Molecular dynamics simulations allow to study the structure and dynamics of single biomolecules in microscopic detail. However, many processes occur on time scales beyond the reach of fully atomistic simulations and require coarse-grained multiscale models. While systematic approaches to construct such models have become available, these typically rely on microscopic dynamics that obey detailed balance. In vivo, however, biomolecules are constantly driven away from equilibrium in order to perform specific functions and thus break detailed balance. Here we introduce a method to construct Markov state models for systems that are driven through periodically changing one (or several) external parameter. We illustrate the method for alanine dipeptide, a widely used benchmark molecule for computational methods, exposed to a time-dependent electric field.