calplot.py

import calplot

cfg_date_ranges = {    "test_date_ranges": [
      [
        "2011-01-01",
        "2011-12-31"
      ],
      [
        "2020-01-01",
        "2020-12-31"
      ]
    ],
    "train_date_ranges": [
      [
        "2010-01-01",
        "2010-12-31"
      ],
      [
        "2012-01-01",
        "2012-12-31"
      ],
      [
        "2014-01-01",
        "2017-12-31"
      ],
      [
        "2019-01-01",
        "2019-12-31"
      ],
      [
        "2021-01-01",
        "2021-12-31"
      ]
    ],
    "val_date_ranges": [
      [
        "2013-01-01",
        "2013-12-31"
      ],
      [
        "2018-01-01",
        "2018-12-31"
      ]
    ]
}


all_vars = []
for key in cfg_date_ranges.keys():
    dr = np.concatenate([
        pd.date_range(dr[0], dr[1]) for dr in cfg_date_ranges[key]
    ])
    _df = pd.DataFrame({"date": dr, "split": [key.split("_")[0] for _ in dr]})
    all_vars.append(_df)

df = pd.concat(all_vars).sort_values("date").astype({"split": "category"})
df = df.set_index("date")
df["split_code"] = df.split.cat.codes

calplot.calplot(df["split_code"]);

I don't actually know how to control the colouring, the plot I created I did manually