When you test several values for a parameter (for example 100 and 300 trees for a Random Forrest), a cross validation is done on TRAIN dataset to choose the best value.
- By defaut, a random K-Folds is applied, which is suitable for a Random TRAIN/TEST split, BUT NOT for a Time split.
- For a Time split for the TRAIN and TEST datasets, you must applied the same strategy for the cross validation.
- Select "Custom code"
- and choose "Time series cross validation" in the available "{} Code Samples"
- Select "Custom code"
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