AFML 7.2.ipynb

{
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    "# Purged KFold as a method\n",
    "\n",
    "The below was an issue that was reported in mlfinlab, which aroused my curiosity.\n",
    "\n",
    "Hence to test the relationship of PurgedKFold with different parameters.\n",
    "\n",
    "[https://github.com/hudson-and-thames/mlfinlab/issues/295#](https://github.com/hudson-and-thames/mlfinlab/issues/295#)\n",
    "\n",
    "At the same time, avoid numpy/ pandas searchsorted if possible. I realised searchsorted either returns unsorted or duplicated dates/ complex values.\n",
    "\n",
    "[A quick look at the current searchsorted issues on github.](https://github.com/numpy/numpy/issues?q=is%3Aissue+is%3Aopen+searchsorted)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Num of CPU core:  4\n",
      "Machine info:  Windows-10-10.0.18362-SP0\n",
      "Python 3.7.4 (default, Aug  9 2019, 18:34:13) [MSC v.1915 64 bit (AMD64)]\n",
      "Numpy 1.18.5\n",
      "Pandas 1.0.4\n"
     ]
    },
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "C:\\Users\\Wei_X\\Anaconda3\\lib\\site-packages\\statsmodels\\tools\\_testing.py:19: FutureWarning: pandas.util.testing is deprecated. Use the functions in the public API at pandas.testing instead.\n",
      "  import pandas.util.testing as tm\n"
     ]
    },
    {
     "data": {
      "text/plain": [
       "<Figure size 1500x800 with 1 Axes>"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "import datetime\n",
    "import pandas as pd\n",
    "import research as rs"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "------ 0-th fold ------\n",
      ">> Training events:\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-09   2020-01-11\n",
      "2020-01-10   2020-01-12\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "dtype: datetime64[ns]\n",
      "------ 1-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-01-06   2020-01-08\n",
      "2020-01-07   2020-01-09\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-09   2020-01-11\n",
      "2020-01-10   2020-01-12\n",
      "dtype: datetime64[ns]\n"
     ]
    }
   ],
   "source": [
    "start = datetime.datetime.strptime(\"01-01-2020\", \"%d-%m-%Y\")\n",
    "start_dates = [start + datetime.timedelta(days=x) for x in range(10)] #sample =10 only\n",
    "end_dates = [start + datetime.timedelta(days=2) for start in start_dates]\n",
    "df = pd.Series(index=start_dates, data=end_dates)\n",
    "\n",
    "# splitter\n",
    "splitter = rs.PurgedKFold(events=df, n_splits=2, pct_embargo = 0.0) #split = 2 only with no embargo\n",
    "\n",
    "# print off folds\n",
    "for k, (train_ind, test_ind) in enumerate(splitter.split(df)):\n",
    "    print(\"------ %d-th fold ------\" % (k))\n",
    "    print(\">> Training events:\")\n",
    "    print(df.iloc[train_ind])\n",
    "    print(\">> Test events:\")\n",
    "    print(df.iloc[test_ind])\n",
    "    \n",
    "#there are leakage below on 1st fold last row over to test set first row."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "------ 0-th fold ------\n",
      ">> Training events:\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-09   2020-01-11\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "dtype: datetime64[ns]\n",
      "------ 1-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-01-06   2020-01-08\n",
      "2020-01-07   2020-01-09\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-09   2020-01-11\n",
      "2020-01-10   2020-01-12\n",
      "dtype: datetime64[ns]\n"
     ]
    }
   ],
   "source": [
    "start = datetime.datetime.strptime(\"01-01-2020\", \"%d-%m-%Y\")\n",
    "start_dates = [start + datetime.timedelta(days=x) for x in range(10)] #sample =10 only\n",
    "end_dates = [start + datetime.timedelta(days=2) for start in start_dates]\n",
    "df = pd.Series(index=start_dates, data=end_dates)\n",
    "\n",
    "# splitter\n",
    "splitter = rs.PurgedKFold(events=df, n_splits=2, pct_embargo = 0.1) #split = 2 only with no embargo\n",
    "\n",
    "# print off folds\n",
    "for k, (train_ind, test_ind) in enumerate(splitter.split(df)):\n",
    "    print(\"------ %d-th fold ------\" % (k))\n",
    "    print(\">> Training events:\")\n",
    "    print(df.iloc[train_ind])\n",
    "    print(\">> Test events:\")\n",
    "    print(df.iloc[test_ind])\n",
    "    \n",
    "#there are NO more leakage below on 1st fold last row over to test set first row."
