Why not use *interleaved* runs of trading days for training and testing
the models? That is, use x days in the past for training, then keep the
following x days apart for testing (i.e., they don't get looked at
during model creation), then use the following ones for training,
repeat?
A couple remarks: typically you benefit from using more
data for training than for testing, so it shouldn't be an even 50-50
split--but that's easy to arrange. And if you want to incorporate
seasonal variations you can set x="a whole trading year". But I wouldn't
do what I (perhaps mistakenly) read in your email: train with old
data, then test with uniformy-newer data.
**Guillermo