How to determine the best period for cross validation?
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Description
Hi, I have 2 years of daily data (one data per day from Monday to Friday), plus the current year and I want to forecast up to a month and a half (45 days horizon). I set as initial one year of data but my problem is with the period, I don't know what would be the optimal period to have the lowest possible error and the correct calculation for the hyperparameters.
I know that in the documentation they explain well the horizon, initial and period and its default setting of initial = 3*horizon and period = 0.5 *horizon. I have tested with 5, 10 and 23 days and get a similar average MAPE with all, but their MAPE over the 45 day forecast are very different. This is what I get:
With period = 23 days

With period = 10 days

With period = 5 days

I tend to think that the right thing to do is to choose period = 5 because it is constant over the horizon, or even use a lower value, but I want to be sure of this. Or maybe answer what is a better criterion for choosing period?
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