I am trying to use the EMD applied to EURUSD open price to train a machine learning algo (RVM).
I have run only once the EMD on my training set and once on the training+test set.
The results on the test sets only are quite good. However when I apply the algo on the last sample only the predictions are bad.
Shall I run the EMD on each sample of my training set using a sliding window ?
I understand EMD is non-causal, but can it be used in some ways for training a machine learning algo ?