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "**Note**\n",
    "\n",
    "Notice how I changed from pct_embargo = 0.0 to 0.1.\n",
    "\n",
    "Initially there was leakage/ cross-contamination between training and test sets.\n",
    "\n",
    "After embargo was setted to 0.1.\n",
    "\n",
    "The algo starts to set \"barrier\" between training and test sets.\n",
    "\n",
    "Conceptually, this is what the book taught us. As long as your algo reflects this concept, your algo should be fine.\n",
    "\n",
    "At the same time, please shuffle your test set after splitting into test and train sets. This will further reduce possible selection bias. [AFML 7.1](https://github.com/boyboi86/AFML/blob/master/AFML%207.1.ipynb)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "------ 0-th fold ------\n",
      ">> Training events:\n",
      "2020-02-22   2020-02-24\n",
      "2020-02-23   2020-02-25\n",
      "2020-02-24   2020-02-26\n",
      "2020-02-25   2020-02-27\n",
      "2020-02-26   2020-02-28\n",
      "2020-02-27   2020-02-29\n",
      "2020-02-28   2020-03-01\n",
      "2020-02-29   2020-03-02\n",
      "2020-03-01   2020-03-03\n",
      "2020-03-02   2020-03-04\n",
      "2020-03-03   2020-03-05\n",
      "2020-03-04   2020-03-06\n",
      "2020-03-05   2020-03-07\n",
      "2020-03-06   2020-03-08\n",
      "2020-03-07   2020-03-09\n",
      "2020-03-08   2020-03-10\n",
      "2020-03-09   2020-03-11\n",
      "2020-03-10   2020-03-12\n",
      "2020-03-11   2020-03-13\n",
      "2020-03-12   2020-03-14\n",
      "2020-03-13   2020-03-15\n",
      "2020-03-14   2020-03-16\n",
      "2020-03-15   2020-03-17\n",
      "2020-03-16   2020-03-18\n",
      "2020-03-17   2020-03-19\n",
      "2020-03-18   2020-03-20\n",
      "2020-03-19   2020-03-21\n",
      "2020-03-20   2020-03-22\n",
      "2020-03-21   2020-03-23\n",
      "2020-03-22   2020-03-24\n",
      "2020-03-23   2020-03-25\n",
      "2020-03-24   2020-03-26\n",
      "2020-03-25   2020-03-27\n",
      "2020-03-26   2020-03-28\n",
      "2020-03-27   2020-03-29\n",
      "2020-03-28   2020-03-30\n",
      "2020-03-29   2020-03-31\n",
      "2020-03-30   2020-04-01\n",
      "2020-03-31   2020-04-02\n",
      "2020-04-01   2020-04-03\n",
      "2020-04-02   2020-04-04\n",
      "2020-04-03   2020-04-05\n",
      "2020-04-04   2020-04-06\n",
      "2020-04-05   2020-04-07\n",
      "2020-04-06   2020-04-08\n",
      "2020-04-07   2020-04-09\n",
      "2020-04-08   2020-04-10\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "2020-01-06   2020-01-08\n",
      "2020-01-07   2020-01-09\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-09   2020-01-11\n",
      "2020-01-10   2020-01-12\n",
      "2020-01-11   2020-01-13\n",
      "2020-01-12   2020-01-14\n",
      "2020-01-13   2020-01-15\n",
      "2020-01-14   2020-01-16\n",
      "2020-01-15   2020-01-17\n",
      "2020-01-16   2020-01-18\n",
      "2020-01-17   2020-01-19\n",
      "2020-01-18   2020-01-20\n",
      "2020-01-19   2020-01-21\n",
      "2020-01-20   2020-01-22\n",
      "2020-01-21   2020-01-23\n",
      "2020-01-22   2020-01-24\n",
      "2020-01-23   2020-01-25\n",
      "2020-01-24   2020-01-26\n",
      "2020-01-25   2020-01-27\n",
      "2020-01-26   2020-01-28\n",
      "2020-01-27   2020-01-29\n",
      "2020-01-28   2020-01-30\n",
      "2020-01-29   2020-01-31\n",
      "2020-01-30   2020-02-01\n",
      "2020-01-31   2020-02-02\n",
      "2020-02-01   2020-02-03\n",
      "2020-02-02   2020-02-04\n",
      "2020-02-03   2020-02-05\n",
      "2020-02-04   2020-02-06\n",
      "2020-02-05   2020-02-07\n",
      "2020-02-06   2020-02-08\n",
      "2020-02-07   2020-02-09\n",
      "2020-02-08   2020-02-10\n",
      "2020-02-09   2020-02-11\n",
      "2020-02-10   2020-02-12\n",
      "2020-02-11   2020-02-13\n",
      "2020-02-12   2020-02-14\n",
      "2020-02-13   2020-02-15\n",
      "2020-02-14   2020-02-16\n",
      "2020-02-15   2020-02-17\n",
      "2020-02-16   2020-02-18\n",
      "2020-02-17   2020-02-19\n",
      "2020-02-18   2020-02-20\n",
      "2020-02-19   2020-02-21\n",
      "dtype: datetime64[ns]\n",
      "------ 1-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "2020-01-06   2020-01-08\n",
      "2020-01-07   2020-01-09\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-09   2020-01-11\n",
      "2020-01-10   2020-01-12\n",
      "2020-01-11   2020-01-13\n",
      "2020-01-12   2020-01-14\n",
      "2020-01-13   2020-01-15\n",
      "2020-01-14   2020-01-16\n",
      "2020-01-15   2020-01-17\n",
      "2020-01-16   2020-01-18\n",
      "2020-01-17   2020-01-19\n",
      "2020-01-18   2020-01-20\n",
      "2020-01-19   2020-01-21\n",
      "2020-01-20   2020-01-22\n",
      "2020-01-21   2020-01-23\n",
