"Horizon value in Sliding Window Validation"

User: "haddock"
New Altair Community Member
Updated by Jocelyn
I'm trying to predict currency values from indicators, on a daily basis. Each daily example has a Label expressed as the change in the currency over the next N days, a date as an ID, and numeric attributes.

Validation is done use the Sliding Window Validation operator. While most of the parameters are self-explanatory I am having difficulties with the "horizon" parameter whose definition is as follows

"Number of examples which are between the training and testing examples (integer; 1-+Infinity; default: 1)"

At a trivial level, if I break before the learner and break before the applier operators in the validation,  I can see that when horizon is set to 1 the validation starts on the next example after the training set, meaning that there are in fact 0 examples between the training and testing examples. No big deal, just thought I'd point it out.

My question is whether I should use 1 as the parameter for horizon, or whether horizon should reflect the forecast period, such that if the prediction is for 10 days, horizon should be set to 9. I can see arguments on either side, so appeal to wiser minds for guidance..





Find more posts tagged with