{"repo":"eslazarev/purged-cross-validation","free":true,"listed":false,"github":"https://github.com/eslazarev/purged-cross-validation","clone":"git clone https://github.com/eslazarev/purged-cross-validation.git","description":"scikit-learn-compatible time-series cross-validation: purging, embargo, combinatorial purged CV, and deflated Sharpe ratios","language":"Python","stars":26,"topics":["cross-validation","cross-validation-time-series","purged-k-fold-cross-validation","purged-kfold","time-series","lopez-de-prado","mlfinlab","quantitative-finance","sharpe-ratio","combinatorial-purged-cv"],"license":"MIT","category":"trading","readme_excerpt":"purgedcv: scikit-learn-compatible purged and combinatorial cross-validation (CPCV) for time-series and financial machine learning in Python Honest, leakage-aware cross-validation for time series and quantitative finance: purged k-fold, embargo, walk-forward, and combinatorial purged CV (CPCV) with backtest-path reconstruction, plus deflated and probabilistic Sharpe ratios. Documentation → · Example notebooks → · purge/embargo, walk-forward, and CPCV with PSR/DSR worked end to end on real ICU-mortality, turbofan-RUL, rainfall, and electricity-demand data. Cite this software: see CITATION.cff and paper/paper.md (JOSS paper). --- API summary Symbol Domain Description --- --- --- purge D2 Remove overlapping-horizon training rows apply embargo D3 Remove post-test buffer rows WalkForwardSplit D5.1 Sliding / expanding walk-forward CV PurgedKFold D5.2 Contiguous test folds with purge + embargo PurgedGroupKFold D5.3 Group-aware purged k-fold CombinatorialPurgedCV D5.4 C(N,K) combinatorial folds CombinatoriallySymmetricCV D5.4 CSCV: symmetric IS/OOS folds, the PBO substrate reconstruct paths D6 Assemble CPCV folds into backtest paths path metrics D6 Per-path Sharpe / Calmar / drawdown / return table probabilistic sharpe ratio D7 PSR: P(true SR benchmark) deflated sharpe ratio D7 DSR: PSR corrected for multiple testing deflated sharpe ratio full D7 DSR plus the intermediate deflation quantities probability of backtest overfitting D7 PBO via CSCV: how often in-sample selection overfits m","default_branch":null,"files":null,"tree":[],"storefront":"/r/eslazarev","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/eslazarev/purged-cross-validation/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}