      "2020-01-22   2020-01-24\n",
      "2020-01-23   2020-01-25\n",
      "2020-01-24   2020-01-26\n",
      "2020-01-25   2020-01-27\n",
      "2020-01-26   2020-01-28\n",
      "2020-01-27   2020-01-29\n",
      "2020-01-28   2020-01-30\n",
      "2020-01-29   2020-01-31\n",
      "2020-01-30   2020-02-01\n",
      "2020-01-31   2020-02-02\n",
      "2020-02-01   2020-02-03\n",
      "2020-02-02   2020-02-04\n",
      "2020-02-03   2020-02-05\n",
      "2020-02-04   2020-02-06\n",
      "2020-02-05   2020-02-07\n",
      "2020-02-06   2020-02-08\n",
      "2020-02-07   2020-02-09\n",
      "2020-02-08   2020-02-10\n",
      "2020-02-09   2020-02-11\n",
      "2020-02-10   2020-02-12\n",
      "2020-02-11   2020-02-13\n",
      "2020-02-12   2020-02-14\n",
      "2020-02-13   2020-02-15\n",
      "2020-02-14   2020-02-16\n",
      "2020-02-15   2020-02-17\n",
      "2020-02-16   2020-02-18\n",
      "2020-02-17   2020-02-19\n",
      "2020-02-18   2020-02-20\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-02-20   2020-02-22\n",
      "2020-02-21   2020-02-23\n",
      "2020-02-22   2020-02-24\n",
      "2020-02-23   2020-02-25\n",
      "2020-02-24   2020-02-26\n",
      "2020-02-25   2020-02-27\n",
      "2020-02-26   2020-02-28\n",
      "2020-02-27   2020-02-29\n",
      "2020-02-28   2020-03-01\n",
      "2020-02-29   2020-03-02\n",
      "2020-03-01   2020-03-03\n",
      "2020-03-02   2020-03-04\n",
      "2020-03-03   2020-03-05\n",
      "2020-03-04   2020-03-06\n",
      "2020-03-05   2020-03-07\n",
      "2020-03-06   2020-03-08\n",
      "2020-03-07   2020-03-09\n",
      "2020-03-08   2020-03-10\n",
      "2020-03-09   2020-03-11\n",
      "2020-03-10   2020-03-12\n",
      "2020-03-11   2020-03-13\n",
      "2020-03-12   2020-03-14\n",
      "2020-03-13   2020-03-15\n",
      "2020-03-14   2020-03-16\n",
      "2020-03-15   2020-03-17\n",
      "2020-03-16   2020-03-18\n",
      "2020-03-17   2020-03-19\n",
      "2020-03-18   2020-03-20\n",
      "2020-03-19   2020-03-21\n",
      "2020-03-20   2020-03-22\n",
      "2020-03-21   2020-03-23\n",
      "2020-03-22   2020-03-24\n",
      "2020-03-23   2020-03-25\n",
      "2020-03-24   2020-03-26\n",
      "2020-03-25   2020-03-27\n",
      "2020-03-26   2020-03-28\n",
      "2020-03-27   2020-03-29\n",
      "2020-03-28   2020-03-30\n",
      "2020-03-29   2020-03-31\n",
      "2020-03-30   2020-04-01\n",
      "2020-03-31   2020-04-02\n",
      "2020-04-01   2020-04-03\n",
      "2020-04-02   2020-04-04\n",
      "2020-04-03   2020-04-05\n",
      "2020-04-04   2020-04-06\n",
      "2020-04-05   2020-04-07\n",
      "2020-04-06   2020-04-08\n",
      "2020-04-07   2020-04-09\n",
      "2020-04-08   2020-04-10\n",
      "2020-04-09   2020-04-11\n",
      "dtype: datetime64[ns]\n"
     ]
    }
   ],
   "source": [
    "start = datetime.datetime.strptime(\"01-01-2020\", \"%d-%m-%Y\")\n",
    "start_dates = [start + datetime.timedelta(days=x) for x in range(100)] #sample =100 only\n",
    "end_dates = [start + datetime.timedelta(days=2) for start in start_dates]\n",
    "df = pd.Series(index=start_dates, data=end_dates)\n",
    "\n",
    "# splitter\n",
    "splitter = rs.PurgedKFold(events=df, n_splits=2, pct_embargo = 0.01) #split = 2 only\n",
    "\n",
    "# print off folds\n",
    "for k, (train_ind, test_ind) in enumerate(splitter.split(df)):\n",
    "    print(\"------ %d-th fold ------\" % (k))\n",
    "    print(\">> Training events:\")\n",
    "    print(df.iloc[train_ind])\n",
    "    print(\">> Test events:\")\n",
    "    print(df.iloc[test_ind])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "------ 0-th fold ------\n",
      ">> Training events:\n",
      "2020-01-19   2020-01-21\n",
      "2020-01-20   2020-01-22\n",
      "2020-01-21   2020-01-23\n",
      "2020-01-22   2020-01-24\n",
      "2020-01-23   2020-01-25\n",
      "2020-01-24   2020-01-26\n",
      "2020-01-25   2020-01-27\n",
      "2020-01-26   2020-01-28\n",
      "2020-01-27   2020-01-29\n",
      "2020-01-28   2020-01-30\n",
      "2020-01-29   2020-01-31\n",
      "2020-01-30   2020-02-01\n",
      "2020-01-31   2020-02-02\n",
      "2020-02-01   2020-02-03\n",
      "2020-02-02   2020-02-04\n",
      "2020-02-03   2020-02-05\n",
      "2020-02-04   2020-02-06\n",
      "2020-02-05   2020-02-07\n",
      "2020-02-06   2020-02-08\n",
      "2020-02-07   2020-02-09\n",
      "2020-02-08   2020-02-10\n",
      "2020-02-09   2020-02-11\n",
      "2020-02-10   2020-02-12\n",
      "2020-02-11   2020-02-13\n",
      "2020-02-12   2020-02-14\n",
      "2020-02-13   2020-02-15\n",
      "2020-02-14   2020-02-16\n",
      "2020-02-15   2020-02-17\n",
      "2020-02-16   2020-02-18\n",
      "2020-02-17   2020-02-19\n",
