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+{
+ "cells": [
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "<i>Copyright (c) Microsoft Corporation.</i>\n",
+    "\n",
+    "<i>Licensed under the MIT License.</i>"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "# Data Preparation for Retail Sales Forecasting\n",
+    "\n",
+    "This notebook introduces how to split the Orange Juice dataset into training sets and test sets for training and evaluating different retail sales forecasting methods.\n",
+    "\n",
+    "We use backtesting a method that tests a predictive model on historical data to evaluate the forecasting methods. Other than standard [K-fold cross validation](https://en.wikipedia.org/wiki/Cross-validation_%28statistics%29) which randomly splits data into K folds, we split the data so that any of the time stamps in the training set is no later than any of the time stamps in the test set to ensure that no future information is used (expect certain information that we can know beforehand, e.g., price of the product in the next few weeks as we can set the price manually).\n",
+    "\n"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## Global Settings and Imports"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 1,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "%load_ext autoreload\n",
+    "%autoreload 2"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 2,
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "System version: 3.6.7 | packaged by conda-forge | (default, Nov  6 2019, 16:19:42) \n",
+      "[GCC 7.3.0]\n"
+     ]
+    }
+   ],
+   "source": [
+    "import os\n",
+    "import sys\n",
+    "\n",
+    "import forecasting_lib.common.forecast_settings as fs\n",
+    "from forecasting_lib.common.utils import git_repo_path\n",
+    "from forecasting_lib.dataset.ojdata import download_ojdata, split_train_test\n",
+    "\n",
+    "print(\"System version: {}\".format(sys.version))"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 3,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# Use False if you've already downloaded and split the data\n",
+    "DOWNLOAD_DATA = True\n",
+    "\n",
+    "# Data directory\n",
+    "DATA_DIR = os.path.join(git_repo_path(), \"ojdata\")"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## Download Data\n",
+    "\n",
+    "We need to download the Orange Juice data before splitting it into training and test sets. By default, the following cell will download the data. If you've already done so, you may skip this part by switching `DOWNLOAD_DATA` to `False`.\n",
+    "\n",
+    "The dataset is from R package [bayesm](https://cran.r-project.org/web/packages/bayesm/index.html) and is part of the [Dominick's dataset](https://www.chicagobooth.edu/research/kilts/datasets/dominicks). It contains the following two csv files:\n",
+    "\n",
+    "1. `yx.csv` includes weekly sales of refrigerated orange juice at 83 stores. This files has 106139 rows and 19 columns. It contains weekly sales and prices of 11 orange juice brands as well as information about profit, deal, and advertisement for each brand. Note that the weekly sales is captured by a column named `logmove` which corresponds to the natural logarithm of the number of units sold. To get the number of units sold, you need to apply an exponential transform to this column.\n",
+    "\n",
+    "2. `storedemo.csv` includes demographic information on those stores. This table has 83 rows and 13 columns. For every store, the table describes demographic information of its consumers, distance to the nearest warehouse store, average distance to the nearest 5 supermarkets, ratio of its sales to the nearest warehouse store, and ratio of its sales\n",
+    "to the average of the nearest 5 stores.\n",
+    "\n",
+    "Note that the week number starts from 40 in this dataset, while the full Dominick's dataset has week number from 1 to 400. According to [Dominick's Data Manual](https://www.chicagobooth.edu/-/media/enterprise/centers/kilts/datasets/dominicks-dataset/dominicks-manual-and-codebook_kiltscenter.aspx), week 1 starts on 09/14/1989.\n",
+    "Please see pages 40 and 41 of the [bayesm reference manual](https://cran.r-project.org/web/packages/bayesm/bayesm.pdf) and the [Dominick's Data Manual](https://www.chicagobooth.edu/-/media/enterprise/centers/kilts/datasets/dominicks-dataset/dominicks-manual-and-codebook_kiltscenter.aspx) for more details about the data."
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 4,
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "Starting data download ...\n",
+      "Data download completed. Data saved to /data/home/chenhui/work/forecasting/ojdata\n"
+     ]
+    }
+   ],
+   "source": [
+    "if DOWNLOAD_DATA:\n",
+    "    download_ojdata(DATA_DIR)\n",
+    "    print(\"Data download completed. Data saved to \" + DATA_DIR)"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## Split Data for Single-Round Forecasting\n",
+    "\n",
+    "Next, we can use `split_train_test()` utility function to split the data in `yx.csv` into training and test sets. If we want to do a one-time model training and evaluation, we can split the data using the default settings provided in `forecasting_lib.common.forecast_settings`.\n",
+    "\n",
+    "The data split function will return training data and test data as dataframes. The training data includes `train_df` and `aux_df` with `train_df` containing the historical sales up to week 135 (the time we make forecasts) and `aux_df` containing price/promotion information up until week 138. Here we assume that future price and promotion information up to a certain number of weeks ahead is predetermined and known. The test data is stored in `test_df` which contains the sales of each product in week 137 and 138. Assuming the current week is week 135, our goal is to forecast the sales in week 137 and 138 using the training data. There is a one-week gap between the current week and the first target week of forecasting as we want to leave time for planning inventory in practice."
