https://github.com/puffinsoft/benchstreet
The benchmark for financial time series forecasting.
https://github.com/puffinsoft/benchstreet
machine-learning time-series
Last synced: 3 months ago
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The benchmark for financial time series forecasting.
- Host: GitHub
- URL: https://github.com/puffinsoft/benchstreet
- Owner: puffinsoft
- License: mit
- Created: 2025-07-18T04:48:11.000Z (12 months ago)
- Default Branch: master
- Last Pushed: 2025-07-19T00:23:27.000Z (12 months ago)
- Last Synced: 2026-01-03T06:48:39.455Z (6 months ago)
- Topics: machine-learning, time-series
- Language: Python
- Homepage:
- Size: 3.52 MB
- Stars: 14
- Watchers: 0
- Forks: 1
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- License: LICENSE
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README
    
**Benchstreet** is a curated collection of time series prediction models designed to help developers evaluate and compare the performance of different approaches in **one-shot**, **long-term** financial data forecasting.
The models are trained on 20 years of S&P 500 daily closing prices provided by [Investing.com](https://investing.com/indices/us-spx-500-historical-data).
> [!IMPORTANT]
> This is not an objective benchmark! It's intended as a qualitative guide and a reference on how to implement these models.
### Table of Contents
| Model Type | |
|--------------------------------------|-------------------------------------------------------|
| Transformer/Foundation Models | TimesFM ([baseline](#timesfm-baseline) • [**fine-tuned**](#timesfm-fine-tuned)), Chronos ([baseline](#chronos-baseline) • [**fine-tuned**](#chronos-fine-tuned)) |
| Feedforward Neural Networks (FNNs) | MLP ([recursive](#mlp-recursive) • [vector](#mlp-vector)), N-BEATS ([direct](#n-beats)) |
| Convolutional Neural Networks (CNNs) | 1D-CNN ([recursive](#1d-cnn-recursive) • [vector](#1d-cnn-vector)), TemporalCN ([vector](#temporalcn)) |
| Recurrent Neural Networks (RNNs) | LSTM ([recursive](#lstm-recursive) • [vector](#lstm-vector) • [encoder-decoder](#lstm-encoder-decoder)), GRU ([recursive](#gru-recursive) • [vector](#gru-vector)) |
| Statistical Models | ARIMA ([recursive](#arima)), SARIMAX ([vector](#sarimax)), FBProphet ([direct](#fbprophet)) |
Want a model added to this list? Raise an issue [here](https://github.com/puffinsoft/benchstreet/issues) or [make a PR](https://github.com/puffinsoft/benchstreet/pulls)!
> [!TIP]
> **The winner**: [N-BEATS](#n-beats). High accuracy with extremely low training time.
### TimesFM
#### timesfm-baseline
[`timesfm/baseline.py`](benchstreet/timesfm/baseline.py)
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#### timesfm-fine-tuned
[`timesfm/fine_tune.py`](benchstreet/timesfm/fine_tune.py) • [download on huggingface 🤗](https://huggingface.co/ColonelParrot/benchstreet-timesfm-2.0-500m-torch-sp500)
view magnified graph
### Chronos
#### chronos-baseline
[`chronos/baseline.py`](benchstreet/chronos/baseline.py)
view magnified graph
#### chronos-fine-tuned
[`chronos/fine_tune.ipynb`](benchstreet/chronos/fine_tune.ipynb) • [download on huggingface 🤗](https://huggingface.co/ColonelParrot/benchstreet-chronos-t5-small-sp500)
view magnified graph
### MLP
#### mlp-recursive
[`mlp/recursive.py`](benchstreet/mlp/recursive.py)
view magnified graph
#### mlp-vector
[`mlp/vector.py`](benchstreet/mlp/vector.py)
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### N-BEATS
[`n_beats/direct.py`](benchstreet/n_beats/direct.py)
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### 1D-CNN
#### 1d-cnn-recursive
[`cnn/recursive.py`](benchstreet/cnn/recursive.py)
view magnified graph
#### 1d-cnn-vector
[`cnn/vector.py`](benchstreet/cnn/vector.py)
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### TemporalCN
[`tcn/vector.py`](benchstreet/tcn/vector.py)
view magnified graph
### LSTM
#### lstm-recursive
[`lstm/recursive.py`](benchstreet/lstm/recursive.py)
view magnified graph
#### lstm-vector
[`lstm/vector.py`](benchstreet/lstm/vector.py)
view magnified graph
#### lstm-encoder-decoder
[`lstm/encdec.py`](benchstreet/lstm/encdec.py)
view magnified graph
### GRU
#### gru-recursive
[`gru/recursive.py`](benchstreet/gru/recursive.py)
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#### gru-vector
[`gru/vector.py`](benchstreet/gru/vector.py)
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### ARIMA
[`arima/recursive.py`](benchstreet/arima/recursive.py)
view magnified graph
### SARIMAX
[`sarimax/direct.py`](benchstreet/sarimax/direct.py)
view magnified graph
### FBProphet
[`fbprophet/direct.py`](benchstreet/fbprophet/direct.py)
view magnified graph
Want a model added to this list? Raise an issue [here](https://github.com/puffinsoft/benchstreet/issues) or [make a PR](https://github.com/puffinsoft/benchstreet/pulls)!