I'm busy with a supervised machine learning problem where I am predicting contract cancellation. Although a lengthy question, I do hope someone will take the time as I'm convinced it will help others out there (I've just been unable to find ANY solutions that have helped me)
I have the following two datasets:
1) "Modelling Dataset"
Contains about 400k contracts (rows) with 300 features and a single label (0 = "Not Cancelled", 1 = "Cancelled").
Each row represents a single contract, and each contract is only represented once in the data. There are 350k "Not Cancelled" and 50k "Cancelled" cases.
Features are all extracted as at a specific date for each contract. This date is referred to as the "Effective Date". For "Cancelled" contracts, the "Effective Date" is the date of cancellation. For "Not Cancelled" contracts, the "Effective Date" is a date say 6 months ago. This will be explained in a moment.
2) "Live Dataset"
Contains 300k contracts (rows) with the same list of 300 features. All these contracts are "Not Cancelled" of course, as we want to predict which of them will cancel. These contracts were followed for a period of 2 months, and I then added a Label to this data to indicate whether it actually ended up cancelling in those two months: 0 = "Not Cancelled", 1 = "Cancelled"
I get amazing results on the "Modelling Dataset" (random train/test split) (eg Precision 95%, AUC 0.98), but as soon as that model is applied to the "Live Dataset", it performs poorly (cannot predict well which contracts ends up cancelling) (eg Precision 50%, AUC 0.7).
On the Modelling Dataset, the results are great, almost irrespective of model or data preparation. I test a number of models (E.g. SkLearn random forest, Keras neural network, Microsoft GbmLight, SkLearn Recursive feature elimination). Even with default settings, the models generally perform well. I've standardized features. I've binned features to attempt improving how well it will generalize. Nothing has help it generalize to the "Live Dataset"
In my mind, this is not an over-training issue because I've got a test set within the "Modelling Dataset" and those results are great on the test set. It is not a modelling or even a hyper-parameter optimization issue, as the results are already great.
I've also investigated whether there are significant differences in the profile of the features between the two datasets by looking at histograms, feature-by-feature. Nothing is worryingly different.
I suspect the issue lies therein that the same contracts that are marked as "Not Cancelled" in the "Modelling Dataset", which the model trains to recognize "Not Cancelled" of course, is basically the exact same contracts in the "Live Dataset", except that 6 months have now passed.
I suspect that the features for the "Not Cancelled" cases has not changed enough to now make the model recognize some of them as about to be "Cancelled". In other words, the contracts have not moved enough in the feature space.
Firstly, does my suspicion sound correct?
Secondly, if I've stated the problem to be solved incorrectly, how would I then set up the problem-statement if the purpose is to predict cancellation of something like contracts (when the data on which you train will almost certainly contain the data one which you want to predict)?
For the record, the problem-statement I've used here is similar to the way others have done this. And they reported great results. But I'm not sure that the models were ever tested in real live. In other cases, the problem to be solved was lightly different, e.g. hotel booking cancellations, which is different because there a stream of new incoming bookings and booking duration is relatively short, so no bookings in common between the modelling and live dataset. Contracts on the other hand have long duration and can cancel at any time, and sometimes never.