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microsoft / qlib

Qlib is an AI-oriented quantitative investment platform that aims to realize the potential, empower research, and create value using AI technologies in quantitative investment, from exploring ideas to implementing productions. Qlib supports diverse machine learning modeling paradigms. including supervised learning, market dynamics modeling, and RL.
https://qlib.readthedocs.io/en/latest/
MIT License
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kfold cross validation #665

Closed kurucan closed 2 years ago

kurucan commented 3 years ago

is it possible to do k-fold cross validation?

you-n-g commented 3 years ago

Cross-validation on a rolling basis is a more common practice in time-series data

Here is an example you can base on. Perhaps you need some future modification.

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