Function run_cross_validation

crates/openquant/src/backtesting_engine.rs:250–295

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

}

pub fn run_cross_validation<E>(
    data: &BacktestData,
    run: &BacktestRunConfig,
    config: &CrossValidationConfig,
    mut evaluator: E,
) -> Result<CrossValidationResult, String>
where
    E: FnMut(&SplitDefinition) -> Result<Vec<f64>, String>,
{
    data.validate()?;
    run.validate(BacktestMode::CrossValidation)?;
    validate_embargo(config.pct_embargo)?;
    if config.n_splits < 2 {
        return Err("n_splits must be >= 2".to_string());
    }

    let base_test_splits = contiguous_folds(data.returns.len(), config.n_splits)?;
    let mut split_defs = Vec::with_capacity(base_test_splits.len());
    for (split_id, test_indices) in base_test_splits.into_iter().enumerate() {
        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("cross-validation produced an empty train split".to_string());
        }
        split_defs.push(SplitDefinition {
            split_id,
            train_indices,
            test_indices,
            test_groups: vec![split_id],
            purged_count,
            embargo_count,
        });
    }

    let folds = evaluate_splits(&split_defs, &mut evaluator)?;
    let diagnostics =
        build_diagnostics(BacktestMode::CrossValidation, run, config.pct_embargo, &split_defs);
    Ok(CrossValidationResult { folds, splits: split_defs, diagnostics })
}

pub fn run_cpcv<E>(
    data: &BacktestData,