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.

SearchResult(table, params, best_params, ...)

Result of walk_forward_search.

walk_forward_search(factory, param_grid, X, y, *)

Purged walk-forward hyperparameter search.