Hi! I found that the generated data was self-repeated, and did not contain the data in previous dates. It could be a mistake in the data generating function:
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out = pd.DataFrame(np.column_stack([_add_shifts(dat[:,:-1], 1, n_cols) for i in range(shifts)]), |
Here, the
_add_shifts(dat[:,:-1], 1, n_cols) should be
_add_shifts(dat[:,:-1], i, n_cols) to get shifted rows.