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 5,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "data_generator = split_train_test(DATA_DIR, fs)\n",
+    "[train_df, test_df, aux_df] = next(data_generator)\n",
+    "train_df.reset_index(inplace=True)\n",
+    "test_df.reset_index(inplace=True)\n",
+    "aux_df.reset_index(inplace=True)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 6,
+   "metadata": {},
+   "outputs": [
+    {
+     "data": {
+      "text/html": [
+       "<div>\n",
+       "<style scoped>\n",
+       "    .dataframe tbody tr th:only-of-type {\n",
+       "        vertical-align: middle;\n",
+       "    }\n",
+       "\n",
+       "    .dataframe tbody tr th {\n",
+       "        vertical-align: top;\n",
+       "    }\n",
+       "\n",
+       "    .dataframe thead th {\n",
+       "        text-align: right;\n",
+       "    }\n",
+       "</style>\n",
+       "<table border=\"1\" class=\"dataframe\">\n",
+       "  <thead>\n",
+       "    <tr style=\"text-align: right;\">\n",
+       "      <th></th>\n",
+       "      <th>store</th>\n",
+       "      <th>brand</th>\n",
+       "      <th>week</th>\n",
+       "      <th>logmove</th>\n",
+       "      <th>constant</th>\n",
+       "      <th>price1</th>\n",
+       "      <th>price2</th>\n",
+       "      <th>price3</th>\n",
+       "      <th>price4</th>\n",
+       "      <th>price5</th>\n",
+       "      <th>price6</th>\n",
+       "      <th>price7</th>\n",
+       "      <th>price8</th>\n",
+       "      <th>price9</th>\n",
+       "      <th>price10</th>\n",
+       "      <th>price11</th>\n",
+       "      <th>deal</th>\n",
+       "      <th>feat</th>\n",
+       "      <th>profit</th>\n",
+       "    </tr>\n",
+       "  </thead>\n",
+       "  <tbody>\n",
+       "    <tr>\n",
+       "      <th>0</th>\n",
+       "      <td>2</td>\n",
+       "      <td>1</td>\n",
+       "      <td>40</td>\n",
+       "      <td>9.018695</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.060469</td>\n",
+       "      <td>0.060497</td>\n",
+       "      <td>0.042031</td>\n",
+       "      <td>0.029531</td>\n",
+       "      <td>0.049531</td>\n",
+       "      <td>0.053021</td>\n",
+       "      <td>0.038906</td>\n",
+       "      <td>0.041406</td>\n",
+       "      <td>0.028906</td>\n",
+       "      <td>0.024844</td>\n",
+       "      <td>0.038984</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.0</td>\n",
+       "      <td>37.992326</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>1</th>\n",
+       "      <td>2</td>\n",
+       "      <td>1</td>\n",
+       "      <td>46</td>\n",
+       "      <td>8.723231</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.060469</td>\n",
+       "      <td>0.060312</td>\n",
+       "      <td>0.045156</td>\n",
+       "      <td>0.046719</td>\n",
+       "      <td>0.049531</td>\n",
+       "      <td>0.047813</td>\n",
+       "      <td>0.045781</td>\n",
+       "      <td>0.027969</td>\n",
+       "      <td>0.042969</td>\n",
+       "      <td>0.042031</td>\n",
+       "      <td>0.038984</td>\n",
+       "      <td>0</td>\n",
+       "      <td>0.0</td>\n",
+       "      <td>30.126667</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>2</th>\n",
+       "      <td>2</td>\n",
+       "      <td>1</td>\n",
+       "      <td>47</td>\n",
+       "      <td>8.253228</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.060469</td>\n",
+       "      <td>0.060312</td>\n",
+       "      <td>0.045156</td>\n",
+       "      <td>0.046719</td>\n",
+       "      <td>0.037344</td>\n",
+       "      <td>0.053021</td>\n",
+       "      <td>0.045781</td>\n",
+       "      <td>0.041406</td>\n",
+       "      <td>0.048125</td>\n",
+       "      <td>0.032656</td>\n",
+       "      <td>0.038984</td>\n",
+       "      <td>0</td>\n",
+       "      <td>0.0</td>\n",
+       "      <td>30.000000</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>3</th>\n",
+       "      <td>2</td>\n",
+       "      <td>1</td>\n",
+       "      <td>48</td>\n",
+       "      <td>8.987197</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.060469</td>\n",
+       "      <td>0.060312</td>\n",
+       "      <td>0.049844</td>\n",
+       "      <td>0.037344</td>\n",
+       "      <td>0.049531</td>\n",
+       "      <td>0.053021</td>\n",
+       "      <td>0.045781</td>\n",
+       "      <td>0.041406</td>\n",
+       "      <td>0.042344</td>\n",
+       "      <td>0.032656</td>\n",
+       "      <td>0.038984</td>\n",
+       "      <td>0</td>\n",
+       "      <td>0.0</td>\n",
+       "      <td>29.950000</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>4</th>\n",
+       "      <td>2</td>\n",
+       "      <td>1</td>\n",
+       "      <td>50</td>\n",
+       "      <td>9.093357</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.060469</td>\n",
+       "      <td>0.060312</td>\n",
+       "      <td>0.043594</td>\n",
+       "      <td>0.031094</td>\n",
+       "      <td>0.049531</td>\n",
+       "      <td>0.053021</td>\n",
+       "      <td>0.046648</td>\n",
+       "      <td>0.041406</td>\n",
+       "      <td>0.042344</td>\n",
+       "      <td>0.032656</td>\n",
+       "      <td>0.038203</td>\n",
+       "      <td>0</td>\n",
+       "      <td>0.0</td>\n",
+       "      <td>29.920000</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>...</th>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>84178</th>\n",
+       "      <td>137</td>\n",
+       "      <td>11</td>\n",
+       "      <td>131</td>\n",
+       "      <td>9.631154</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.027969</td>\n",
+       "      <td>0.051979</td>\n",
+       "      <td>0.049080</td>\n",
