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practice

Best practice

Avoid leaking features
  1. Avoid patterns that can incorporate a single leaking attribute many times (Aggregate frame, Aggregate subgroup, Ratio).
  2. Always use nonzero blackout on temporal data (even just 1 second is enough).
  3. Beware of tables that do not use time constraint. Potentially all predictors calculated from these tables are leaking!
  4. Cross-validate over time (before passing the data into a model, split the data to training and testing part based on time).

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