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In the document, the function of the parameter trunc_days is to avoid future information leakage:
"The trading days to be truncated the data in this segment may need ‘days’ data days are based on the test_start. For example, if the label contains the information of 2 days in the near future, the prediction horizon 1 day. (e.g. the prediction target is Ref($close, -2)/Ref($close, -1) - 1) the days should be 2 + 1 == 3 days."
I know what it means, but I still confused about why such process is necessary? If we don't truncate the days, when the segment is {"train": 2008/1/3-2008/1/29, "test":2008/1/30-2008/3/4}, why the information leakage happens?
The text was updated successfully, but these errors were encountered:
In the document, the function of the parameter trunc_days is to avoid future information leakage:
"The trading days to be truncated the data in this segment may need ‘days’ data days are based on the test_start. For example, if the label contains the information of 2 days in the near future, the prediction horizon 1 day. (e.g. the prediction target is Ref($close, -2)/Ref($close, -1) - 1) the days should be 2 + 1 == 3 days."
I know what it means, but I still confused about why such process is necessary? If we don't truncate the days, when the segment is {"train": 2008/1/3-2008/1/29, "test":2008/1/30-2008/3/4}, why the information leakage happens?
The text was updated successfully, but these errors were encountered: