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Does Training on Future Data Pay? Look-Ahead Bias in Forecasting with Pretrained Models

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  • Haiqiang Chen
  • Li Chen
  • Yunlong Chen
  • Difang Huang
  • Bo Zhang

Abstract

We examine whether post-origin training information inflates the measured accuracy and economic value of financial forecasts. We evaluate five sets of financial time-series foundation models, each comprising independently trained annual vintages under U.S., global, and factor-augmented training environments, across 14 equity markets and four forecast horizons. Rolling comparisons vary the annual vintage for a fixed forecast; fixed-vintage comparisons hold the vintage fixed as target windows move across its training cutoff. Each alternative forecast is paired with an origin-aligned point-in-time (PIT) benchmark using identical numerical histories and inference protocols. In the U.S.-trained reference environment, post-origin vintages materially revise informative PIT forecasts but generally reduce accuracy in both designs. Pooled rolling comparisons yield higher mean squared forecast errors in 18 of 20 U.S. model-set-horizon combinations. The origin-crossing update also performs worse on average than an equally long pre-origin update. Under a common constrained allocation rule using one-month forecasts, median exposed-minus-PIT differences in annualized certainty-equivalent returns are -1.77 percentage points in the United States and -2.14 points internationally. Global and factor-augmented training produce more mixed predictive effects. An exact squared-error decomposition shows that revisions improve accuracy when their error-correcting benefit exceeds their mean squared magnitude; under U.S. training, alignment with PIT errors generally falls short of this requirement. Temporal exposure therefore establishes an information-set violation, not sufficient evidence of inflated predictive accuracy or investor value.

Suggested Citation

  • Haiqiang Chen & Li Chen & Yunlong Chen & Difang Huang & Bo Zhang, 2026. "Does Training on Future Data Pay? Look-Ahead Bias in Forecasting with Pretrained Models," Papers 2609.20554, arXiv.org.
  • Handle: RePEc:arx:papers:2609.20554
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    File URL: https://arxiv.org/pdf/2609.20554
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