cv_tune_seq: Purged/embargoed K-fold CV for sequence models (inside IS...

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Purged/embargoed K-fold CV for sequence models (inside IS window)

Description

Purged/embargoed K-fold CV for sequence models (inside IS window)

Usage

cv_tune_seq(
  features_list,
  labels,
  is_start,
  is_end,
  steps_grid = c(12L, 26L, 52L),
  horizon = 4L,
  fit_fn,
  predict_fn,
  k = 3L,
  purge = NULL,
  embargo = NULL,
  group = c("pooled"),
  max_train_samples = NULL,
  max_val_samples = NULL,
  na_action = c("omit", "zero"),
  metric = c("spearman", "rmse")
)

Arguments

features_list	List of feature panels (Date + symbols) for sequences.
labels	Label panel aligned to features (Date + symbols).
is_start, is_end	Inclusive IS window indices (on aligned dates).
steps_grid	Integer vector of candidate sequence lengths.
horizon	Forecast horizon (periods ahead).
fit_fn	Function (X, y) -> model for sequences.
predict_fn	Function (model, Xnew) -> numeric scores.
k	Number of CV folds.
purge	Gap (obs) removed between train/val within folds (default uses steps).
embargo	Embargo (obs) after validation to avoid bleed (default uses horizon).
group	'pooled', 'per_symbol', or 'per_group'.
max_train_samples	Optional cap on IS samples per fold.
max_val_samples	Optional cap on validation samples per fold.
na_action	How to handle NA features ('omit' or 'zero').
metric	IC metric ('spearman' or 'pearson').

Value

data.table with columns like steps, folds, and CV score.

PortfolioTesteR documentation built on Nov. 5, 2025, 5:23 p.m.