Mechanism diagram · CNN / TCN
How it works
TimesNet computes the FFT of the lookback series and selects the top-k dominant frequencies.
For each dominant period p, the 1-D series is reshaped into a 2-D tensor of shape (n_periods, p), where rows are repeats of the same intra-period pattern.
Inception-style 2-D convolutions are applied; period-wise outputs are softmax-weighted by FFT amplitude.
Pros and cons on this universe
Pros
- Native handling of multi-period structure — useful when daily and weekly cycles co-exist.
- Strong rank #12 IC on the audited screen.
- ICLR 2023 paper with solid replication.
Cons / failure modes
- Fails on non-stationary periods — TwinS critique notes that crypto periods drift.
- Cluster-redundant with TimeMixer.
- RMSE-focused literature claim does not transfer 1:1 to directional Sharpe.