Drawing validation set from test set
Forget that you are working with a neural network for a moment. Hopefully you are also taking into account time. If you were performing a ordinary regression and time was a component among others, you would have to apply an extrapolation penalty to your confidence intervals to penalize your model for deviated from the observed range.

Another possibility is that you have an intervention in your dataset. Meaning, it is possible that something occurred and what you need to truly do is a variance test between the training and the sample data.

Traditional regression handles minimization of variance around the mean, but there is something called median regression as well, which is design for this particular type of issue, when there are problems with dispersion in the model.