What you will learn
- Walk-forward design
- Purging where relevant
- Sensitivity surfaces
- Cost stress
Walk-forward design
Temporal validation preserves the order relevant to deployment. Training on later periods to predict earlier periods may answer a different question. Use folds that reflect the intended update and evaluation sequence.
Purging where relevant
Walk-forward designs repeatedly fit on an allowed past window and evaluate later observations. Window length, update frequency and parameter selection are part of the design and should be specified before comparing results.
Sensitivity surfaces
Overlapping labels or positions can connect training and evaluation observations. Purging or gaps may be appropriate depending on the target horizon and information overlap. The size and purpose of any gap should follow the data construction, not a magic universal number.
Cost stress
Compare with simple baselines under the same folds, costs and information set. A complex model's raw score is difficult to interpret without knowing whether a simpler procedure achieves similar performance with fewer assumptions.
Worked example
A target uses the next five bars. Training labels near the split contain returns from the evaluation period. A simple row-date split does not by itself remove that overlap.
Try it yourself
Describe how to identify and remove the overlapping training labels while preserving a record of excluded observations.
Show the worked solution
Associate each label with its information interval, remove training examples whose target intervals overlap the evaluation information window under the chosen design, and log the exclusions. The policy depends on the target definition and should be applied consistently.
Apply this to your course project
Create a preregistered validation protocol and report rejected variants.
Keep the calculation inputs, assumptions and decisions with your work. Practical exercises are self-reviewed; the scored knowledge checks assess the questions shown, not an independent certification of practical competence.