Cross validation is a bit more complicated when dealing with time series. This class provides dates to train, validate, and test on.

cross_validation_time.py

class SampleForwardChainCV(object):
    def __init__(self,
                 dates,
                 obs_count,
                 min_start_date=None,
                 max_end_date=None,
                 n_min_train_obs=20,
                 n_min_validate_obs=20,
                 n_min_test_obs=20):

        self.dates = sorted(list(set(dates)))
        self.obs_count = obs_count
        self.min_start_date = min_start_date or self.dates[0]
        self.max_end_date = max_end_date or self.dates[-1]
        self.n_min_train_obs = n_min_train_obs
        self.n_min_validate_obs = n_min_validate_obs
        self.n_min_test_obs = n_min_test_obs

    def split(self):

        def get_end_index(start_index, i, min_obs):
            """Return the next index
               given the sum of obs in
               each element exceed the min
               required
            """
            n_obs = sum(self.obs_count[start_index:i + 1])
            while n_obs < min_obs:
                if self.dates[i] >= self.max_end_date:
                    raise IndexError()
                i += 1
                n_obs = sum(self.obs_count[start_index:i + 1])
            return i

        # Start at this index
        train_start_index = self.dates.index(self.min_start_date)
        
        # Iterate over all dates
        for i in range(train_start_index, len(self.dates)):
            try:
                train_end_index = get_end_index(train_start_index, i, self.n_min_train_obs)

                valid_start_index = train_end_index + 1
                valid_end_index = get_end_index(valid_start_index,
                                                valid_start_index,
                                                self.n_min_validate_obs)

                test_start_index = valid_end_index + 1
                test_end_index = get_end_index(test_start_index,
                                               test_start_index,
                                               self.n_min_test_obs)

                yield (self.dates[train_start_index], self.dates[train_end_index]), \
                      (self.dates[valid_start_index], self.dates[valid_end_index]), \
                      (self.dates[test_start_index], self.dates[test_end_index])
            except:
                break