      "2020-02-18   2020-02-20\n",
      "2020-02-19   2020-02-21\n",
      "2020-02-20   2020-02-22\n",
      "2020-02-21   2020-02-23\n",
      "2020-02-22   2020-02-24\n",
      "2020-02-23   2020-02-25\n",
      "2020-02-24   2020-02-26\n",
      "2020-02-25   2020-02-27\n",
      "2020-02-26   2020-02-28\n",
      "2020-02-27   2020-02-29\n",
      "2020-02-28   2020-03-01\n",
      "2020-02-29   2020-03-02\n",
      "2020-03-01   2020-03-03\n",
      "2020-03-02   2020-03-04\n",
      "2020-03-03   2020-03-05\n",
      "2020-03-04   2020-03-06\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "2020-01-06   2020-01-08\n",
      "2020-01-07   2020-01-09\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-09   2020-01-11\n",
      "2020-01-10   2020-01-12\n",
      "2020-01-11   2020-01-13\n",
      "2020-01-12   2020-01-14\n",
      "2020-01-13   2020-01-15\n",
      "2020-01-14   2020-01-16\n",
      "2020-01-15   2020-01-17\n",
      "2020-01-16   2020-01-18\n",
      "dtype: datetime64[ns]\n",
      "------ 1-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "2020-01-06   2020-01-08\n",
      "2020-01-07   2020-01-09\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-09   2020-01-11\n",
      "2020-01-10   2020-01-12\n",
      "2020-01-11   2020-01-13\n",
      "2020-01-12   2020-01-14\n",
      "2020-01-13   2020-01-15\n",
      "2020-01-14   2020-01-16\n",
      "2020-01-15   2020-01-17\n",
      "2020-01-16   2020-01-18\n",
      "2020-02-04   2020-02-06\n",
      "2020-02-05   2020-02-07\n",
      "2020-02-06   2020-02-08\n",
      "2020-02-07   2020-02-09\n",
      "2020-02-08   2020-02-10\n",
      "2020-02-09   2020-02-11\n",
      "2020-02-10   2020-02-12\n",
      "2020-02-11   2020-02-13\n",
      "2020-02-12   2020-02-14\n",
      "2020-02-13   2020-02-15\n",
      "2020-02-14   2020-02-16\n",
      "2020-02-15   2020-02-17\n",
      "2020-02-16   2020-02-18\n",
      "2020-02-17   2020-02-19\n",
      "2020-02-18   2020-02-20\n",
      "2020-02-19   2020-02-21\n",
      "2020-02-20   2020-02-22\n",
      "2020-02-21   2020-02-23\n",
      "2020-02-22   2020-02-24\n",
      "2020-02-23   2020-02-25\n",
      "2020-02-24   2020-02-26\n",
      "2020-02-25   2020-02-27\n",
      "2020-02-26   2020-02-28\n",
      "2020-02-27   2020-02-29\n",
      "2020-02-28   2020-03-01\n",
      "2020-02-29   2020-03-02\n",
      "2020-03-01   2020-03-03\n",
      "2020-03-02   2020-03-04\n",
      "2020-03-03   2020-03-05\n",
      "2020-03-04   2020-03-06\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-01-17   2020-01-19\n",
      "2020-01-18   2020-01-20\n",
      "2020-01-19   2020-01-21\n",
      "2020-01-20   2020-01-22\n",
      "2020-01-21   2020-01-23\n",
      "2020-01-22   2020-01-24\n",
      "2020-01-23   2020-01-25\n",
      "2020-01-24   2020-01-26\n",
      "2020-01-25   2020-01-27\n",
      "2020-01-26   2020-01-28\n",
      "2020-01-27   2020-01-29\n",
      "2020-01-28   2020-01-30\n",
      "2020-01-29   2020-01-31\n",
      "2020-01-30   2020-02-01\n",
      "2020-01-31   2020-02-02\n",
      "2020-02-01   2020-02-03\n",
      "dtype: datetime64[ns]\n",
      "------ 2-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "2020-01-06   2020-01-08\n",
      "2020-01-07   2020-01-09\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-09   2020-01-11\n",
      "2020-01-10   2020-01-12\n",
      "2020-01-11   2020-01-13\n",
      "2020-01-12   2020-01-14\n",
      "2020-01-13   2020-01-15\n",
      "2020-01-14   2020-01-16\n",
      "2020-01-15   2020-01-17\n",
      "2020-01-16   2020-01-18\n",
      "2020-01-17   2020-01-19\n",
      "2020-01-18   2020-01-20\n",
      "2020-01-19   2020-01-21\n",
      "2020-01-20   2020-01-22\n",
      "2020-01-21   2020-01-23\n",
      "2020-01-22   2020-01-24\n",
      "2020-01-23   2020-01-25\n",
      "2020-01-24   2020-01-26\n",
      "2020-01-25   2020-01-27\n",
      "2020-01-26   2020-01-28\n",
      "2020-01-27   2020-01-29\n",
      "2020-01-28   2020-01-30\n",
      "2020-01-29   2020-01-31\n",
      "2020-01-30   2020-02-01\n",
      "2020-01-31   2020-02-02\n",
      "2020-02-01   2020-02-03\n",
      "2020-02-20   2020-02-22\n",
      "2020-02-21   2020-02-23\n",
      "2020-02-22   2020-02-24\n",
      "2020-02-23   2020-02-25\n",
      "2020-02-24   2020-02-26\n",
      "2020-02-25   2020-02-27\n",
      "2020-02-26   2020-02-28\n",
      "2020-02-27   2020-02-29\n",
      "2020-02-28   2020-03-01\n",
      "2020-02-29   2020-03-02\n",
      "2020-03-01   2020-03-03\n",
      "2020-03-02   2020-03-04\n",
      "2020-03-03   2020-03-05\n",
      "2020-03-04   2020-03-06\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-02-02   2020-02-04\n",
      "2020-02-03   2020-02-05\n",
      "2020-02-04   2020-02-06\n",
