Cross-Validation Configuration

Splitter configuration objects validate settings and serialize them for reproducible runs. Pass the loaded configuration to the splitter constructor.

Save and reload a walk-forward configuration

from pathlib import Path

import numpy as np

from ml4t.diagnostic.splitters import WalkForwardCV
from ml4t.diagnostic.splitters.config import WalkForwardConfig

config = WalkForwardConfig(
    n_splits=4,
    train_size=120,
    test_size=40,
    label_horizon=5,
    calendar_id=None,
)

path = Path("walk_forward.json")
config.to_json(path)
reloaded = WalkForwardConfig.from_json(path)
cv = WalkForwardCV(config=reloaded)

features = np.arange(600, dtype=float).reshape(300, 2)
splits = list(cv.split(features))
assert len(splits) == 4
assert reloaded.model_dump() == config.model_dump()
print(path.read_text())

Use to_yaml and from_yaml for YAML. Both formats preserve the validated configuration values.

label_horizon accepts an integer number of observations or a fixed duration such as 5D or 1W. Monthly research configurations may use 1M or the ISO form P1M; each month is deliberately normalized to 30 calendar days because purging requires a fixed duration. Use 30D directly when you want that approximation to be explicit.

Persist generated folds

Persist the actual train/test indices when an audit or later model run must use the same observations, not just the same splitter settings.

from ml4t.diagnostic.splitters import load_folds, save_folds

fold_path = Path("walk_forward_folds.json")
save_folds(splits, features, fold_path, metadata={"dataset": "example-v1"})
loaded_folds, metadata = load_folds(fold_path)

assert metadata["dataset"] == "example-v1"
assert all(
    np.array_equal(saved_train, loaded_train)
    and np.array_equal(saved_test, loaded_test)
    for (saved_train, saved_test), (loaded_train, loaded_test) in zip(
        splits, loaded_folds, strict=True
    )
)

Configuration classes

Splitter	Configuration
WalkForwardCV	WalkForwardConfig
CombinatorialCV	CombinatorialConfig

Do not pass individual splitter parameters together with config. The constructor rejects conflicting sources of settings.