DPAL: A Test-Time Adaptation Loss for Financial Time Series Forecasting
Organizations: University of Michigan · Stony Brook University
Abstract
Test-time adaptation (TTA) enables time series forecasters to update after deployment as new observations become available. However, adaptation objectives that focus primarily on prediction errors at individual time steps do not fully address the needs of financial time series forecasting. In addition to pointwise return fitting, return direction and the price trajectories reconstructed from sequences of returns are also important. To better account for these properties, we introduce Direction- and Price-Aware Adaptation Loss (DPAL), which combines pointwise return fitting with directional and price-calibration terms. We apply DPAL within existing TSF-TTA frameworks without modifying the source forecaster or the adapter architecture. Across a diverse collection of financial datasets, DPAL reduces reconstructed-price mean squared error in most evaluated settings.
Figures & tables
| Datasets | iTransformer | DLinear | FreTS | PatchTST | OLS | |||||||||||
| Base | TAFAS | with DPAL | Base | TAFAS | with DPAL | Base | TAFAS | with DPAL | Base | TAFAS | with DPAL | Base | TAFAS | with DPAL | ||
| Magnificent 7 | 60 | 1.617 | 1.137 | 0.547 | 0.754 | 0.742 | 0.477 | 0.530 | 0.528 | 0.476 | 1.502 | 0.764 | 0.489 | 1.784 | 1.118 | 0.515 |
| 90 | 6.164 | 3.634 | 1.482 | 2.062 | 1.993 | 0.943 | 1.152 | 1.152 | 0.933 | 5.265 | 2.293 | 1.139 | 5.761 | 2.864 | 1.379 | |
| 120 | 17.717 | 9.087 | 2.780 | 3.879 | 3.685 | 1.503 | 2.030 | 2.032 | 1.616 | 13.147 | 5.506 | 2.075 | 15.585 | 6.792 | 3.004 | |
| S&P 500 Excerpt | 60 | 0.310 | 0.236 | 0.104 | 0.127 | 0.126 | 0.086 | 0.080 | 0.079 | 0.075 | 0.287 | 0.138 | 0.094 | 0.360 | 0.239 | 0.115 |
| 90 | 1.084 | 0.758 | 0.286 | 0.307 | 0.293 | 0.164 | 0.153 | 0.152 | 0.137 | 0.794 | 0.319 | 0.197 | 1.187 | 0.717 | 0.319 | |
| Datasets | iTransformer | DLinear | FreTS | PatchTST | OLS | |||||||||||
| Base | PETSA | with DPAL | Base | PETSA | with DPAL | Base | PETSA | with DPAL | Base | PETSA | with DPAL | Base | PETSA | with DPAL | ||
| Magnificent 7 | 60 | 1.617 | 1.079 | 0.782 | 0.754 | 0.765 | 0.502 | 0.530 | 0.578 | 0.469 | 1.502 | 0.709 | 0.489 | 1.784 | 1.107 | 0.646 |
| 90 | 6.164 | 3.459 | 1.847 | 2.062 | 1.826 | 1.013 | 1.152 | 1.199 | 0.888 | 5.265 | 1.968 | 1.106 | 5.761 | 2.454 | 1.299 | |
| 120 | 17.717 | 7.588 | 3.900 | 3.879 | 3.603 | 1.552 | 2.030 | 2.142 | 1.463 | 13.147 | 5.283 | 2.654 | 15.585 | 5.352 | 2.783 | |
| S&P 500 Excerpt | 60 | 0.310 | 0.172 | 0.122 | 0.127 | 0.144 | 0.084 | 0.080 | 0.087 | 0.075 | 0.287 | 0.108 | 0.103 | 0.360 | 0.180 | 0.125 |
| 90 | 1.084 | 0.434 | 0.320 | 0.307 | 0.322 | 0.164 | 0.153 | 0.164 | 0.135 | 0.794 | 0.211 | 0.200 | 1.187 | 0.430 | 0.333 | |
| (a) TAFAS | |||||
| Median MSE change relative to the common configuration | |||||
| 20.01% | 18.43% | 23.05% | 22.75% | 22.63% | |
| 4.58% | 3.90% | 7.46% | 13.25% | 14.73% | |
| 0.66% | 0.61% | 0.00% | 2.46% | 7.80% | |
| 0.27% | 0.22% | 0.12% | -0.43% | 2.07% | |
| Framework | Settings | Share | Median | |
| TAFAS | 120 | 108 | 90.0% | 0.98% |
| PETSA | 120 | 94 | 78.3% | 1.54% |
| Combined | 240 | 202 | 84.2% | 1.30% |
Appendix figures & tables20 assets
Supplementary material from the paper’s appendix.
