Hi Kishan!

Thanks for the feedback :)

Ref [1] below proposes something similar but combined with the idea of k-fold CV. Ref. [2] also tests this approach. There's also the popular book "Advances in Financial ML".

[1] Racine, Jeff. "Consistent cross-validatory model-selection for dependent data: hv-block cross-validation." Journal of econometrics 99.1 (2000): 39-61.

[2] Bergmeir, Christoph, Mauro Costantini, and José M. Benítez. "On the usefulness of cross-validation for directional forecast evaluation." Computational Statistics & Data Analysis 76 (2014): 132-143.

Hope this helps!