Hands-On Machine Learning for Algorithmic Trading

How to code a custom cross-validation class

We also construct a custom cross-validation class tailored to the format of the data just created, which has pandas MultiIndex with two levels, one for the ticker and one for the data:

class OneStepTimeSeriesSplit:    """Generates tuples of train_idx, test_idx pairs    Assumes the index contains a level labeled 'date'"""    def __init__(self, n_splits=3, test_period_length=1, shuffle=False):        self.n_splits = n_splits        self.test_period_length = test_period_length        self.shuffle = shuffle        self.test_end = n_splits * test_period_length    @staticmethod    def chunks(l, chunk_size):        for i in range(0, len(l), chunk_size):            yield l[i:i + chunk_size]    def split(self, X, y=None, groups=None):        unique_dates = (X.index .get_level_values( ...