+       "      <td>0.039820</td>\n",
+       "      <td>0.031094</td>\n",
+       "      <td>0.048395</td>\n",
+       "      <td>0.037500</td>\n",
+       "      <td>0.038906</td>\n",
+       "      <td>0.023281</td>\n",
+       "      <td>0.022187</td>\n",
+       "      <td>0.025703</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.0</td>\n",
+       "      <td>17.170000</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>84179</th>\n",
+       "      <td>137</td>\n",
+       "      <td>11</td>\n",
+       "      <td>132</td>\n",
+       "      <td>9.704061</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.030504</td>\n",
+       "      <td>0.051979</td>\n",
+       "      <td>0.043594</td>\n",
+       "      <td>0.033927</td>\n",
+       "      <td>0.033167</td>\n",
+       "      <td>0.045729</td>\n",
+       "      <td>0.031094</td>\n",
+       "      <td>0.038906</td>\n",
+       "      <td>0.025313</td>\n",
+       "      <td>0.024844</td>\n",
+       "      <td>0.026328</td>\n",
+       "      <td>1</td>\n",
+       "      <td>1.0</td>\n",
+       "      <td>18.630000</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>84180</th>\n",
+       "      <td>137</td>\n",
+       "      <td>11</td>\n",
+       "      <td>133</td>\n",
+       "      <td>8.995165</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.043056</td>\n",
+       "      <td>0.051979</td>\n",
+       "      <td>0.045542</td>\n",
+       "      <td>0.031094</td>\n",
+       "      <td>0.037205</td>\n",
+       "      <td>0.046579</td>\n",
+       "      <td>0.033470</td>\n",
+       "      <td>0.037969</td>\n",
+       "      <td>0.020156</td>\n",
+       "      <td>0.025625</td>\n",
+       "      <td>0.029609</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.0</td>\n",
+       "      <td>25.350000</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>84181</th>\n",
+       "      <td>137</td>\n",
+       "      <td>11</td>\n",
+       "      <td>134</td>\n",
+       "      <td>8.912473</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.039062</td>\n",
+       "      <td>0.049301</td>\n",
+       "      <td>0.049588</td>\n",
+       "      <td>0.032300</td>\n",
+       "      <td>0.031094</td>\n",
+       "      <td>0.050937</td>\n",
+       "      <td>0.042031</td>\n",
+       "      <td>0.035781</td>\n",
+       "      <td>0.022031</td>\n",
+       "      <td>0.031094</td>\n",
+       "      <td>0.029609</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.0</td>\n",
+       "      <td>25.320000</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>84182</th>\n",
+       "      <td>137</td>\n",
+       "      <td>11</td>\n",
+       "      <td>135</td>\n",
+       "      <td>9.901886</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.040473</td>\n",
+       "      <td>0.045729</td>\n",
+       "      <td>0.046957</td>\n",
+       "      <td>0.045223</td>\n",
+       "      <td>0.033493</td>\n",
+       "      <td>0.050937</td>\n",
+       "      <td>0.033941</td>\n",
+       "      <td>0.035781</td>\n",
+       "      <td>0.026406</td>\n",
+       "      <td>0.022969</td>\n",
+       "      <td>0.023359</td>\n",
+       "      <td>1</td>\n",
+       "      <td>1.0</td>\n",
+       "      <td>5.350000</td>\n",
+       "    </tr>\n",
+       "  </tbody>\n",
+       "</table>\n",
+       "<p>84183 rows × 19 columns</p>\n",
+       "</div>"
+      ],
+      "text/plain": [
+       "       store  brand  week   logmove  constant    price1    price2    price3  \\\n",
+       "0          2      1    40  9.018695         1  0.060469  0.060497  0.042031   \n",
+       "1          2      1    46  8.723231         1  0.060469  0.060312  0.045156   \n",
+       "2          2      1    47  8.253228         1  0.060469  0.060312  0.045156   \n",
+       "3          2      1    48  8.987197         1  0.060469  0.060312  0.049844   \n",
+       "4          2      1    50  9.093357         1  0.060469  0.060312  0.043594   \n",
+       "...      ...    ...   ...       ...       ...       ...       ...       ...   \n",
+       "84178    137     11   131  9.631154         1  0.027969  0.051979  0.049080   \n",
+       "84179    137     11   132  9.704061         1  0.030504  0.051979  0.043594   \n",
+       "84180    137     11   133  8.995165         1  0.043056  0.051979  0.045542   \n",
+       "84181    137     11   134  8.912473         1  0.039062  0.049301  0.049588   \n",
+       "84182    137     11   135  9.901886         1  0.040473  0.045729  0.046957   \n",
+       "\n",
+       "         price4    price5    price6    price7    price8    price9   price10  \\\n",
+       "0      0.029531  0.049531  0.053021  0.038906  0.041406  0.028906  0.024844   \n",
+       "1      0.046719  0.049531  0.047813  0.045781  0.027969  0.042969  0.042031   \n",
+       "2      0.046719  0.037344  0.053021  0.045781  0.041406  0.048125  0.032656   \n",
+       "3      0.037344  0.049531  0.053021  0.045781  0.041406  0.042344  0.032656   \n",
+       "4      0.031094  0.049531  0.053021  0.046648  0.041406  0.042344  0.032656   \n",
+       "...         ...       ...       ...       ...       ...       ...       ...   \n",
+       "84178  0.039820  0.031094  0.048395  0.037500  0.038906  0.023281  0.022187   \n",
+       "84179  0.033927  0.033167  0.045729  0.031094  0.038906  0.025313  0.024844   \n",
+       "84180  0.031094  0.037205  0.046579  0.033470  0.037969  0.020156  0.025625   \n",
+       "84181  0.032300  0.031094  0.050937  0.042031  0.035781  0.022031  0.031094   \n",
+       "84182  0.045223  0.033493  0.050937  0.033941  0.035781  0.026406  0.022969   \n",
+       "\n",
+       "        price11  deal  feat     profit  \n",