Appendix
| Model | Base | original | mse | ✓ | ✓ | ✓ | ✓ | ||||
| dir | ✓ | ✓ | ✓ | ✓ | |||||||
| price | ✓ | ✓ | ✓ | ✓ | |||||||
| iTransformer | 60 | 0.01886 | 0.01564 | 0.01422 | 0.01209 | 0.01602 | 0.01211 | 0.01361 | 0.01196 | 0.01157 | |
| 90 | 0.04027 | 0.02911 | 0.02804 | 0.02405 | 0.03165 | 0.02404 | 0.02737 | 0.02279 | 0.02004 | ||
| 120 | 0.07258 | 0.04806 | 0.04782 | 0.04021 | 0.05915 | 0.04006 | 0.04824 | 0.03831 | 0.03643 | ||
| DLinear | 60 | 0.01248 | 0.01361 | 0.01309 | 0.01091 | 0.01249 | 0.01085 | 0.01268 | 0.01082 | 0.01064 |
| Datasets | iTransformer | DLinear | FreTS | PatchTST | OLS | |||||||||||
| Base | TAFAS | with DPAL | Base | TAFAS | with DPAL | Base | TAFAS | with DPAL | Base | TAFAS | with DPAL | Base | TAFAS | with DPAL | ||
| Magnificent 7 | 60 | 1.150 | 1.139 | 1.126 | 1.114 | 1.113 | 1.110 | 1.135 | 1.134 | 1.125 | 1.145 | 1.129 | 1.128 | 1.139 | 1.127 | 1.120 |
| 90 | 1.152 | 1.141 | 1.135 | 1.123 | 1.122 | 1.119 | 1.137 | 1.136 | 1.129 | 1.154 | 1.136 | 1.139 | 1.146 | 1.133 | 1.130 | |
| 120 | 1.162 | 1.152 | 1.144 | 1.133 | 1.132 | 1.130 | 1.144 | 1.143 | 1.138 | 1.160 | 1.144 | 1.144 | 1.155 | 1.144 | 1.140 | |
| S&P 500 Excerpt | 60 | 1.513 | 1.508 | 1.488 | 1.476 | 1.476 | 1.472 | 1.502 | 1.501 | 1.489 | 1.507 | 1.494 | 1.486 | 1.500 | 1.494 | 1.482 |
| 90 | 1.497 | 1.493 | 1.476 | 1.471 | 1.470 | 1.466 | 1.485 | 1.485 | 1.477 | 1.502 | 1.491 | 1.483 | 1.491 | 1.486 | 1.475 | |
| Datasets | iTransformer | DLinear | FreTS | PatchTST | OLS | |||||||||||
| Base | TAFAS | with DPAL | Base | TAFAS | with DPAL | Base | TAFAS | with DPAL | Base | TAFAS | with DPAL | Base | TAFAS | with DPAL | ||
| Magnificent 7 | 60 | 0.761 | 0.755 | 0.750 | 0.742 | 0.742 | 0.741 | 0.754 | 0.753 | 0.748 | 0.758 | 0.751 | 0.750 | 0.756 | 0.750 | 0.747 |
| 90 | 0.759 | 0.754 | 0.752 | 0.745 | 0.744 | 0.742 | 0.752 | 0.752 | 0.748 | 0.760 | 0.752 | 0.753 | 0.756 | 0.750 | 0.749 | |
| 120 | 0.761 | 0.757 | 0.754 | 0.747 | 0.746 | 0.746 | 0.753 | 0.753 | 0.750 | 0.760 | 0.753 | 0.753 | 0.757 | 0.753 | 0.751 | |
| S&P 500 Excerpt | 60 | 0.822 | 0.820 | 0.811 | 0.806 | 0.806 | 0.805 | 0.817 | 0.817 | 0.812 | 0.820 | 0.814 | 0.811 | 0.817 | 0.814 | 0.809 |
| 90 | 0.816 | 0.814 | 0.807 | 0.805 | 0.805 | 0.803 | 0.811 | 0.811 | 0.808 | 0.818 | 0.813 | 0.810 | 0.813 | 0.811 | 0.807 | |
