Sentinel Reference Docs GitHub

cv.py

Sentinel/Lab/sentinel_lab/cv.py

   
Family Lab (Python)
Version —
Size 66 lines
Scope public — ships in sentinel-suite
Documented by no doc tracks this artifact

Rendered from the published copy in sentinel-suite/src/, not the author’s private tree — so this page describes the file you actually have.

What the file says about itself

Purged walk-forward cross-validation with an embargo.

NEVER use random k-fold here. Overlapping forward label windows mean adjacent rows
share outcomes; random k-fold leaks the test fold into training and is the single
most common way people convince themselves they have an edge they do not have.
(Lopez de Prado, *Advances in Financial Machine Learning*, ch. 7.)

Expanding window, strictly forward:

    train:  rows whose LABEL WINDOW closed at least `embargo` before the fold opens
            -- i.e. t1 <= test_start - embargo.  A row that fired before the fold but
            whose outcome resolves inside it is PURGED: its label is contaminated.
    test:   rows firing inside the fold.