Hands-On Machine Learning for Algorithmic Trading

ShuffleSplit

The sklearn.model_selection.ShuffleSplit object creates independent splits with potentially overlapping validation sets, as shown in the following code:

ss = ShuffleSplit(n_splits=3, test_size=2, random_state=42)for train, validate in ss.split(data):    print(train, validate)[4 9 1 6 7 3 0 5] [2 8][1 2 9 8 0 6 7 4] [3 5][8 4 5 1 0 6 9 7] [2 3]