catboost_backtest.py

from etna.models import CatBoostModelPerSegment
from etna.transforms import DateFlagsTransform, FourierTransform

HORIZON = 62
pipeline = Pipeline(
    model=CatBoostModelPerSegment(),
    transforms=[
        DensityOutliersTransform(in_column="target", window_size=30, n_neighbors=9, distance_coef=1),
        TimeSeriesImputerTransform(in_column="target", strategy="running_mean", window=3),
        FourierTransform(period=365.25, order=4),
        DateFlagsTransform(day_number_in_week=True, day_number_in_month=False, is_weekend=False),
    ],
    horizon=HORIZON,
)

metrics, forecast, _ = pipeline.backtest(ts, metrics=[SMAPE()], n_folds=3)
plot_backtest(forecast, ts, history_len="all")