+       "0      0.038984     1   0.0  37.992326  \n",
+       "1      0.038984     0   0.0  30.126667  \n",
+       "2      0.038984     0   0.0  30.000000  \n",
+       "3      0.038984     0   0.0  29.950000  \n",
+       "4      0.038203     0   0.0  29.920000  \n",
+       "...         ...   ...   ...        ...  \n",
+       "84178  0.025703     1   0.0  17.170000  \n",
+       "84179  0.026328     1   1.0  18.630000  \n",
+       "84180  0.029609     1   0.0  25.350000  \n",
+       "84181  0.029609     1   0.0  25.320000  \n",
+       "84182  0.023359     1   1.0   5.350000  \n",
+       "\n",
+       "[84183 rows x 19 columns]"
+      ]
+     },
+     "execution_count": 6,
+     "metadata": {},
+     "output_type": "execute_result"
+    }
+   ],
+   "source": [
+    "train_df"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 7,
+   "metadata": {},
+   "outputs": [
+    {
+     "data": {
+      "text/html": [
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+       "</style>\n",
+       "<table border=\"1\" class=\"dataframe\">\n",
+       "  <thead>\n",
+       "    <tr style=\"text-align: right;\">\n",
+       "      <th></th>\n",
+       "      <th>store</th>\n",
+       "      <th>brand</th>\n",
+       "      <th>week</th>\n",
+       "      <th>logmove</th>\n",
+       "      <th>constant</th>\n",
+       "      <th>price1</th>\n",
+       "      <th>price2</th>\n",
+       "      <th>price3</th>\n",
+       "      <th>price4</th>\n",
+       "      <th>price5</th>\n",
+       "      <th>price6</th>\n",
+       "      <th>price7</th>\n",
+       "      <th>price8</th>\n",
+       "      <th>price9</th>\n",
+       "      <th>price10</th>\n",
+       "      <th>price11</th>\n",
+       "      <th>deal</th>\n",
+       "      <th>feat</th>\n",
+       "      <th>profit</th>\n",
+       "    </tr>\n",
+       "  </thead>\n",
+       "  <tbody>\n",
+       "    <tr>\n",
+       "      <th>0</th>\n",
+       "      <td>2</td>\n",
+       "      <td>1</td>\n",
+       "      <td>137</td>\n",
+       "      <td>9.189321</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.041645</td>\n",
+       "      <td>0.051979</td>\n",
+       "      <td>0.047656</td>\n",
+       "      <td>0.038801</td>\n",
+       "      <td>0.032656</td>\n",
+       "      <td>0.038125</td>\n",
+       "      <td>0.032861</td>\n",
+       "      <td>0.036094</td>\n",
+       "      <td>0.037344</td>\n",
+       "      <td>0.022187</td>\n",
+       "      <td>0.032422</td>\n",
+       "      <td>0</td>\n",
+       "      <td>0.0</td>\n",
+       "      <td>20.425098</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>1</th>\n",
+       "      <td>2</td>\n",
+       "      <td>1</td>\n",
+       "      <td>138</td>\n",
+       "      <td>9.738613</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.037344</td>\n",
+       "      <td>0.038958</td>\n",
+       "      <td>0.047656</td>\n",
+       "      <td>0.035781</td>\n",
+       "      <td>0.043594</td>\n",
+       "      <td>0.050937</td>\n",
+       "      <td>0.042031</td>\n",
+       "      <td>0.038906</td>\n",
+       "      <td>0.037344</td>\n",
+       "      <td>0.031094</td>\n",
+       "      <td>0.032422</td>\n",
+       "      <td>1</td>\n",
+       "      <td>1.0</td>\n",
+       "      <td>11.290000</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>2</th>\n",
+       "      <td>2</td>\n",
+       "      <td>2</td>\n",
+       "      <td>137</td>\n",
+       "      <td>8.738735</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.041645</td>\n",
+       "      <td>0.051979</td>\n",
+       "      <td>0.047656</td>\n",
+       "      <td>0.038801</td>\n",
+       "      <td>0.032656</td>\n",
+       "      <td>0.038125</td>\n",
+       "      <td>0.032861</td>\n",
+       "      <td>0.036094</td>\n",
+       "      <td>0.037344</td>\n",
+       "      <td>0.022187</td>\n",
+       "      <td>0.032422</td>\n",
+       "      <td>0</td>\n",
+       "      <td>0.0</td>\n",
+       "      <td>33.300308</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>3</th>\n",
+       "      <td>2</td>\n",
+       "      <td>2</td>\n",
+       "      <td>138</td>\n",
+       "      <td>9.601301</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.037344</td>\n",
+       "      <td>0.038958</td>\n",
+       "      <td>0.047656</td>\n",
+       "      <td>0.035781</td>\n",
+       "      <td>0.043594</td>\n",
+       "      <td>0.050937</td>\n",
+       "      <td>0.042031</td>\n",
+       "      <td>0.038906</td>\n",
+       "      <td>0.037344</td>\n",
+       "      <td>0.031094</td>\n",
+       "      <td>0.032422</td>\n",
+       "      <td>1</td>\n",
+       "      <td>1.0</td>\n",
+       "      <td>9.430000</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>4</th>\n",
+       "      <td>2</td>\n",
+       "      <td>3</td>\n",
+       "      <td>137</td>\n",
+       "      <td>7.560080</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.041645</td>\n",
+       "      <td>0.051979</td>\n",
+       "      <td>0.047656</td>\n",
+       "      <td>0.038801</td>\n",
+       "      <td>0.032656</td>\n",
+       "      <td>0.038125</td>\n",
+       "      <td>0.032861</td>\n",
+       "      <td>0.036094</td>\n",
+       "      <td>0.037344</td>\n",
+       "      <td>0.022187</td>\n",
+       "      <td>0.032422</td>\n",
+       "      <td>0</td>\n",
+       "      <td>0.0</td>\n",
+       "      <td>30.506667</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>...</th>\n",
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+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
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+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>1821</th>\n",
