Anofox Forecast

What is Anofox Forecast?

Anofox Forecast brings enterprise time-series forecasting directly to DuckDB. Generate forecasts with 32 state-of-the-art models using pure SQL - no Python, no complex pipelines, zero data movement.

Key Features

• 32+ Forecasting Models - AutoML, Statistical, Advanced, Intermittent, and Exogenous variants (ARIMAX, ThetaX, MFLESX)
• Pattern Detection - 12 period detection methods, seasonality classification, changepoint analysis
• Feature Engineering - 117 tsfresh-compatible statistical features
• Cross-Validation - 8 functions for backtesting and CV splits with data leakage prevention
• Conformal Prediction - Distribution-free prediction intervals with guaranteed coverage
• Evaluation Metrics - 11 accuracy metrics including MAE, RMSE, MAPE, MASE
• Production Ready - Handles millions of series with automatic parallelization

Quick Links

Documentation	Description
Installation	Setup and prerequisites
Function Finder	Find the right function for your task
Exploratory Data Analysis	Profile your time series data
Data Quality	Multi-dimensional quality assessment
Data Preparation	Clean and transform your data
Diagnostics	Pattern detection and analysis
Features	Feature engineering functions
Models	All 32+ forecasting models
Metrics	12 evaluation metrics
Cross-Validation	Backtesting and CV splits
Conformal Prediction	Distribution-free prediction intervals
Exogenous Variables	External predictors (ARIMAX, ThetaX, MFLESX)
Hierarchy Management	Multi-level key handling

Basic Usage

-- Load the extension
LOAD anofox_forecast;

-- Forecast your first series
SELECT *
FROM ts_forecast_by(
    'sales_data',           -- Your table
    product_id,             -- Group column
    date,                   -- Date column
    amount,                 -- Value column
    'AutoETS',              -- Model
    28,                     -- Forecast horizon (days)
    '1d',                   -- Frequency
    MAP{'seasonal_period': '7'}
);

This returns 28 future forecasts with prediction intervals per series - all computed in-database.

Why Anofox Forecast?

• Native Performance - Zero Python overhead, direct C++ execution in DuckDB
• Automatic Parallelization - DuckDB distributes work across CPU cores
• In-Database - Process petabyte-scale data without moving it
• Pure SQL API - No new languages or DSLs to learn