Adversarial validation, part two - FastML

In this second article on adversarial validation we get to the meat of the matter: what we can do when train and test sets differ. Will we be able to make a better validation set? The problem with training examples being different from test examples is that validation won't be any good for comparing models. That's because validation examples originate in the training set. We can see this effect when using Numerai data, which comes from financial time series.