Add cross validation and cross validation accessories.#69
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dcelisgarza wants to merge 64 commits intomainfrom
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Add cross validation and cross validation accessories.#69dcelisgarza wants to merge 64 commits intomainfrom
dcelisgarza wants to merge 64 commits intomainfrom
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Removed commented-out code and unused variables to clean up the function logic.
… fixed or variable, in order to allow for cross validation to pass on current weights, allow fallbacks to be optimisation results
Refactor the construction of matrix X for efficiency.
…d and walkforward
Removed unused calc_prediction_moment_target and related functions to clean up the code.
…sers. Breaking: ReturnRiskMeasure -> ExpectedReturn, ReturnRiskRatioRiskMeasure -> ExpectedReturnRiskRatio
This was referenced Feb 20, 2026
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Pull request overview
This PR adds cross validation functionality and related accessories to PortfolioOptimisers.jl. The implementation includes multiple cross validation strategies (KFold, Combinatorial, WalkForward, MultipleRandomised), prediction and scoring infrastructure, and integration with existing optimisation estimators.
Changes:
- Adds 9 new cross validation files implementing various CV strategies and scoring mechanisms
- Implements factory pattern and
needs_previous_weightstracking across all optimisation estimators - Renames
ReturnRiskMeasure→ExpectedReturnandReturnRiskRatioRiskMeasure→ExpectedReturnRiskRatio - Adds comprehensive test coverage with new test data files
- Updates documentation, examples, and dependency versions
Reviewed changes
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Show a summary per file
| File | Description |
|---|---|
| src/20_Optimisation/02_CrossValidation/*.jl | 9 new files implementing CV base types, KFold, Combinatorial, WalkForward, MultipleRandomised, validation, scoring, and wrappers |
| src/20_Optimisation/*Optimisation.jl | Added factory methods and needs_previous_weights tracking to all optimisation estimators |
| src/19_RiskMeasures/*.jl | Renamed risk measures, added MeanReturnRiskRatio, updated expected_risk functions |
| test/*.jl | Updated tests with new CV test cases and needs_previous_weights assertions |
| test/assets/*.csv.gz | New binary test data files for CV predictions |
| examples/.jl, docs/.md | Updated risk measure names throughout |
| Project.toml | Version bump to 0.16.0, added Combinatorics dependency |
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