+       "      <td>137</td>\n",
+       "      <td>9</td>\n",
+       "      <td>138</td>\n",
+       "      <td>5.950643</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.037344</td>\n",
+       "      <td>0.038958</td>\n",
+       "      <td>0.047656</td>\n",
+       "      <td>0.035781</td>\n",
+       "      <td>0.043594</td>\n",
+       "      <td>0.050937</td>\n",
+       "      <td>0.042031</td>\n",
+       "      <td>0.038906</td>\n",
+       "      <td>0.037344</td>\n",
+       "      <td>0.031094</td>\n",
+       "      <td>0.032422</td>\n",
+       "      <td>0</td>\n",
+       "      <td>0.0</td>\n",
+       "      <td>29.490000</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>1822</th>\n",
+       "      <td>137</td>\n",
+       "      <td>10</td>\n",
+       "      <td>137</td>\n",
+       "      <td>10.606189</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.042785</td>\n",
+       "      <td>0.051979</td>\n",
+       "      <td>0.047656</td>\n",
+       "      <td>0.040621</td>\n",
+       "      <td>0.032656</td>\n",
+       "      <td>0.038125</td>\n",
+       "      <td>0.033353</td>\n",
+       "      <td>0.036875</td>\n",
+       "      <td>0.037344</td>\n",
+       "      <td>0.021094</td>\n",
+       "      <td>0.032109</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.0</td>\n",
+       "      <td>5.110000</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>1823</th>\n",
+       "      <td>137</td>\n",
+       "      <td>10</td>\n",
+       "      <td>138</td>\n",
+       "      <td>8.886271</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.037344</td>\n",
+       "      <td>0.038958</td>\n",
+       "      <td>0.047656</td>\n",
+       "      <td>0.035781</td>\n",
+       "      <td>0.043594</td>\n",
+       "      <td>0.050937</td>\n",
+       "      <td>0.042031</td>\n",
+       "      <td>0.038906</td>\n",
+       "      <td>0.037344</td>\n",
+       "      <td>0.031094</td>\n",
+       "      <td>0.032422</td>\n",
+       "      <td>0</td>\n",
+       "      <td>0.0</td>\n",
+       "      <td>34.120000</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>1824</th>\n",
+       "      <td>137</td>\n",
+       "      <td>11</td>\n",
+       "      <td>137</td>\n",
+       "      <td>8.912473</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.042785</td>\n",
+       "      <td>0.051979</td>\n",
+       "      <td>0.047656</td>\n",
+       "      <td>0.040621</td>\n",
+       "      <td>0.032656</td>\n",
+       "      <td>0.038125</td>\n",
+       "      <td>0.033353</td>\n",
+       "      <td>0.036875</td>\n",
+       "      <td>0.037344</td>\n",
+       "      <td>0.021094</td>\n",
+       "      <td>0.032109</td>\n",
+       "      <td>0</td>\n",
+       "      <td>0.0</td>\n",
+       "      <td>31.720000</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>1825</th>\n",
+       "      <td>137</td>\n",
+       "      <td>11</td>\n",
+       "      <td>138</td>\n",
+       "      <td>8.723231</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.037344</td>\n",
+       "      <td>0.038958</td>\n",
+       "      <td>0.047656</td>\n",
+       "      <td>0.035781</td>\n",
+       "      <td>0.043594</td>\n",
+       "      <td>0.050937</td>\n",
+       "      <td>0.042031</td>\n",
+       "      <td>0.038906</td>\n",
+       "      <td>0.037344</td>\n",
+       "      <td>0.031094</td>\n",
+       "      <td>0.032422</td>\n",
+       "      <td>0</td>\n",
+       "      <td>0.0</td>\n",
+       "      <td>33.590000</td>\n",
+       "    </tr>\n",
+       "  </tbody>\n",
+       "</table>\n",
+       "<p>1826 rows × 19 columns</p>\n",
+       "</div>"
+      ],
+      "text/plain": [
+       "      store  brand  week    logmove  constant    price1    price2    price3  \\\n",
+       "0         2      1   137   9.189321         1  0.041645  0.051979  0.047656   \n",
+       "1         2      1   138   9.738613         1  0.037344  0.038958  0.047656   \n",
+       "2         2      2   137   8.738735         1  0.041645  0.051979  0.047656   \n",
+       "3         2      2   138   9.601301         1  0.037344  0.038958  0.047656   \n",
+       "4         2      3   137   7.560080         1  0.041645  0.051979  0.047656   \n",
+       "...     ...    ...   ...        ...       ...       ...       ...       ...   \n",
+       "1821    137      9   138   5.950643         1  0.037344  0.038958  0.047656   \n",
+       "1822    137     10   137  10.606189         1  0.042785  0.051979  0.047656   \n",
+       "1823    137     10   138   8.886271         1  0.037344  0.038958  0.047656   \n",
+       "1824    137     11   137   8.912473         1  0.042785  0.051979  0.047656   \n",
+       "1825    137     11   138   8.723231         1  0.037344  0.038958  0.047656   \n",
+       "\n",
+       "        price4    price5    price6    price7    price8    price9   price10  \\\n",
+       "0     0.038801  0.032656  0.038125  0.032861  0.036094  0.037344  0.022187   \n",
+       "1     0.035781  0.043594  0.050937  0.042031  0.038906  0.037344  0.031094   \n",
+       "2     0.038801  0.032656  0.038125  0.032861  0.036094  0.037344  0.022187   \n",
+       "3     0.035781  0.043594  0.050937  0.042031  0.038906  0.037344  0.031094   \n",
+       "4     0.038801  0.032656  0.038125  0.032861  0.036094  0.037344  0.022187   \n",
+       "...        ...       ...       ...       ...       ...       ...       ...   \n",
+       "1821  0.035781  0.043594  0.050937  0.042031  0.038906  0.037344  0.031094   \n",
+       "1822  0.040621  0.032656  0.038125  0.033353  0.036875  0.037344  0.021094   \n",
+       "1823  0.035781  0.043594  0.050937  0.042031  0.038906  0.037344  0.031094   \n",
