Hands-On Machine Learning for Algorithmic Trading

Leave-P-Out CV

A similar version to leave-one-out CV is leave-P-out CV, which generates all possible combinations of p data rows, as shown in the following code:

lpo = LeavePOut(p=2)for train, validate in lpo.split(data):    print(train, validate)[2 3 4 5 6 7 8 9] [0 1][1 3 4 5 6 7 8 9] [0 2]...[0 1 2 3 4 5 6 8] [7 9][0 1 2 3 4 5 6 7] [8 9]