FR: different approach for splitting data for WFO

Posted By: Zheka

FR: different approach for splitting data for WFO - 05/03/22 14:42

I would like to ask for an alternative way of splitting data for WFO:

1 - set the "TOTAL OOS period', e.g. via TotalOosPeriodStart/End
2 - based on NumWFOCycles or WFOPeriod split the data backwards from EndDate

This will lead to different start dates for WFO periods (and override global StartDate), but ensure always the same test period across experiments and correct comparison between WFO trials , e.g. when selecting the 'best' length of IS-OOS periods.

Thank you.

Posted By: jcl

Re: FR: different approach for splitting data for WFO - 05/04/22 09:26

Code

void setStartDate(int TestDate)
{
	var Split = ifelse(DataSplit > 0,DataSplit/100.,0.85);
	var TrainDays = Split/(1.-Split)*(dmy(EndDate)-dmy(TestDate))/(NumWFOCycles-1);
	StartDate = ymd(dmy(TestDate)-TrainDays);
}

Posted By: Zheka

Re: FR: different approach for splitting data for WFO - 05/04/22 10:17

Yes, this should do, thank you.

It makes sense to highlight the 'caveat' in the manual, include the above snippet on the Training page and amend the wfoprofile script.