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Add masked backtest #563

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alex-hse-repository opened this issue Feb 22, 2022 · 0 comments · Fixed by #613
Closed
1 task

Add masked backtest #563

alex-hse-repository opened this issue Feb 22, 2022 · 0 comments · Fixed by #613
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enhancement New feature or request

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alex-hse-repository commented Feb 22, 2022

🚀 Feature Request

Add ability to set masks for folds in backtest

Motivation

More flexibility for backtest strategy

Proposal

  1. Add class FoldMask(see etna-utils)
  2. In AbstractPipeline
  • change the signature of backtest: n_folds: Union[int, List[FoldMask]] = 5
  1. In BasePipeline
  • change the signature of backtest: n_folds: Union[int, List[FoldMask]] = 5
  • use the backtest implementation from etna-utils
  • if n_folds is int, create fold masks for the n_folds
  1. In all the places where backtest is used make n_folds: Union[int, List[FoldMask]]

Test cases

Add tests from etna-utils

Alternatives

No response

Additional context

Blocked by #562

Checklist

  • I discussed this issue with ETNA Team
@alex-hse-repository alex-hse-repository added the enhancement New feature or request label Feb 22, 2022
@alex-hse-repository alex-hse-repository moved this to Specification in etna board Feb 22, 2022
@alex-hse-repository alex-hse-repository moved this from Specification to Todo in etna board Feb 25, 2022
@alex-hse-repository alex-hse-repository self-assigned this Mar 10, 2022
@alex-hse-repository alex-hse-repository moved this from Todo to In Progress in etna board Mar 10, 2022
@alex-hse-repository alex-hse-repository moved this from In Progress to In Review in etna board Mar 21, 2022
Repository owner moved this from In Review to Done in etna board Mar 24, 2022
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Labels
enhancement New feature or request
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