[highd]

This model is showing predictions one day into the future. The "test set" plot is all predictions made with data from 1 day ago. The input sequences have size 1, so no recurrence is happening (see to_1dimension in https://github.com/miguelgfierro/sciblog_support/blob/master...). If you predict that tomorrow will have the same price as today you'll get better plots under the same operating conditions.

In[2]: TIME_AHEAD = 1

Train set has ~1e-6 MSE, Test set has ~0.8 (0.94^2).

EDIT: I should say this person is probably learning, and a lot of this is honest mistake.