+       "1824  0.040621  0.032656  0.038125  0.033353  0.036875  0.037344  0.021094   \n",
+       "1825  0.035781  0.043594  0.050937  0.042031  0.038906  0.037344  0.031094   \n",
+       "\n",
+       "       price11  deal  feat     profit  \n",
+       "0     0.032422     0   0.0  20.425098  \n",
+       "1     0.032422     1   1.0  11.290000  \n",
+       "2     0.032422     0   0.0  33.300308  \n",
+       "3     0.032422     1   1.0   9.430000  \n",
+       "4     0.032422     0   0.0  30.506667  \n",
+       "...        ...   ...   ...        ...  \n",
+       "1821  0.032422     0   0.0  29.490000  \n",
+       "1822  0.032109     1   0.0   5.110000  \n",
+       "1823  0.032422     0   0.0  34.120000  \n",
+       "1824  0.032109     0   0.0  31.720000  \n",
+       "1825  0.032422     0   0.0  33.590000  \n",
+       "\n",
+       "[1826 rows x 19 columns]"
+      ]
+     },
+     "execution_count": 7,
+     "metadata": {},
+     "output_type": "execute_result"
+    }
+   ],
+   "source": [
+    "test_df"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 8,
+   "metadata": {},
+   "outputs": [
+    {
+     "data": {
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+       "  <thead>\n",
+       "    <tr style=\"text-align: right;\">\n",
+       "      <th></th>\n",
+       "      <th>store</th>\n",
+       "      <th>brand</th>\n",
+       "      <th>week</th>\n",
+       "      <th>price1</th>\n",
+       "      <th>price2</th>\n",
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+       "    <tr>\n",
+       "      <th>1</th>\n",
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+       "      <td>0.060469</td>\n",
+       "      <td>0.060312</td>\n",
+       "      <td>0.045156</td>\n",
+       "      <td>0.046719</td>\n",
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+       "      <td>0.047813</td>\n",
+       "      <td>0.045781</td>\n",
+       "      <td>0.027969</td>\n",
+       "      <td>0.042969</td>\n",
+       "      <td>0.042031</td>\n",
+       "      <td>0.038984</td>\n",
+       "      <td>0</td>\n",
+       "      <td>0.0</td>\n",
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+       "    <tr>\n",
+       "      <th>2</th>\n",
+       "      <td>2</td>\n",
+       "      <td>1</td>\n",
+       "      <td>47</td>\n",
+       "      <td>0.060469</td>\n",
+       "      <td>0.060312</td>\n",
+       "      <td>0.045156</td>\n",
+       "      <td>0.046719</td>\n",
+       "      <td>0.037344</td>\n",
+       "      <td>0.053021</td>\n",
+       "      <td>0.045781</td>\n",
+       "      <td>0.041406</td>\n",
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+       "      <td>0</td>\n",
+       "      <td>0.0</td>\n",
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+       "    <tr>\n",
+       "      <th>3</th>\n",
+       "      <td>2</td>\n",
+       "      <td>1</td>\n",
+       "      <td>48</td>\n",
+       "      <td>0.060469</td>\n",
+       "      <td>0.060312</td>\n",
+       "      <td>0.049844</td>\n",
+       "      <td>0.037344</td>\n",
+       "      <td>0.049531</td>\n",
+       "      <td>0.053021</td>\n",
+       "      <td>0.045781</td>\n",
+       "      <td>0.041406</td>\n",
+       "      <td>0.042344</td>\n",
+       "      <td>0.032656</td>\n",
+       "      <td>0.038984</td>\n",
+       "      <td>0</td>\n",
+       "      <td>0.0</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>4</th>\n",
+       "      <td>2</td>\n",
+       "      <td>1</td>\n",
+       "      <td>50</td>\n",
+       "      <td>0.060469</td>\n",
+       "      <td>0.060312</td>\n",
+       "      <td>0.043594</td>\n",
+       "      <td>0.031094</td>\n",
+       "      <td>0.049531</td>\n",
+       "      <td>0.053021</td>\n",
+       "      <td>0.046648</td>\n",
+       "      <td>0.041406</td>\n",
+       "      <td>0.042344</td>\n",
+       "      <td>0.032656</td>\n",
+       "      <td>0.038203</td>\n",
+       "      <td>0</td>\n",
+       "      <td>0.0</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>...</th>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "      <td>...</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>86906</th>\n",
+       "      <td>137</td>\n",
+       "      <td>11</td>\n",
+       "      <td>134</td>\n",
+       "      <td>0.039062</td>\n",
+       "      <td>0.049301</td>\n",
+       "      <td>0.049588</td>\n",
+       "      <td>0.032300</td>\n",
+       "      <td>0.031094</td>\n",
+       "      <td>0.050937</td>\n",
+       "      <td>0.042031</td>\n",
+       "      <td>0.035781</td>\n",
+       "      <td>0.022031</td>\n",
+       "      <td>0.031094</td>\n",
+       "      <td>0.029609</td>\n",
+       "      <td>1</td>\n",
+       "      <td>0.0</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>86907</th>\n",
+       "      <td>137</td>\n",
+       "      <td>11</td>\n",
+       "      <td>135</td>\n",
+       "      <td>0.040473</td>\n",
+       "      <td>0.045729</td>\n",
+       "      <td>0.046957</td>\n",
+       "      <td>0.045223</td>\n",
+       "      <td>0.033493</td>\n",
+       "      <td>0.050937</td>\n",
+       "      <td>0.033941</td>\n",
+       "      <td>0.035781</td>\n",
+       "      <td>0.026406</td>\n",
+       "      <td>0.022969</td>\n",
+       "      <td>0.023359</td>\n",
+       "      <td>1</td>\n",
+       "      <td>1.0</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>86908</th>\n",
+       "      <td>137</td>\n",
+       "      <td>11</td>\n",
+       "      <td>136</td>\n",
+       "      <td>0.049844</td>\n",
+       "      <td>0.047412</td>\n",
+       "      <td>0.047656</td>\n",
+       "      <td>0.046554</td>\n",
+       "      <td>0.043594</td>\n",
