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microprediction / timemachines

Predict time-series with one line of code.
https://www.microprediction.com/blog/popular-timeseries-packages
MIT License
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timemachines/timemachines/optimizers/requirements.txt #6

Closed druce closed 3 years ago

druce commented 3 years ago

add requirements.txt for optimizers

includes optimizers that are imported but not currently used by alloptimizers.py, e.g. fbprophet, hyperopt

locally I can install fbprophet with conda install fbprophet but not pip install fbprophet . but probably a local issue and in any event maybe not used

microprediction commented 3 years ago

Aside: I've also had trouble pip installing prophet although upgrading pip and installing pandas first seems to help.

druce commented 3 years ago

very cool stuff!

this is my mad science project, so trying a few more optimizers was very helpful https://github.com/druce/swr/blob/master/optimize.ipynb

basically the idea is optimize safe withdrawal … write a function that takes a stock/bond allocation, and a couple of withdrawal rates, evaluates how it would do historically (or Monte Carlo) using CRRA certainty equivalent cash flows (real cash flows discounted for volatility). gives reasonable answers, historically works a little better than Bengen '4% rule'. i.e. can spend more without running out if you tolerate a little variability. for simple rules gradient-based Powell or L-BFGS-B works too. Anyway will blog about it sometime!

will follow your stuff with interest!

On Mon, Feb 8, 2021 at 9:06 AM Peter Cotton notifications@github.com wrote:

Merged #6 https://github.com/microprediction/timemachines/pull/6 into main.

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microprediction commented 3 years ago

Very cool. If you want we could include it as one of the objectives - always looking for real-world objective functions rather than the fake ones.

druce commented 3 years ago

thanks Peter! still very much a work in progress but eventually will blog about and maybe can provide a canonical case/benchmark!

On Tue, Feb 9, 2021 at 9:52 AM Peter Cotton notifications@github.com wrote:

Very cool. If you want we could include it as one of the objectives - always looking for real-world objective functions rather than the fake ones.

— You are receiving this because you authored the thread. Reply to this email directly, view it on GitHub https://github.com/microprediction/timemachines/pull/6#issuecomment-775997286, or unsubscribe https://github.com/notifications/unsubscribe-auth/AAJDX3UEWIRGCSPGGTPLSSDS6FD33ANCNFSM4XGTXAZA .