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OpenQuant OpenQuant Documentation

Methodology and Leakage Controls

Non-Negotiable Controls

Section titled “Non-Negotiable Controls”
  1. Time-aware splitting for event-labeled data.
  2. Purging and embargo when label windows overlap.
  3. Trial-count disclosure for strategy selection diagnostics.
  4. Explicit assumptions for costs, liquidity, and universe definition.

Typical Failure Modes

Section titled “Typical Failure Modes”
  • Random CV inflates apparent performance.
  • Hidden data snooping from repeated tuning without trial tracking.
  • Reporting only point metrics without distributional context.

OpenQuant Modules Supporting These Controls

Section titled “OpenQuant Modules Supporting These Controls”
  • cross_validation
  • backtesting_engine
  • feature_importance
  • strategy_risk