In the production of cold-rolled strip products, strip breakage is one of the most common failures during the cold rolling process. However, the existing prediction models on strip breakage use the conventional sliding window algorithm to process the time series data collected from the actual production, resulting in a massive amount of non-informative data, which increases the computational cost for data-driven modelling. In order to tackle this issue, this article proposed a sliding window filter method to optimise the data pre-processing of the strip breakage. Firstly, based on the existing research and understanding of strip breakage, the data characteristics in the process of strip breakage was analysed. Based on the analysis, sample variance (VAR) and length normalised complexity estimate (LNCE) were chosen to determine how informative the time window was related to strip breakage. Secondly, compared with the conventional sliding window approach, the sliding windows were classified through a filter using VAR and LNCE. Thirdly, the filtered data was fed into the Recurrent Neural Network (RNN) for strip breakage modelling. An experimental study based on actual production data collected by a cold-rolled strip manufacturer was conducted to verify this method's effectiveness. The results show that pre-processing data using the sliding window filter decreases the model's computational cost.