Hi @dzheng1887 , I’m a little bit puzzled about your code.
You split the dataframe in 1/4 and took one era (and that’s fine, providing you do the training also for the other 3).
What it’s not clear to me is the split between training and validation data. I mean you made a completely random split of about 80/20 but without taking into account eras so your training and validation data are completely messed up (and, IMHO, it’s not what you’d want for a time series). I think you’d better follow some kind of “era wise kfold” as suggested here in the forum. What do you think?