An Analysis of Deep Neural Networks for Predicting Trends in Time Series Data

Abstract

Recently, a hybrid Deep Neural Network (DNN) algorithm, TreNet was proposed for predicting trends in time series data. While TreNet was shown to have superior performance for trend prediction to other DNN and traditional ML approaches, the validation method used did not take into account the sequential nature of time series datasets and did not deal with model update. In this research we replicated the TreNet experiments on the same datasets using a walk-forward validation method and tested our best model over multiple independent runs to evaluate model stability. We compared the performance of the hybrid TreNet algorithm, on four datasets to vanilla DNN algorithms that take in point data, and also to traditional ML algorithms. We found that in general TreNet still performs better than the vanilla DNN models, but not on all datasets as reported in the original TreNet study. This study highlights the importance of using an appropriate validation method and evaluating model stability for evaluating and developing machine learning models for trend prediction in time series data.