Backtesting Strategy for ML Models

A form of cross-validation across time

Model performance is critical to any business process and needs to be validated periodically. To establish the efficacy of model performance, business organizations often resort to techniques such as cross-validation. Leave-one-out and k-fold cross-validation is widely used in this context. Besides these, often business needs to ascertain model performance over time as well i.e., time-based cross-validation.

In this article, the purpose is to discuss time-based cross-validation methods that can be easily incorporated to …

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