      "2020-02-05   2020-02-07\n",
      "2020-02-06   2020-02-08\n",
      "2020-02-07   2020-02-09\n",
      "2020-02-08   2020-02-10\n",
      "2020-02-09   2020-02-11\n",
      "2020-02-10   2020-02-12\n",
      "2020-02-11   2020-02-13\n",
      "2020-02-12   2020-02-14\n",
      "2020-02-13   2020-02-15\n",
      "2020-02-14   2020-02-16\n",
      "2020-02-15   2020-02-17\n",
      "2020-02-16   2020-02-18\n",
      "2020-02-17   2020-02-19\n",
      "dtype: datetime64[ns]\n",
      "------ 3-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "2020-01-06   2020-01-08\n",
      "2020-01-07   2020-01-09\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-09   2020-01-11\n",
      "2020-01-10   2020-01-12\n",
      "2020-01-11   2020-01-13\n",
      "2020-01-12   2020-01-14\n",
      "2020-01-13   2020-01-15\n",
      "2020-01-14   2020-01-16\n",
      "2020-01-15   2020-01-17\n",
      "2020-01-16   2020-01-18\n",
      "2020-01-17   2020-01-19\n",
      "2020-01-18   2020-01-20\n",
      "2020-01-19   2020-01-21\n",
      "2020-01-20   2020-01-22\n",
      "2020-01-21   2020-01-23\n",
      "2020-01-22   2020-01-24\n",
      "2020-01-23   2020-01-25\n",
      "2020-01-24   2020-01-26\n",
      "2020-01-25   2020-01-27\n",
      "2020-01-26   2020-01-28\n",
      "2020-01-27   2020-01-29\n",
      "2020-01-28   2020-01-30\n",
      "2020-01-29   2020-01-31\n",
      "2020-01-30   2020-02-01\n",
      "2020-01-31   2020-02-02\n",
      "2020-02-01   2020-02-03\n",
      "2020-02-02   2020-02-04\n",
      "2020-02-03   2020-02-05\n",
      "2020-02-04   2020-02-06\n",
      "2020-02-05   2020-02-07\n",
      "2020-02-06   2020-02-08\n",
      "2020-02-07   2020-02-09\n",
      "2020-02-08   2020-02-10\n",
      "2020-02-09   2020-02-11\n",
      "2020-02-10   2020-02-12\n",
      "2020-02-11   2020-02-13\n",
      "2020-02-12   2020-02-14\n",
      "2020-02-13   2020-02-15\n",
      "2020-02-14   2020-02-16\n",
      "2020-02-15   2020-02-17\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-02-18   2020-02-20\n",
      "2020-02-19   2020-02-21\n",
      "2020-02-20   2020-02-22\n",
      "2020-02-21   2020-02-23\n",
      "2020-02-22   2020-02-24\n",
      "2020-02-23   2020-02-25\n",
      "2020-02-24   2020-02-26\n",
      "2020-02-25   2020-02-27\n",
      "2020-02-26   2020-02-28\n",
      "2020-02-27   2020-02-29\n",
      "2020-02-28   2020-03-01\n",
      "2020-02-29   2020-03-02\n",
      "2020-03-01   2020-03-03\n",
      "2020-03-02   2020-03-04\n",
      "2020-03-03   2020-03-05\n",
      "2020-03-04   2020-03-06\n",
      "dtype: datetime64[ns]\n",
      "------ 4-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "2020-01-06   2020-01-08\n",
      "2020-01-07   2020-01-09\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-09   2020-01-11\n",
      "2020-01-10   2020-01-12\n",
      "2020-01-11   2020-01-13\n",
      "2020-01-12   2020-01-14\n",
      "2020-01-13   2020-01-15\n",
      "2020-01-14   2020-01-16\n",
      "2020-01-15   2020-01-17\n",
      "2020-01-16   2020-01-18\n",
      "2020-01-17   2020-01-19\n",
      "2020-01-18   2020-01-20\n",
      "2020-01-19   2020-01-21\n",
      "2020-01-20   2020-01-22\n",
      "2020-01-21   2020-01-23\n",
      "2020-01-22   2020-01-24\n",
      "2020-01-23   2020-01-25\n",
      "2020-01-24   2020-01-26\n",
      "2020-01-25   2020-01-27\n",
      "2020-01-26   2020-01-28\n",
      "2020-01-27   2020-01-29\n",
      "2020-01-28   2020-01-30\n",
      "2020-01-29   2020-01-31\n",
      "2020-01-30   2020-02-01\n",
      "2020-01-31   2020-02-02\n",
      "2020-02-01   2020-02-03\n",
      "2020-02-02   2020-02-04\n",
      "2020-02-03   2020-02-05\n",
      "2020-02-04   2020-02-06\n",
      "2020-02-05   2020-02-07\n",
      "2020-02-06   2020-02-08\n",
      "2020-02-07   2020-02-09\n",
      "2020-02-08   2020-02-10\n",
      "2020-02-09   2020-02-11\n",
      "2020-02-10   2020-02-12\n",
      "2020-02-11   2020-02-13\n",
      "2020-02-12   2020-02-14\n",
      "2020-02-13   2020-02-15\n",
      "2020-02-14   2020-02-16\n",
      "2020-02-15   2020-02-17\n",
      "2020-02-16   2020-02-18\n",
      "2020-02-17   2020-02-19\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-03-05   2020-03-07\n",
      "2020-03-06   2020-03-08\n",
      "2020-03-07   2020-03-09\n",
      "2020-03-08   2020-03-10\n",
      "2020-03-09   2020-03-11\n",
      "2020-03-10   2020-03-12\n",
      "2020-03-11   2020-03-13\n",
      "2020-03-12   2020-03-14\n",
      "2020-03-13   2020-03-15\n",
      "2020-03-14   2020-03-16\n",
      "2020-03-15   2020-03-17\n",
      "2020-03-16   2020-03-18\n",
      "2020-03-17   2020-03-19\n",
      "2020-03-18   2020-03-20\n",
      "2020-03-19   2020-03-21\n",
      "2020-03-20   2020-03-22\n",
