[Danylon]

It is possible to leak information, but then you are doing it wrong. Don't use only a single out of time test set to do parameter or model selection, keep an out of time holdout set.

But really, this is the bare basic of forecasting. It is somewhat annoying to have to regurgitate all of this: Like non-leaking forecasting is impossible somehow. It would be a better discussion if everyone just assumes proper forecasting practices. Instead people seem to assume I have no clue what I am doing, discarding my technique, because I did not mention removing duplicates, scaling, proper validation techniques, ... and a 100 other things, which are of no importance to the technique itself.