numeraire.core.splitter#
Walk-forward splitters. Yields (train, test) views, PIT-aware.
The splitter only uses the DataView calendar plus
between, so it is shape-agnostic. The horizon purge (a train fold’s targets never reach
into its test fold) is enforced by the view’s aligned(),
which drops any feature whose (t, t+h] target is not realized by the train cutoff;
embargo adds an optional extra gap on top for serial-correlation safety.
Expanding- or rolling-window walk-forward splitter. |
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Split a (train) view into PIT |