      "dtype: datetime64[ns]\n"
     ]
    }
   ],
   "source": [
    "start = datetime.datetime.strptime(\"01-01-2020\", \"%d-%m-%Y\")\n",
    "start_dates = [start + datetime.timedelta(days=x) for x in range(80)] #sample = 80 only\n",
    "end_dates = [start + datetime.timedelta(days=2) for start in start_dates]\n",
    "df = pd.Series(index=start_dates, data=end_dates)\n",
    "\n",
    "# splitter\n",
    "splitter = rs.PurgedKFold(events=df, n_splits=5, pct_embargo = 0.2) #split = 5 only\n",
    "\n",
    "# print off folds\n",
    "for k, (train_ind, test_ind) in enumerate(splitter.split(df)):\n",
    "    print(\"------ %d-th fold ------\" % (k))\n",
    "    print(\">> Training events:\")\n",
    "    print(df.iloc[train_ind])\n",
    "    print(\">> Test events:\")\n",
    "    print(df.iloc[test_ind])\n",
    "    \n",
    "# No leakage"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "------ 0-th fold ------\n",
      ">> Training events:\n",
      "2020-01-23   2020-01-25\n",
      "2020-01-24   2020-01-26\n",
      "2020-01-25   2020-01-27\n",
      "2020-01-26   2020-01-28\n",
      "2020-01-27   2020-01-29\n",
      "2020-01-28   2020-01-30\n",
      "2020-01-29   2020-01-31\n",
      "2020-01-30   2020-02-01\n",
      "2020-01-31   2020-02-02\n",
      "2020-02-01   2020-02-03\n",
      "2020-02-02   2020-02-04\n",
      "2020-02-03   2020-02-05\n",
      "2020-02-04   2020-02-06\n",
      "2020-02-05   2020-02-07\n",
      "2020-02-06   2020-02-08\n",
      "2020-02-07   2020-02-09\n",
      "2020-02-08   2020-02-10\n",
      "2020-02-09   2020-02-11\n",
      "2020-02-10   2020-02-12\n",
      "2020-02-11   2020-02-13\n",
      "2020-02-12   2020-02-14\n",
      "2020-02-13   2020-02-15\n",
      "2020-02-14   2020-02-16\n",
      "2020-02-15   2020-02-17\n",
      "2020-02-16   2020-02-18\n",
      "2020-02-17   2020-02-19\n",
      "2020-02-18   2020-02-20\n",
      "2020-02-19   2020-02-21\n",
      "2020-02-20   2020-02-22\n",
      "2020-02-21   2020-02-23\n",
      "2020-02-22   2020-02-24\n",
      "2020-02-23   2020-02-25\n",
      "2020-02-24   2020-02-26\n",
      "2020-02-25   2020-02-27\n",
      "2020-02-26   2020-02-28\n",
      "2020-02-27   2020-02-29\n",
      "2020-02-28   2020-03-01\n",
      "2020-02-29   2020-03-02\n",
      "2020-03-01   2020-03-03\n",
      "2020-03-02   2020-03-04\n",
      "2020-03-03   2020-03-05\n",
      "2020-03-04   2020-03-06\n",
      "2020-03-05   2020-03-07\n",
      "2020-03-06   2020-03-08\n",
      "2020-03-07   2020-03-09\n",
      "2020-03-08   2020-03-10\n",
      "2020-03-09   2020-03-11\n",
      "2020-03-10   2020-03-12\n",
      "2020-03-11   2020-03-13\n",
      "2020-03-12   2020-03-14\n",
      "2020-03-13   2020-03-15\n",
      "2020-03-14   2020-03-16\n",
      "2020-03-15   2020-03-17\n",
      "2020-03-16   2020-03-18\n",
      "2020-03-17   2020-03-19\n",
      "2020-03-18   2020-03-20\n",
      "2020-03-19   2020-03-21\n",
      "2020-03-20   2020-03-22\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "2020-01-06   2020-01-08\n",
      "2020-01-07   2020-01-09\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-09   2020-01-11\n",
      "2020-01-10   2020-01-12\n",
      "2020-01-11   2020-01-13\n",
      "2020-01-12   2020-01-14\n",
      "2020-01-13   2020-01-15\n",
      "2020-01-14   2020-01-16\n",
      "2020-01-15   2020-01-17\n",
      "2020-01-16   2020-01-18\n",
      "2020-01-17   2020-01-19\n",
      "2020-01-18   2020-01-20\n",
      "2020-01-19   2020-01-21\n",
      "2020-01-20   2020-01-22\n",
      "dtype: datetime64[ns]\n",
      "------ 1-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "2020-01-06   2020-01-08\n",
      "2020-01-07   2020-01-09\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-09   2020-01-11\n",
      "2020-01-10   2020-01-12\n",
      "2020-01-11   2020-01-13\n",
      "2020-01-12   2020-01-14\n",
      "2020-01-13   2020-01-15\n",
      "2020-01-14   2020-01-16\n",
      "2020-01-15   2020-01-17\n",
      "2020-01-16   2020-01-18\n",
      "2020-01-17   2020-01-19\n",
      "2020-01-18   2020-01-20\n",
      "2020-01-19   2020-01-21\n",
      "2020-01-20   2020-01-22\n",
      "2020-02-12   2020-02-14\n",
      "2020-02-13   2020-02-15\n",
      "2020-02-14   2020-02-16\n",
      "2020-02-15   2020-02-17\n",
      "2020-02-16   2020-02-18\n",
      "2020-02-17   2020-02-19\n",
      "2020-02-18   2020-02-20\n",
      "2020-02-19   2020-02-21\n",
      "2020-02-20   2020-02-22\n",
      "2020-02-21   2020-02-23\n",
      "2020-02-22   2020-02-24\n",
      "2020-02-23   2020-02-25\n",
      "2020-02-24   2020-02-26\n",
      "2020-02-25   2020-02-27\n",
      "2020-02-26   2020-02-28\n",
      "2020-02-27   2020-02-29\n",
