PortfolioOptimisers.jl

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Combinatorial ​

PortfolioOptimisers.CombinatorialCrossValidation Type
julia
struct CombinatorialCrossValidation{T1, T2, T3, T4} <: NonSequentialCrossValidationEstimator
    n_folds::T1
    n_test_folds::T2
    purged_size::T3
    embargo_size::T4
end

Implements combinatorial non-sequential cross-validation with purging and embargoing, allowing for all possible combinations of test folds.

Fields

  • n_folds: Number of folds to split the data into.

  • n_test_folds: Number of folds to use as test set in each split.

  • purged_size: Number of observations to exclude from the start/end of each train set adjacent to a test set.

  • embargo_size: Number of observations to exclude from the start of each train set after a test set.

Constructors

julia
CombinatorialCrossValidation(; n_folds::Integer = 10, n_test_folds::Integer = 8,
                             purged_size::Integer = 0, embargo_size::Integer = 0,
                             warn_comb::Integer = 100_000)

Keyword arguments correspond to the fields above.

Validation

  • n_folds must be non-empty, greater than zero, and finite.

  • n_test_folds must be non-empty, greater than zero, and finite.

  • purged_size and embargo_size must be non-empty and finite.

  • Warns if the number of combinations exceeds warn_comb.

Examples

julia
julia> CombinatorialCrossValidation(; n_folds = 10, n_test_folds = 8, purged_size = 2,
                                    embargo_size = 1)
CombinatorialCrossValidation
       n_folds ┼ Int64: 10
  n_test_folds ┼ Int64: 8
   purged_size ┼ Int64: 2
  embargo_size ┴ Int64: 1

Related

  • [NonSequentialCrossValidationEstimator]-(@ref)

  • [CombinatorialCrossValidationResult]-(@ref)

  • [split]-(@ref)

  • [n_splits]-(@ref)

source