[FEATURE REQUEST] - GridSearch, Time Series Cross Validation, and Back Testing

[drobbster]

Is your feature request related to a problem? Please describe. A clear and concise description of what the problem is. Ex. I'm always frustrated when [...]

Describe the solution you'd like I would like to see gridsearch, ts cv, and backtesting like is found in skforecast / scikit learn. It would improve this packages effectiveness in a production environment

Describe alternatives you've considered skforecast

Additional context Add any other context or screenshots about the feature request here.

[aadyotb]

Thanks for the comment. For time series cross validation and backtesting, I suggest you look into Merlion's evaluation framework. I believe this should address a lot of your concerns. If not, please let us know what deficiencies you see, so we can work to improve the library accordingly.

For grid search, this is a work in progress. It's currently supported for specific models, but we can look into implementing more generic versions in future releases.