Uses of Record Class
com.quantfinlib.backtest.validation.WalkForwardAnalyzer.Fold

Packages that use WalkForwardAnalyzer.Fold

Package

Description

com.quantfinlib.backtest.validation

The defense against overfit backtests: ParameterGrid + GridSearchOptimizer enumerate and rank parameter combinations; WalkForwardAnalyzer optimizes on rolling train windows and evaluates on unseen test windows, stitching out-of-sample equity (capital carries across folds) and reporting the walk-forward efficiency ratio; SharpeValidation applies the Bailey/López de Prado probabilistic and deflated Sharpe — the multiple-testing haircut for grid-picked winners — plus the minimum track record length (how many periods before the record MEANS something, in closed form); BlockBootstrap hands the backtest Sharpe its sampling DISTRIBUTION (stationary Politis-Romano blocks — an iid resample destroys the autocorrelation and understates the uncertainty, the classic route to false confidence): the honest question is whether the 5th percentile is still positive, not whether 1.2 is a good number.

Uses of WalkForwardAnalyzer.Fold in com.quantfinlib.backtest.validation

Methods in com.quantfinlib.backtest.validation that return types with arguments of type WalkForwardAnalyzer.Fold

Modifier and Type	Method	Description
List<WalkForwardAnalyzer.Fold>	WalkForwardAnalyzer.WalkForwardResult.folds()	Returns the value of the folds record component.

Constructor parameters in com.quantfinlib.backtest.validation with type arguments of type WalkForwardAnalyzer.Fold

Modifier	Constructor	Description
	WalkForwardResult(List<WalkForwardAnalyzer.Fold> folds, double[] outOfSampleEquity, PerformanceMetrics outOfSampleMetrics, List<Trade> outOfSampleTrades, double efficiency)	Creates an instance of a WalkForwardResult record class.