enable_fast_mode(self):
         self.set_active_models_for_fast_mode()
         self.mQuantiles = [5, 10, 20]; # quintiles, deciles, and vingtiles;)
-        self.mMovingAverageLengths = [5, 7, 12, 24 , 30, 60];
-        self.mMovingMedianLengths = [5, 7, 12, 24 , 30, 60];
 
         self.mCycleLengths = [5, 7, 12, 24 , 30, 60];
 

pyaf/TS/SignalDecomposition_Trend.py

@@ -138,10 +138,10 @@ def __init__(self, iWindow):
         self.mWindow = iWindow;
         self.mFormula = self.mOutName;
         self.mComplexity = tscomplex.eModelComplexity.Medium;
-
-    def fit_specific(self):
         self.mOutName = self.mOutName + "(" + str(self.mWindow) + ")";
         self.mFormula = self.mOutName;
+
+    def fit_specific(self):
         self.mMean = self.mSplit.getEstimPart(self.mTrendFrame)[self.mSignal].mean()
 
 
@@ -161,10 +161,10 @@ def __init__(self, iWindow):
         self.mWindow = iWindow;
         self.mFormula = self.mOutName;
         self.mComplexity = tscomplex.eModelComplexity.High;
-
-    def fit_specific(self):
         self.mOutName = self.mOutName + "(" + str(self.mWindow) + ")";
         self.mFormula = self.mOutName;
+
+    def fit_specific(self):
         self.mMean = self.mSplit.getEstimPart(self.mTrendFrame)[self.mSignal].mean()
 
 
@@ -264,22 +264,22 @@ def defineTrends(self):
 
         if(N > 2 and self.mOptions.mActiveTrends['PolyTrend']):
             self.mTrendList = self.mTrendList + [cPolyTrend()]
-
+
+        lWindows = self.mTimeInfo.get_moving_window_lengths_for_time_resolution()
         if(N > 2 and self.mOptions.mActiveTrends['MovingAverage']):
-            for i in self.mOptions.mMovingAverageLengths:
-                if(self.needMovingTrend(self.mSignalFrame , i)):
-                    self.mTrendList = self.mTrendList + [cMovingAverageTrend(i)]
+            for lLength in lWindows:
+                if(self.needMovingTrend(self.mSignalFrame , lLength)):
+                    self.mTrendList = self.mTrendList + [cMovingAverageTrend(lLength)]
 
         if(N > 2 and self.mOptions.mActiveTrends['MovingMedian']):
-            for i in self.mOptions.mMovingMedianLengths:
-                if(self.needMovingTrend(self.mSignalFrame , i)):
-                    self.mTrendList = self.mTrendList + [cMovingMedianTrend(i)]
+            for lLength in lWindows:
+                if(self.needMovingTrend(self.mSignalFrame , lLength)):
+                    self.mTrendList = self.mTrendList + [cMovingMedianTrend(lLength)]
         if(len(self.mTrendList) == 0):
             self.mTrendList = [cConstantTrend()];
 
-        # logger = tsutil.get_pyaf_logger();
-        # logger.info("ACTIVE_TRENDS" + str(self.mOptions.mActiveTrends));
-        # logger.info("TRENDS" + str([tr.mOutName for tr in self.mTrendList]));
+        # tsutil.print_pyaf_detailed_info("ACTIVE_TRENDS" + str(self.mOptions.mActiveTrends));
+        # tsutil.print_pyaf_detailed_info("TRENDS" + str([tr.mOutName for tr in self.mTrendList]));
 
 
 

pyaf/TS/Time.py

@@ -91,6 +91,14 @@ def isPhysicalTime(self):
         lHelper = dtfunc.cDateTime_Helper()
         return lHelper.isPhysicalTime(self.mSignalFrame[self.mTime])
 
+    def get_moving_window_lengths_for_time_resolution(self):
+        if(not self.isPhysicalTime()):
+            return self.mOptions.mMovingWindowLengths or [];
+        if(self.mOptions.mMovingWindowLengths is not None):
+            return self.mOptions.mMovingWindowLengths            
+        lHelper = dtfunc.cDateTime_Helper()
+        return lHelper.get_moving_window_lengths_for_time_resolution(self.mResolution)
+
 
     def analyzeSeasonals(self):
         if(not self.isPhysicalTime()):