Validation

PortfolioOptimisers.cross_val_predict Function

cross_val_predict(opt, rd::ReturnsResult, cv::CVER = KFold(); cols = :, ex = FLoops.ThreadedEx())

Run cross-validated portfolio optimisation and return predictions over all folds.

Accepts either an optimisation estimator or an optimisation result. When cols is provided, restricts the optimisation to that subset of assets. Parallel fold execution is controlled by ex.

Arguments

• opt: Optimisation estimator or result.

• rd::ReturnsResult: Returns data used for fitting and prediction.

• cv::CVER: Cross-validation scheme. Defaults to KFold().

• cols: Column selector. Defaults to : (all assets).

• ex: FLoops executor controlling parallelism. Defaults to FLoops.ThreadedEx().

Returns

• Cross-validation prediction result.

Related

• KFold

• WalkForwardEstimator

• fit_and_predict

source