strange results - 1 var time series

[andrewcztrack]

Hi @davidhallac .

I am trying your algorithm on 1 dimensional finanical tiem series but im getting very strange results. Has it got to do with the parameters?

from TICC_solver import TICC
import numpy as np
import sys
import yfinance as yf
import numpy as np
import matplotlib.pyplot as plt
import pandas as pd

data = yf.download("^GSPC", start="2016-01-01", end="2020-12-30")

dd=data['Close']
d=dd.to_numpy()



np.savetxt("foo.txt", d, delimiter=",")


ticc = TICC(window_size=30, number_of_clusters=3, lambda_parameter=11e-2, beta=600, maxIters=5, threshold=2e-1,
              write_out_file=False, prefix_string="output_folder/", num_proc=1)
(cluster_assignment, cluster_MRFs) = ticc.fit(input_file='foo.csv')

print(cluster_assignment)
np.savetxt('Results.txt', cluster_assignment, fmt='%d', delimiter=',')


%matplotlib inline
import matplotlib.pyplot as plt
import datetime
import numpy as np



plt.plot(data['Close'])
plt.show()
plt.plot(cluster_assignment)
plt.show()

The above code gives the below.