| Datasets | iTransformer | DLinear | FreTS | PatchTST | OLS | |||||||||||
| Base | PETSA | with DPAL | Base | PETSA | with DPAL | Base | PETSA | with DPAL | Base | PETSA | with DPAL | Base | PETSA | with DPAL | ||
| Magnificent 7 | 60 | 1.150 | 1.144 | 1.143 | 1.114 | 1.123 | 1.112 | 1.135 | 1.136 | 1.132 | 1.145 | 1.136 | 1.138 | 1.139 | 1.137 | 1.129 |
| 90 | 1.152 | 1.144 | 1.138 | 1.123 | 1.123 | 1.121 | 1.137 | 1.137 | 1.135 | 1.154 | 1.142 | 1.141 | 1.146 | 1.137 | 1.135 | |
| 120 | 1.162 | 1.153 | 1.145 | 1.133 | 1.133 | 1.131 | 1.144 | 1.145 | 1.142 | 1.160 | 1.150 | 1.145 | 1.155 | 1.147 | 1.144 | |
| S&P 500 Excerpt | 60 | 1.513 | 1.515 | 1.490 | 1.476 | 1.477 | 1.472 | 1.502 | 1.502 | 1.494 | 1.507 | 1.503 | 1.489 | 1.500 | 1.502 | 1.485 |
| 90 | 1.497 | 1.492 | 1.478 | 1.471 | 1.472 | 1.466 | 1.485 | 1.485 | 1.481 | 1.502 | 1.493 | 1.488 | 1.491 | 1.486 | 1.477 | |
| Datasets | iTransformer | DLinear | FreTS | PatchTST | OLS | |||||||||||
| Base | PETSA | with DPAL | Base | PETSA | with DPAL | Base | PETSA | with DPAL | Base | PETSA | with DPAL | Base | PETSA | with DPAL | ||
| Magnificent 7 | 60 | 0.761 | 0.759 | 0.757 | 0.742 | 0.745 | 0.742 | 0.754 | 0.753 | 0.751 | 0.758 | 0.754 | 0.755 | 0.756 | 0.754 | 0.751 |
| 90 | 0.759 | 0.756 | 0.752 | 0.745 | 0.744 | 0.743 | 0.752 | 0.752 | 0.751 | 0.760 | 0.755 | 0.754 | 0.756 | 0.751 | 0.752 | |
| 120 | 0.761 | 0.757 | 0.754 | 0.747 | 0.747 | 0.746 | 0.753 | 0.754 | 0.752 | 0.760 | 0.755 | 0.753 | 0.757 | 0.754 | 0.754 | |
| S&P 500 Excerpt | 60 | 0.822 | 0.822 | 0.813 | 0.806 | 0.806 | 0.805 | 0.817 | 0.817 | 0.814 | 0.820 | 0.817 | 0.812 | 0.817 | 0.817 | 0.811 |
| 90 | 0.816 | 0.814 | 0.808 | 0.805 | 0.805 | 0.803 | 0.811 | 0.811 | 0.810 | 0.818 | 0.814 | 0.813 | 0.813 | 0.811 | 0.808 | |
| Framework | Settings improved by DPAL | Median improvement | Geometric-mean improvement |
| TAFAS | 102/120 | 17.24% | 18.24% |
| PETSA | 104/120 | 20.85% | 19.66% |
| Dataset | TAFAS | PETSA |
| Magnificent 7 | -0.659118 | -0.521236 |
| S&P 500 Excerpt | -0.571172 | -0.322853 |
| Russell 2000 Excerpt | -0.585539 | -0.524676 |
| Technology Sector | -0.617923 | -0.629437 |
| Consumer Sector | -0.367755 | -0.402655 |