      "2020-02-28   2020-03-01\n",
      "2020-02-29   2020-03-02\n",
      "2020-03-01   2020-03-03\n",
      "2020-03-02   2020-03-04\n",
      "2020-03-03   2020-03-05\n",
      "2020-03-04   2020-03-06\n",
      "2020-03-05   2020-03-07\n",
      "2020-03-06   2020-03-08\n",
      "2020-03-07   2020-03-09\n",
      "2020-03-08   2020-03-10\n",
      "2020-03-09   2020-03-11\n",
      "2020-03-10   2020-03-12\n",
      "2020-03-11   2020-03-13\n",
      "2020-03-12   2020-03-14\n",
      "2020-03-13   2020-03-15\n",
      "2020-03-14   2020-03-16\n",
      "2020-03-15   2020-03-17\n",
      "2020-03-16   2020-03-18\n",
      "2020-03-17   2020-03-19\n",
      "2020-03-18   2020-03-20\n",
      "2020-03-19   2020-03-21\n",
      "2020-03-20   2020-03-22\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-01-21   2020-01-23\n",
      "2020-01-22   2020-01-24\n",
      "2020-01-23   2020-01-25\n",
      "2020-01-24   2020-01-26\n",
      "2020-01-25   2020-01-27\n",
      "2020-01-26   2020-01-28\n",
      "2020-01-27   2020-01-29\n",
      "2020-01-28   2020-01-30\n",
      "2020-01-29   2020-01-31\n",
      "2020-01-30   2020-02-01\n",
      "2020-01-31   2020-02-02\n",
      "2020-02-01   2020-02-03\n",
      "2020-02-02   2020-02-04\n",
      "2020-02-03   2020-02-05\n",
      "2020-02-04   2020-02-06\n",
      "2020-02-05   2020-02-07\n",
      "2020-02-06   2020-02-08\n",
      "2020-02-07   2020-02-09\n",
      "2020-02-08   2020-02-10\n",
      "2020-02-09   2020-02-11\n",
      "dtype: datetime64[ns]\n",
      "------ 2-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "2020-01-06   2020-01-08\n",
      "2020-01-07   2020-01-09\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-09   2020-01-11\n",
      "2020-01-10   2020-01-12\n",
      "2020-01-11   2020-01-13\n",
      "2020-01-12   2020-01-14\n",
      "2020-01-13   2020-01-15\n",
      "2020-01-14   2020-01-16\n",
      "2020-01-15   2020-01-17\n",
      "2020-01-16   2020-01-18\n",
      "2020-01-17   2020-01-19\n",
      "2020-01-18   2020-01-20\n",
      "2020-01-19   2020-01-21\n",
      "2020-01-20   2020-01-22\n",
      "2020-01-21   2020-01-23\n",
      "2020-01-22   2020-01-24\n",
      "2020-01-23   2020-01-25\n",
      "2020-01-24   2020-01-26\n",
      "2020-01-25   2020-01-27\n",
      "2020-01-26   2020-01-28\n",
      "2020-01-27   2020-01-29\n",
      "2020-01-28   2020-01-30\n",
      "2020-01-29   2020-01-31\n",
      "2020-01-30   2020-02-01\n",
      "2020-01-31   2020-02-02\n",
      "2020-02-01   2020-02-03\n",
      "2020-02-02   2020-02-04\n",
      "2020-02-03   2020-02-05\n",
      "2020-02-04   2020-02-06\n",
      "2020-02-05   2020-02-07\n",
      "2020-02-06   2020-02-08\n",
      "2020-02-07   2020-02-09\n",
      "2020-02-08   2020-02-10\n",
      "2020-02-09   2020-02-11\n",
      "2020-03-03   2020-03-05\n",
      "2020-03-04   2020-03-06\n",
      "2020-03-05   2020-03-07\n",
      "2020-03-06   2020-03-08\n",
      "2020-03-07   2020-03-09\n",
      "2020-03-08   2020-03-10\n",
      "2020-03-09   2020-03-11\n",
      "2020-03-10   2020-03-12\n",
      "2020-03-11   2020-03-13\n",
      "2020-03-12   2020-03-14\n",
      "2020-03-13   2020-03-15\n",
      "2020-03-14   2020-03-16\n",
      "2020-03-15   2020-03-17\n",
      "2020-03-16   2020-03-18\n",
      "2020-03-17   2020-03-19\n",
      "2020-03-18   2020-03-20\n",
      "2020-03-19   2020-03-21\n",
      "2020-03-20   2020-03-22\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-02-10   2020-02-12\n",
      "2020-02-11   2020-02-13\n",
      "2020-02-12   2020-02-14\n",
      "2020-02-13   2020-02-15\n",
      "2020-02-14   2020-02-16\n",
      "2020-02-15   2020-02-17\n",
      "2020-02-16   2020-02-18\n",
      "2020-02-17   2020-02-19\n",
      "2020-02-18   2020-02-20\n",
      "2020-02-19   2020-02-21\n",
      "2020-02-20   2020-02-22\n",
      "2020-02-21   2020-02-23\n",
      "2020-02-22   2020-02-24\n",
      "2020-02-23   2020-02-25\n",
      "2020-02-24   2020-02-26\n",
      "2020-02-25   2020-02-27\n",
      "2020-02-26   2020-02-28\n",
      "2020-02-27   2020-02-29\n",
      "2020-02-28   2020-03-01\n",
      "2020-02-29   2020-03-02\n",
      "dtype: datetime64[ns]\n",
      "------ 3-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "2020-01-06   2020-01-08\n",
      "2020-01-07   2020-01-09\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-09   2020-01-11\n",
      "2020-01-10   2020-01-12\n",
      "2020-01-11   2020-01-13\n",
      "2020-01-12   2020-01-14\n",
      "2020-01-13   2020-01-15\n",
      "2020-01-14   2020-01-16\n",
      "2020-01-15   2020-01-17\n",
      "2020-01-16   2020-01-18\n",
      "2020-01-17   2020-01-19\n",
      "2020-01-18   2020-01-20\n",
      "2020-01-19   2020-01-21\n",
