numerai/example-scripts

Adjust train-test era split

GitAnt opened this issue · 0 comments

I think the current train-test era split risks missing some eras (the last few ones)

test_splits = [all_train_eras[i * len_split:(i + 1) * len_split] for i in range(cv)]

I've stumbled upon it by using cv=5 and fixed it by calculating the test splits as

test_splits = [all_train_eras[i * len_split:(i + 1) * len_split] for i in range(cv - 1)] + \
        [all_train_eras[(cv - 1)  * len_split:]]

EDIT: addressed in #94