TFRBench: A Reasoning Benchmark for Evaluating Forecasting Systems
Abstract
Time-series forecasting has traditionally been evaluated solely on numerical accuracy, treating models as "black boxes'' that fail to capture the underlying reasoning. To address this gap, we introduce TFRBench, a novel benchmark designed to evaluate the reasoning capabilities of forecasting systems alongside their numerical accuracy. Unlike existing benchmarks, TFRBench requires models to generate verifiable natural language reasoning by analyzing cross-channel dependencies, identifying strategic trends, and justifying significant events using external context. To construct this benchmark, we propose a systematic multi-agent framework comprising Reasoning, Search, Verifier, Forecasting, and Summary agents. Our benchmark spans five diverse domains including Energy, Sales, Web/CloudOps, Transportation, and Finance, covering 10 distinct datasets. Qualitative evaluation confirms that our generated reasoning is highly faithful and effective; specifically, Large Language Models (LLMs) prompted with our generated reasoning demonstrate significantly improved forecasting accuracy compared to direct forecasting with LLMs. Conversely, benchmarking experiments reveal that off-the-shelf LLMs consistently struggle with both reasoning (shows lower LLM-as-Judge scores) and direct numerical forecasting (MAE and MASE), frequently failing to capture domain-specific dynamics. TFRBench thus establishes a new standard for interpretable, reasoning-based evaluation in time-series forecasting.
Research Areas
