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why "n_test = 277" ?
Hey Boris,
Might be a stupid question, may I ask why set it as 277, is there any special reason or experienced value?
Thanks and best regards!
Yunfei
Predicting using future data
You have a fundamental issue with your code: you are predicting values by looking at the future!!
Predictors["open_1"] = CNHI["data"].Open.shift(1)
Predictors["open_incr"] = CNHI["data"].Open - CNHI["data"].Open.shift(1)
One of the most salient features is the open_incr, which is the difference between the open values of the current day and the value of the next row! You are essentially using the future as a predictor for the present: it makes no sense.
methodological error
dataset = read_csv('usdinr_dataset.csv', header=0, index_col=0)
values = dataset.values
values = values.astype('float32')
scaler = MinMaxScaler(feature_range=(0, 1))
scaled = scaler.fit_transform(values)
.....u r scaling the FULL dataset here with minmax scaler instead of splitting dataset and putting away test to later scale using the transform coefficients derived from train set scaling.
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