Fix n_retrain option in benchmark_forecast.py. (#86)

benchmark_forecast.py

@@ -1,5 +1,5 @@
 #
-# Copyright (c) 2021 salesforce.com, inc.
+# Copyright (c) 2022 salesforce.com, inc.
 # All rights reserved.
 # SPDX-License-Identifier: BSD-3-Clause
 # For full license text, see the LICENSE file in the repo root or https://opensource.org/licenses/BSD-3-Clause
@@ -305,9 +305,11 @@ def train_model(
             elif retrain_type == "sliding_window_retrain":
                 retrain_freq = math.ceil(test_window_len / int(n_retrain))
                 train_window = train_window_len
+                horizon = min(retrain_freq, horizon)
             elif retrain_type == "expanding_window_retrain":
                 retrain_freq = math.ceil(test_window_len / int(n_retrain))
                 train_window = None
+                horizon = min(retrain_freq, horizon)
             else:
                 raise ValueError(
                     "the retrain_type should be without_retrain, sliding_window_retrain or expanding_window_retrain"