Purged walk-forward tuning¶
Grid/random hyperparameter search scored on purged walk-forward folds (see
fynance.data.split), so configurations are compared out-of-sample only.
The trial count feeds fynance.research.guards.deflated_sharpe_ratio to
deflate the winning configuration’s Sharpe by the number of trials.
|
Result of |
|
Purged walk-forward hyperparameter search. |