+       "      <td>0.050937</td>\n",
+       "      <td>0.031094</td>\n",
+       "      <td>0.035781</td>\n",
+       "      <td>0.026875</td>\n",
+       "      <td>0.020156</td>\n",
+       "      <td>0.032422</td>\n",
+       "      <td>0</td>\n",
+       "      <td>0.0</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>86909</th>\n",
+       "      <td>137</td>\n",
+       "      <td>11</td>\n",
+       "      <td>137</td>\n",
+       "      <td>0.042785</td>\n",
+       "      <td>0.051979</td>\n",
+       "      <td>0.047656</td>\n",
+       "      <td>0.040621</td>\n",
+       "      <td>0.032656</td>\n",
+       "      <td>0.038125</td>\n",
+       "      <td>0.033353</td>\n",
+       "      <td>0.036875</td>\n",
+       "      <td>0.037344</td>\n",
+       "      <td>0.021094</td>\n",
+       "      <td>0.032109</td>\n",
+       "      <td>0</td>\n",
+       "      <td>0.0</td>\n",
+       "    </tr>\n",
+       "    <tr>\n",
+       "      <th>86910</th>\n",
+       "      <td>137</td>\n",
+       "      <td>11</td>\n",
+       "      <td>138</td>\n",
+       "      <td>0.037344</td>\n",
+       "      <td>0.038958</td>\n",
+       "      <td>0.047656</td>\n",
+       "      <td>0.035781</td>\n",
+       "      <td>0.043594</td>\n",
+       "      <td>0.050937</td>\n",
+       "      <td>0.042031</td>\n",
+       "      <td>0.038906</td>\n",
+       "      <td>0.037344</td>\n",
+       "      <td>0.031094</td>\n",
+       "      <td>0.032422</td>\n",
+       "      <td>0</td>\n",
+       "      <td>0.0</td>\n",
+       "    </tr>\n",
+       "  </tbody>\n",
+       "</table>\n",
+       "<p>86911 rows × 16 columns</p>\n",
+       "</div>"
+      ],
+      "text/plain": [
+       "       store  brand  week    price1    price2    price3    price4    price5  \\\n",
+       "0          2      1    40  0.060469  0.060497  0.042031  0.029531  0.049531   \n",
+       "1          2      1    46  0.060469  0.060312  0.045156  0.046719  0.049531   \n",
+       "2          2      1    47  0.060469  0.060312  0.045156  0.046719  0.037344   \n",
+       "3          2      1    48  0.060469  0.060312  0.049844  0.037344  0.049531   \n",
+       "4          2      1    50  0.060469  0.060312  0.043594  0.031094  0.049531   \n",
+       "...      ...    ...   ...       ...       ...       ...       ...       ...   \n",
+       "86906    137     11   134  0.039062  0.049301  0.049588  0.032300  0.031094   \n",
+       "86907    137     11   135  0.040473  0.045729  0.046957  0.045223  0.033493   \n",
+       "86908    137     11   136  0.049844  0.047412  0.047656  0.046554  0.043594   \n",
+       "86909    137     11   137  0.042785  0.051979  0.047656  0.040621  0.032656   \n",
+       "86910    137     11   138  0.037344  0.038958  0.047656  0.035781  0.043594   \n",
+       "\n",
+       "         price6    price7    price8    price9   price10   price11  deal  feat  \n",
+       "0      0.053021  0.038906  0.041406  0.028906  0.024844  0.038984     1   0.0  \n",
+       "1      0.047813  0.045781  0.027969  0.042969  0.042031  0.038984     0   0.0  \n",
+       "2      0.053021  0.045781  0.041406  0.048125  0.032656  0.038984     0   0.0  \n",
+       "3      0.053021  0.045781  0.041406  0.042344  0.032656  0.038984     0   0.0  \n",
+       "4      0.053021  0.046648  0.041406  0.042344  0.032656  0.038203     0   0.0  \n",
+       "...         ...       ...       ...       ...       ...       ...   ...   ...  \n",
+       "86906  0.050937  0.042031  0.035781  0.022031  0.031094  0.029609     1   0.0  \n",
+       "86907  0.050937  0.033941  0.035781  0.026406  0.022969  0.023359     1   1.0  \n",
+       "86908  0.050937  0.031094  0.035781  0.026875  0.020156  0.032422     0   0.0  \n",
+       "86909  0.038125  0.033353  0.036875  0.037344  0.021094  0.032109     0   0.0  \n",
+       "86910  0.050937  0.042031  0.038906  0.037344  0.031094  0.032422     0   0.0  \n",
+       "\n",
+       "[86911 rows x 16 columns]"
+      ]
+     },
+     "execution_count": 8,
+     "metadata": {},
+     "output_type": "execute_result"
+    }
+   ],
+   "source": [
+    "aux_df"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## Split Data for Multi-Round Forecasting\n",
+    "\n",
+    "We can also create training data and test data for multi-round forecasting. In this case, we gradually increase the length of the training data at each round. This allows us to retrain the forecasting model for achieving more accurate forecasts. Using the default settings in `forecasting_lib/common/forecast_settings.py` and update `NUM_ROUNDS` to 12, we can generate the training and test sets as follows\n",
+    "\n",
+    "\n",
+    "| **Round** | **Train period <br> start week** | **Train period <br> end week** | **Test period <br> start week** | **Test period <br> end week** |\n",
+    "| -------- | --------------- | ------------------ | ------------------------- | ----------------------- |\n",
+    "| 1 | 40 | 135 | 137 | 138 |\n",
+    "| 2 | 40 | 137 | 139 | 140 |\n",
+    "| 3 | 40 | 139 | 141 | 142 |\n",
+    "| 4 | 40 | 141 | 143 | 144 |\n",
+    "| 5 | 40 | 143 | 145 | 146 |\n",
+    "| 6 | 40 | 145 | 147 | 148 |\n",
+    "| 7 | 40 | 147 | 149 | 150 |\n",
+    "| 8 | 40 | 149 | 151 | 152 |\n",
+    "| 9 | 40 | 151 | 153 | 154 |\n",
+    "| 10 | 40 | 153 | 155 | 156 |\n",
+    "| 11 | 40 | 155 | 157 | 158 |\n",
+    "| 12 | 40 | 157 | 159 | 160 |\n",
+    "\n",
+    "The gap of one week between training period and test period allows store managers to prepare the stock based on the forecasted demand. Besides, we assume that the information about the price, deal, and advertisement up until the forecast period end week is available at each round."
