outliers_backtest.py

from etna.pipeline import Pipeline
from etna.models import ProphetModel
from etna.transforms import DensityOutliersTransform
from etna.metrics import SMAPE

HORIZON = 62
pipeline = Pipeline(model=ProphetModel(), transforms=[], horizon=HORIZON)
pipeline_outliers = Pipeline(
    model=ProphetModel(),
    transforms=[
        DensityOutliersTransform(in_column="target", window_size=30, n_neighbors=9, distance_coef=1),
        TimeSeriesImputerTransform(in_column="target", strategy="running_mean", window=3),
    ],
    horizon=HORIZON,
)

metrics, _, _ = pipeline.backtest(ts, metrics=[SMAPE()], n_folds=1)
metrics_outliers, _, _ = pipeline_outliers.backtest(ts, metrics=[SMAPE()], n_folds=1)