fix(quantlib): support multi-segment test sets and guard empty training partitions in CV - #1204
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santhreal wants to merge 1 commit into
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fix(quantlib): support multi-segment test sets and guard empty training partitions in CV#1204santhreal wants to merge 1 commit into
santhreal wants to merge 1 commit into
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…ng partitions in CV Enhance _apply_purge_and_embargo and detect_boundary_leakage to handle non-contiguous held-out test blocks in combinatorial purged splits, and guard empty training sets under heavy embargo. Signed-off-by: santhreal <64453045+santhreal@users.noreply.github.com>
he-yufeng
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Aug 25, 2026
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Verified this one end to end, and it is a real fix. Reproduction on current main with two non-contiguous test blocks ({2} and {9}) and one-period labels: the span logic purges 8 of 12 observations, wiping the gap training points 4..7; this branch purges only the 4 adjacent ones, which is the correct semantics. The contiguous-segment split in _apply_purge_and_embargo is sound, the empty-test-mask early return fixes a latent index-out-of-range on the old first_test lookup, and the empty-training-fold guard is a good addition. test_crossvalidation.py passes (36) on the branch.
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Summary
Fixes combinatorial purged cross-validation splits where holding out multiple non-contiguous test blocks caused purge & embargo to treat the entire span as test, purging all training observations. Also guards against empty training folds under heavy embargo.
Changes
_apply_purge_and_embargoanddetect_boundary_leakageinagent/src/quantlib/crossvalidation.pyto identify and process individual contiguous test segments.ValueErrorwhen purge and embargo eliminates all training observations in a fold.agent/tests/quantlib/test_crossvalidation.py.Signed-off-by: santhreal 64453045+santhreal@users.noreply.github.com