| Energy Sector | -0.270304 | -0.190842 |
| TAFAS | PETSA | |||||
| Configuration | Best | Second-best | Best | Second-best | ||
| Base | 1 | 3 | 2 | 3 | ||
| Original | – | – | 0 | 1 | ||
| mse | dir | price | ||||
| ✓ | 0 | 0 | 0 | 0 | ||
| ✓ | 5 | 0 | 12 | 30 | ||
| Lowest MSE Count | Geometric Mean Change | ||||||
| Setting | TAFAS | PETSA | TAFAS | PETSA | |||
| Reference | 15 | 30 | 30 | 51 | 56 | —– | —– |
| Intermediate | 30 | 45 | 60 | 46 | 40 | +0.48% | +0.86% |
| Full horizon | 60 | 90 | 120 | 23 | 24 | +4.95% | +7.82% |
| Dataset | Number of series | Tickers |
| Magnificent 7 | 7 | AAPL, MSFT, GOOG, AMZN, NVDA, META, TSLA |
| S&P 500 Excerpt | 20 | CDNS, SNPS, KLAC, LRCX, MCHP, MPWR, MRVL, ON, TER, SWKS, STX, WDC, FSLR, VRSN, MSI, ROP, FICO, PTC, ZBRA, APH |
| Russell 2000 Excerpt | 20 | MHO, WWD, FIX, AAON, ENSG, CASY, KBR, TEX, UGI, WBS, AWI, SPSC, CNO, MTG, PII, SAIA, LECO, THG, MUSA, FIBK |
| Technology Sector | 20 | AMD, AVGO, QCOM, INTC, ASML, MU, TXN, AMAT, CRM, ADBE, TSM, ORCL, ADSK, FTNT, AKAM, NTAP, INTU, NFLX, CSCO, IBM |
| Consumer Sector | 20 | CHD, KO, PEP, WMT, COST, TGT, CL, KMB, GIS, HSY, MKC, EL, KR, HD, LOW, TJX, NKE, MCD, SBUX, YUM |
| Energy Sector | 20 | XOM, CVX, COP, OXY, EOG, DVN, APA, EQT, RRC, MUR, SM, NOG, SLB, HAL, NOV, VLO, MPC, PSX, KMI, WMB |
| Dataset | Training | Validation | Test |
| Magnificent 7 | 2012-05-21–2021-11-24 (2,396) | 2021-11-26–2023-04-11 (344) | 2023-04-12–2025-12-31 (684) |
| S&P 500 Excerpt | 2012-05-21–2021-11-24 (2,396) | 2021-11-26–2023-04-11 (344) | 2023-04-12–2025-12-31 (684) |
| Russell 2000 Excerpt | 2013-08-20–2022-04-11 (2,177) | 2022-04-12–2023-07-11 (312) | 2023-07-12–2025-12-31 (622) |
| Technology Sector | 2012-05-21–2021-11-24 (2,396) | 2021-11-26–2023-04-11 (344) | 2023-04-12–2025-12-31 (684) |
| Consumer Sector | 2012-05-21–2021-11-24 (2,396) | 2021-11-26–2023-04-11 (344) | 2023-04-12–2025-12-31 (684) |
| Energy Sector | 2012-05-21–2021-11-24 (2,396) | 2021-11-26–2023-04-11 (344) | 2023-04-12–2025-12-31 (684) |
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Time series forecasting predicts future values from ordered observations using statistical, neural, and probabilistic models to support decisions under uncertainty.
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