The correspondence between the training dataset and the testing dataset

[tangqideng]

Should we train a model on tran1.csv and test it on test1.csv, and then train another model on train2.csv and test it on test2.csv?
This is because tran1.csv and test.csv may follow the same distribution, and train2.csv and test2.csv may follow another different distribution.
As concept drift is common in time series data, and if train1.csv and test2.csv do not have the same distribution, the model's performance will significantly deteriorate during testing.