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OpenQuant OpenQuant Documentation

cross_validation

Subject

Section titled “Subject”

Sampling, Validation and ML Diagnostics

Why This Module Exists

Section titled “Why This Module Exists”

Time-dependent labels violate IID assumptions; purging/embargoing reduces leakage bias.

Mathematical Foundations

Section titled “Mathematical Foundations”

Purged Train Set

Section titled “Purged Train Set”

Ttrain=T∖(Ttest⊕e)\mathcal{T}_{train}=\mathcal{T}\setminus(\mathcal{T}_{test}\oplus e)

Embargo

Section titled “Embargo”

e=⌊p⋅T⌋e=\lfloor p\cdot T\rfloor

Usage Examples

Section titled “Usage Examples”

Rust

Section titled “Rust”

Configure PurgedKFold

Section titled “Configure PurgedKFold”
use openquant::cross_validation::PurgedKFold;


let cv = PurgedKFold::new(5, 0.01);

API Reference

Section titled “API Reference”

Rust API

Section titled “Rust API”
  • ml_cross_val_score
  • ml_get_train_times
  • PurgedKFold
  • Scoring

Implementation Notes

Section titled “Implementation Notes”
  • Always align event end-times when purging.
  • Report variance across folds, not only mean score.