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Interview prep / ML/Data

Retraining while labels mature

Question

At Friday's close you retrain a model predicting ten-day returns. Which recent observations can supply training labels?

Short answer

Only observations whose complete ten-day outcome is known by the retraining cutoff can supply realised labels. Exclude or explicitly handle incomplete outcomes rather than filling them with future data. Align the training cutoff, market calendar, execution timing and feature availability. If some labels mature at different times, use their individual end timestamps rather than one blanket row offset.

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