Function run_cpcv

crates/openquant/src/backtesting_engine.rs:297–372

(
    data: &BacktestData,
    run: &BacktestRunConfig,
    config: &CpcvConfig,
    mut evaluator: E,
)

}

pub fn run_cpcv<E>(
    data: &BacktestData,
    run: &BacktestRunConfig,
    config: &CpcvConfig,
    mut evaluator: E,
) -> Result<CpcvResult, String>
where
    E: FnMut(&SplitDefinition) -> Result<Vec<f64>, String>,
{
    data.validate()?;
    run.validate(BacktestMode::CombinatorialPurgedCrossValidation)?;
    validate_cpcv_params(config.n_groups, config.test_groups)?;
    validate_embargo(config.pct_embargo)?;

    let group_index_map = contiguous_folds(data.returns.len(), config.n_groups)?;
    let group_combinations = combinations(config.n_groups, config.test_groups);
    let mut split_defs = Vec::with_capacity(group_combinations.len());

    for (split_id, groups) in group_combinations.iter().enumerate() {
        let mut test_indices = Vec::new();
        for g in groups {
            test_indices.extend(group_index_map[*g].iter().copied());
        }
        test_indices.sort_unstable();

        let initial_train: Vec<usize> =
            (0..data.returns.len()).filter(|idx| !test_indices.contains(idx)).collect();
        let (train_indices, purged_count, embargo_count) = apply_purge_and_embargo(
            &initial_train,
            &test_indices,
            &data.label_spans,
            config.pct_embargo,
            data.returns.len(),
        );

        if train_indices.is_empty() {
            return Err("CPCV produced an empty train split".to_string());
        }

        split_defs.push(SplitDefinition {
            split_id,
            train_indices,
            test_indices,
            test_groups: groups.clone(),
            purged_count,
            embargo_count,
        });
    }

    let (folds, split_returns) = evaluate_splits_with_returns(&split_defs, &mut evaluator)?;
    let path_count = cpcv_path_count(config.n_groups, config.test_groups)?;
    let path_assignments = build_cpcv_path_assignments(config.n_groups, &split_defs, path_count)?;
    let path_distribution = build_path_distribution(
        config.n_groups,
        &group_index_map,
        &path_assignments,
        &split_defs,
        &split_returns,