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[BACKTEST-MODEL] TKT-P1-004 Walk-forward + Purge/Embargo 분할 유틸 #289

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opened 2026-02-27 08:25:44 +09:00 by agentson · 0 comments
agentson commented 2026-02-27 08:25:44 +09:00
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Summary

Implement walk-forward splitter with purge/embargo controls for leakage-safe validation.

Scope

  • REQ: REQ-V2-006
  • TASK: TASK-V2-010, TASK-CODE-005
  • TEST: TEST-ACC-013

Acceptance Criteria

  1. Splitter generates sequential train/test folds.
  2. Purge removes samples near test window boundaries from train.
  3. Embargo excludes post-test samples from immediate next train.
  4. Unit tests cover fold ordering, purge, embargo, and edge cases.

Out of Scope

  • Full model training/backtest integration
## Summary Implement walk-forward splitter with purge/embargo controls for leakage-safe validation. ## Scope - REQ: `REQ-V2-006` - TASK: `TASK-V2-010`, `TASK-CODE-005` - TEST: `TEST-ACC-013` ## Acceptance Criteria 1. Splitter generates sequential train/test folds. 2. Purge removes samples near test window boundaries from train. 3. Embargo excludes post-test samples from immediate next train. 4. Unit tests cover fold ordering, purge, embargo, and edge cases. ## Out of Scope - Full model training/backtest integration
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Reference: jihoson/The-Ouroboros#289
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