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 9,
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "Training data size: (84183, 19)\n",
+      "Testing data size: (1826, 19)\n",
+      "Auxiliary data size: (86911, 16)\n",
+      "Minimum training week number: 40\n",
+      "Maximum training week number: 135\n",
+      "Minimum testing week number: 137\n",
+      "Maximum testing week number: 138\n",
+      "Minimum auxiliary week number: 40\n",
+      "Maximum auxiliary week number: 138\n",
+      "\n",
+      "Training data size: (85998, 19)\n",
+      "Testing data size: (1793, 19)\n",
+      "Auxiliary data size: (88704, 16)\n",
+      "Minimum training week number: 40\n",
+      "Maximum training week number: 137\n",
+      "Minimum testing week number: 139\n",
+      "Maximum testing week number: 140\n",
+      "Minimum auxiliary week number: 40\n",
+      "Maximum auxiliary week number: 140\n",
+      "\n",
+      "Training data size: (87802, 19)\n",
+      "Testing data size: (1771, 19)\n",
+      "Auxiliary data size: (90475, 16)\n",
+      "Minimum training week number: 40\n",
+      "Maximum training week number: 139\n",
+      "Minimum testing week number: 141\n",
+      "Maximum testing week number: 142\n",
+      "Minimum auxiliary week number: 40\n",
+      "Maximum auxiliary week number: 142\n",
+      "\n",
+      "Training data size: (89617, 19)\n",
+      "Testing data size: (1749, 19)\n",
+      "Auxiliary data size: (92224, 16)\n",
+      "Minimum training week number: 40\n",
+      "Maximum training week number: 141\n",
+      "Minimum testing week number: 143\n",
+      "Maximum testing week number: 144\n",
+      "Minimum auxiliary week number: 40\n",
+      "Maximum auxiliary week number: 144\n",
+      "\n",
+      "Training data size: (91333, 19)\n",
+      "Testing data size: (1727, 19)\n",
+      "Auxiliary data size: (93951, 16)\n",
+      "Minimum training week number: 40\n",
+      "Maximum training week number: 143\n",
+      "Minimum testing week number: 145\n",
+      "Maximum testing week number: 146\n",
+      "Minimum auxiliary week number: 40\n",
+      "Maximum auxiliary week number: 146\n",
+      "\n",
+      "Training data size: (93071, 19)\n",
+      "Testing data size: (1749, 19)\n",
+      "Auxiliary data size: (95700, 16)\n",
+      "Minimum training week number: 40\n",
+      "Maximum training week number: 145\n",
+      "Minimum testing week number: 147\n",
+      "Maximum testing week number: 148\n",
+      "Minimum auxiliary week number: 40\n",
+      "Maximum auxiliary week number: 148\n",
+      "\n",
+      "Training data size: (94842, 19)\n",
+      "Testing data size: (1771, 19)\n",
+      "Auxiliary data size: (97471, 16)\n",
+      "Minimum training week number: 40\n",
+      "Maximum training week number: 147\n",
+      "Minimum testing week number: 149\n",
+      "Maximum testing week number: 150\n",
+      "Minimum auxiliary week number: 40\n",
+      "Maximum auxiliary week number: 150\n",
+      "\n",
+      "Training data size: (96591, 19)\n",
+      "Testing data size: (1738, 19)\n",
+      "Auxiliary data size: (99209, 16)\n",
+      "Minimum training week number: 40\n",
+      "Maximum training week number: 149\n",
+      "Minimum testing week number: 151\n",
+      "Maximum testing week number: 152\n",
+      "Minimum auxiliary week number: 40\n",
+      "Maximum auxiliary week number: 152\n",
+      "\n",
+      "Training data size: (98340, 19)\n",
+      "Testing data size: (1705, 19)\n",
+      "Auxiliary data size: (100914, 16)\n",
+      "Minimum training week number: 40\n",
+      "Maximum training week number: 151\n",
+      "Minimum testing week number: 153\n",
+      "Maximum testing week number: 154\n",
+      "Minimum auxiliary week number: 40\n",
+      "Maximum auxiliary week number: 154\n",
+      "\n",
+      "Training data size: (100056, 19)\n",
+      "Testing data size: (1705, 19)\n",
+      "Auxiliary data size: (102619, 16)\n",
+      "Minimum training week number: 40\n",
+      "Maximum training week number: 153\n",
+      "Minimum testing week number: 155\n",
+      "Maximum testing week number: 156\n",
+      "Minimum auxiliary week number: 40\n",
+      "Maximum auxiliary week number: 156\n",
+      "\n",
+      "Training data size: (101772, 19)\n",
+      "Testing data size: (1749, 19)\n",
+      "Auxiliary data size: (104368, 16)\n",
+      "Minimum training week number: 40\n",
+      "Maximum training week number: 155\n",
+      "Minimum testing week number: 157\n",
+      "Maximum testing week number: 158\n",
+      "Minimum auxiliary week number: 40\n",
+      "Maximum auxiliary week number: 158\n",
+      "\n",
+      "Training data size: (103488, 19)\n",
+      "Testing data size: (1771, 19)\n",
+      "Auxiliary data size: (106139, 16)\n",
+      "Minimum training week number: 40\n",
+      "Maximum training week number: 157\n",
+      "Minimum testing week number: 159\n",
+      "Maximum testing week number: 160\n",
+      "Minimum auxiliary week number: 40\n",
+      "Maximum auxiliary week number: 160\n",
+      "\n"
+     ]
+    }
+   ],
+   "source": [
+    "fs.NUM_ROUNDS = 12\n",
+    "for train_df, test_df, aux_df in split_train_test(DATA_DIR, fs):\n",
+    "    train_df.reset_index(inplace=True)\n",
+    "    test_df.reset_index(inplace=True)\n",
+    "    aux_df.reset_index(inplace=True)\n",
+    "    print(\"Training data size: {}\".format(train_df.shape))\n",
+    "    print(\"Testing data size: {}\".format(test_df.shape))\n",
+    "    print(\"Auxiliary data size: {}\".format(aux_df.shape))\n",
+    "    print(\"Minimum training week number: {}\".format(min(train_df[\"week\"])))\n",
+    "    print(\"Maximum training week number: {}\".format(max(train_df[\"week\"])))\n",
+    "    print(\"Minimum testing week number: {}\".format(min(test_df[\"week\"])))\n",
+    "    print(\"Maximum testing week number: {}\".format(max(test_df[\"week\"])))\n",
+    "    print(\"Minimum auxiliary week number: {}\".format(min(aux_df[\"week\"])))\n",
+    "    print(\"Maximum auxiliary week number: {}\".format(max(aux_df[\"week\"])))\n",
+    "    print(\"\")"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## Additional Reading\n",
+    "\n",
+    "\\[1\\] Christoph GBergmeir, Rob J. Hyndman, and Bonsoo Koo. 2018. A Note on the Validity of Cross-Validation for Evaluating Autoregressive Time Series Prediction. Computational Statistics & Data Analysis. 120, pp. 70-83.<br>\n",
+    "\\[2\\] How To Backtest Machine Learning Models for Time Series Forecasting: https://machinelearningmastery.com/backtest-machine-learning-models-time-series-forecasting/Parameters.rst <br>\n",
+    "\n"
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3.6.7 64-bit ('forecast': conda)",
+   "language": "python",
+   "name": "python36764bitforecastconda6547c53842644e9994cb8960c1d7107f"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.6.7-final"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 4
+}