purgedcv
scikit-learn-compatible purged and combinatorial cross-validation for time-series and financial machine learning
scikit-learn-compatible purged and combinatorial cross-validation for time-series and financial machine learning
To install this package, run one of the following:
purgedcv implements purging and embargoing of overlapping labels, walk-forward validation, purged and group-purged k-fold, Combinatorial Purged Cross-Validation (CPCV) with backtest-path reconstruction, and the Probabilistic Sharpe Ratio, Deflated Sharpe Ratio, Minimum Track Record Length, and Minimum Backtest Length. Every splitter follows the scikit-learn splitter protocol.
Summary
scikit-learn-compatible purged and combinatorial cross-validation for time-series and financial machine learning
Last Updated
Oct 16, 2026 at 16:04
License
MIT
Supported Platforms
GitHub Repository
https://github.com/eslazarev/purged-cross-validationDocumentation
https://eslazarev.github.io/purged-cross-validation/