Combinatorial PurgedKFold Cross-Validation for Deep Reinforcement Learning

This article is written by Berend Gort & Bruce Yang, core team members of the Open-Source project AI4Finance. This project is an open-source community sharing AI tools for finance, and a part of the Columbia University in New York. GitHub link:

AI4Finance Foundation

Introduction

Our previous article described the Combinatorial PurgedKFold Cross-Validation method in detail for classifiers (or regressors) with regular predictions. This strategy allows for several backtest paths instead of a single historical one.

What …

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