The Combinatorial Purged Cross-Validation method

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

Colab Notebook

Google Colaboratory

Introduction

This article discusses a robust backtesting method for time series data named the PurgedKFold cross-validation (CV) method. On the internet, limited information is present on the PurgedKFoldCV method. There are existing …

backtesting crypto finance timeseries validation