WalkForward split periods in calendar units, like Weeks, Months, #41
jmlocatelli
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The difficulty is that the cross-validators have no information about data frequency (the input X could be a numpy array, a DataFrame with no datatime index etc.). So it needs to be done by the user:
Would that work for your use-case? |
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Btw, there is a backtester, tested against the matlab one in my scikit-portfolio develop branch it is basic but works. |
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Hi, for the investor perpective, it would be nice to have the possibility to split and synchronize the train and test periods for the rolling portfolio as calendar unit, like weeks, months and others.
Ex.:
WalkForward(train_size=12, test_size=3, unit="Month")
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