wf_sweep_tabular: Walk-forward sweep of tabular configs (window-wise...

In PortfolioTesteR: Test Investment Strategies with English-Like Code

Walk-forward sweep of tabular configs (window-wise distribution of metrics)

Description

Walk-forward sweep of tabular configs (window-wise distribution of metrics)

Usage

wf_sweep_tabular(
  features_list,
  labels,
  prices,
  fit_fn,
  predict_fn,
  schedule = list(is = 104L, oos = 4L, step = 4L),
  grid = list(top_k = c(10L, 15L), temperature = c(8, 12), method = c("softmax", "rank"),
    transform = c("zscore")),
  caps = list(max_per_symbol = 0.08, max_per_group = NULL),
  group_map = NULL,
  freq = 52,
  cost_bps = 0,
  max_windows = NULL,
  ic_method = "spearman"
)

Arguments

features_list	List of feature panels.
labels	Label panel.
prices	Price panel for backtests.
fit_fn, predict_fn	Model fit and predict functions.
schedule	List with elements is, oos, step.
grid	Named list of parameter vectors to sweep (e.g., top_k, temperature, method, transform).
caps	Exposure caps (e.g., max_per_symbol/max_per_group).
group_map	Optional Symbol->Group mapping for group caps/selection.
freq	Compounding frequency for annualization (e.g., 52 for weekly).
cost_bps	One-way trading cost in basis points (applied on rebalance).
max_windows	optional limit for speed.
ic_method	IC method ('spearman' or 'pearson').

Value

data.table with medians/means across OOS windows.

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