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[FEAT] StatsForecast RandomWalkWithDrift forecasting model #3339

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merged 12 commits into from
Nov 13, 2022

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AzulGarza
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@AzulGarza AzulGarza commented Nov 8, 2022

Description

This PR includes a new model for the forecast module. Random Walk with Drift is a variation of the naive method that allows the forecasts to change over time. The amount of change, called drift, is the average change seen in the historical data. Here's a reference for the model. Commonly used as a benchmark. Since StatsForecast is already included in the dependencies, it wasn't necessary to include it.

Here's a working example,

image

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@DidierRLopes DidierRLopes added the feat S Small T-Shirt size Feature label Nov 8, 2022
openbb_terminal/forecast/rwd_model.py Outdated Show resolved Hide resolved
@martinb-ai martinb-ai merged commit a790cbc into OpenBB-finance:main Nov 13, 2022
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4 participants