Getting a constant forecast from ETS tool, Forecast factory tools

Question

Hi,

I am using the ETS and Forecast factory tools and I noticed that I am getting a constant value for forecasts from both of them. I am using 3 years of historical data to predict 6 months into the future on a monthly basis.

ETS Tool:

TS Forecast tool:

Subperiod 1, 2, etc. indicates forecast for January 2021, February 2021 etc.

Following are the data values from January 2018 to December 2020 arranged chronologically.

15
9
6
12
14
4
27
4
6
13
14
12
24
33
21
41
32
35
4
22
2
14
21
0
5
8

4
6
2
1
10
2
5
45
11
0

It is very unexpected when you consider that there is quite a bit of variation in my original data. I am observing a similar behavior for forecasts of other items from the TS Forecast Factory tool.

I am using the default settings provided by the ETS tool. Could somebody please verify if this is correct and tell me why the model could be doing this?

Jack6627 · Answer

Thank you for your responses @leozhang2work and @AngelosPachis. I decided to give up doing it on Alteryx and doing it within excel now. This way, with excel macros I can test multiple configurations of the ETS models and compare the MAPE values. 🙂

leozhang2work · Answer

You should always do a decomposition plot before ETS, so you can tell which one to go for. As the default went for ANN (i.e. constant model). In the attached screenshot, you can see addictive for seasonality and reminder, a downward trend, therefore I tried AAdA to give the output for the second picture.

For the trend, you don't have enough data to show the increase in the middle is outlier behavior or cycle behavior, and ETS doesn't have option to really handle cycle, so prediction is not the best. You do need to care about those spikes though, I would suggest to try Box Cox transformation (or just log it, pic 3).

If you are really going for accuracy rather than explainability, then as @AngelosPachis suggested, build a macro for grid search to run through all combinations.

TS ans 1 - TS plot.png

TS ans 2 - Addictive model.png

TS ans 3 - log.png

AngelosPachis · Answer

@Jack6627 my suggestion would be to create a batch macro that will process each product individually. That will allow you to either tweak the configuration settings of the ETS tool within the batch macro if you want to (and set the seasonality component to additive for example) or leave it to auto and see what's the results for each product.