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Hey. Are your series daily?

Yes sir, but the same can be applied to monthly dataset

To be honest skipping a year in CV isn't something that's easy to do. You may be better off computing the splits manually. All mlforecast does in CV is just compute the splits and call fit + predict, so the easiest way would be just doing that yourself.

What if I do the mlforecast.cross_validation() but I drop the results for the year... And then do the evaluation without this year? Would it work?

No, the

freq

will be used to build the validation dates in each fold and when it gets there it'll raise an error.

Ok thank you for your help :)