feat(portfolio): add expanding window and purging to walk_forward - #1
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caiyi0616 wants to merge 4 commits into
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feat(portfolio): add expanding window and purging to walk_forward#1caiyi0616 wants to merge 4 commits into
caiyi0616 wants to merge 4 commits into
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- Add `expanding=True` mode: train window starts at index 0 and grows each fold, allowing comparison between rolling and expanding windows. - Add `purging` parameter: exclude last `purging` observations from training window before computing metrics, preventing leakage from overlapping train/test data (Lopez de Prado 2018 methodology). - Add summary statistics row (mean/std/min/max of test metrics) to the result DataFrame for easy aggregation. - Add 6 new test cases covering expanding window, purging gap enforcement, rolling vs expanding comparison, and summary row validation. - Backward compatible: all existing tests pass with default parameters.
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Summary
This PR enhances PR polakowo#850 walk_forward with two critical features for rigorous backtesting:
New Features
1. Expanding Window Mode (
expanding=True)Train window starts at index 0 and grows each fold.
2. Purging Gap (
purging=N)Excludes last N observations from training window to prevent leakage.
3. Summary Statistics Row
Mean/std/min/max of test metrics across folds.
Changes
Backward Compatibility
All existing parameters work identically.