      "2020-01-20   2020-01-22\n",
      "2020-01-21   2020-01-23\n",
      "2020-01-22   2020-01-24\n",
      "2020-01-23   2020-01-25\n",
      "2020-01-24   2020-01-26\n",
      "2020-01-25   2020-01-27\n",
      "2020-01-26   2020-01-28\n",
      "2020-01-27   2020-01-29\n",
      "2020-01-28   2020-01-30\n",
      "2020-01-29   2020-01-31\n",
      "2020-01-30   2020-02-01\n",
      "2020-01-31   2020-02-02\n",
      "2020-02-01   2020-02-03\n",
      "2020-02-02   2020-02-04\n",
      "2020-02-03   2020-02-05\n",
      "2020-02-04   2020-02-06\n",
      "2020-02-05   2020-02-07\n",
      "2020-02-06   2020-02-08\n",
      "2020-02-07   2020-02-09\n",
      "2020-02-08   2020-02-10\n",
      "2020-02-09   2020-02-11\n",
      "2020-02-10   2020-02-12\n",
      "2020-02-11   2020-02-13\n",
      "2020-02-12   2020-02-14\n",
      "2020-02-13   2020-02-15\n",
      "2020-02-14   2020-02-16\n",
      "2020-02-15   2020-02-17\n",
      "2020-02-16   2020-02-18\n",
      "2020-02-17   2020-02-19\n",
      "2020-02-18   2020-02-20\n",
      "2020-02-19   2020-02-21\n",
      "2020-02-20   2020-02-22\n",
      "2020-02-21   2020-02-23\n",
      "2020-02-22   2020-02-24\n",
      "2020-02-23   2020-02-25\n",
      "2020-02-24   2020-02-26\n",
      "2020-02-25   2020-02-27\n",
      "2020-02-26   2020-02-28\n",
      "2020-02-27   2020-02-29\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-03-01   2020-03-03\n",
      "2020-03-02   2020-03-04\n",
      "2020-03-03   2020-03-05\n",
      "2020-03-04   2020-03-06\n",
      "2020-03-05   2020-03-07\n",
      "2020-03-06   2020-03-08\n",
      "2020-03-07   2020-03-09\n",
      "2020-03-08   2020-03-10\n",
      "2020-03-09   2020-03-11\n",
      "2020-03-10   2020-03-12\n",
      "2020-03-11   2020-03-13\n",
      "2020-03-12   2020-03-14\n",
      "2020-03-13   2020-03-15\n",
      "2020-03-14   2020-03-16\n",
      "2020-03-15   2020-03-17\n",
      "2020-03-16   2020-03-18\n",
      "2020-03-17   2020-03-19\n",
      "2020-03-18   2020-03-20\n",
      "2020-03-19   2020-03-21\n",
      "2020-03-20   2020-03-22\n",
      "dtype: datetime64[ns]\n",
      "------ 4-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "2020-01-06   2020-01-08\n",
      "2020-01-07   2020-01-09\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-09   2020-01-11\n",
      "2020-01-10   2020-01-12\n",
      "2020-01-11   2020-01-13\n",
      "2020-01-12   2020-01-14\n",
      "2020-01-13   2020-01-15\n",
      "2020-01-14   2020-01-16\n",
      "2020-01-15   2020-01-17\n",
      "2020-01-16   2020-01-18\n",
      "2020-01-17   2020-01-19\n",
      "2020-01-18   2020-01-20\n",
      "2020-01-19   2020-01-21\n",
      "2020-01-20   2020-01-22\n",
      "2020-01-21   2020-01-23\n",
      "2020-01-22   2020-01-24\n",
      "2020-01-23   2020-01-25\n",
      "2020-01-24   2020-01-26\n",
      "2020-01-25   2020-01-27\n",
      "2020-01-26   2020-01-28\n",
      "2020-01-27   2020-01-29\n",
      "2020-01-28   2020-01-30\n",
      "2020-01-29   2020-01-31\n",
      "2020-01-30   2020-02-01\n",
      "2020-01-31   2020-02-02\n",
      "2020-02-01   2020-02-03\n",
      "2020-02-02   2020-02-04\n",
      "2020-02-03   2020-02-05\n",
      "2020-02-04   2020-02-06\n",
      "2020-02-05   2020-02-07\n",
      "2020-02-06   2020-02-08\n",
      "2020-02-07   2020-02-09\n",
      "2020-02-08   2020-02-10\n",
      "2020-02-09   2020-02-11\n",
      "2020-02-10   2020-02-12\n",
      "2020-02-11   2020-02-13\n",
      "2020-02-12   2020-02-14\n",
      "2020-02-13   2020-02-15\n",
      "2020-02-14   2020-02-16\n",
      "2020-02-15   2020-02-17\n",
      "2020-02-16   2020-02-18\n",
      "2020-02-17   2020-02-19\n",
      "2020-02-18   2020-02-20\n",
      "2020-02-19   2020-02-21\n",
      "2020-02-20   2020-02-22\n",
      "2020-02-21   2020-02-23\n",
      "2020-02-22   2020-02-24\n",
      "2020-02-23   2020-02-25\n",
      "2020-02-24   2020-02-26\n",
      "2020-02-25   2020-02-27\n",
      "2020-02-26   2020-02-28\n",
      "2020-02-27   2020-02-29\n",
      "2020-02-28   2020-03-01\n",
      "2020-02-29   2020-03-02\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-03-21   2020-03-23\n",
      "2020-03-22   2020-03-24\n",
      "2020-03-23   2020-03-25\n",
      "2020-03-24   2020-03-26\n",
      "2020-03-25   2020-03-27\n",
      "2020-03-26   2020-03-28\n",
      "2020-03-27   2020-03-29\n",
      "2020-03-28   2020-03-30\n",
      "2020-03-29   2020-03-31\n",
      "2020-03-30   2020-04-01\n",
      "2020-03-31   2020-04-02\n",
      "2020-04-01   2020-04-03\n",
      "2020-04-02   2020-04-04\n",
      "2020-04-03   2020-04-05\n",
      "2020-04-04   2020-04-06\n",
      "2020-04-05   2020-04-07\n",
      "2020-04-06   2020-04-08\n",
      "2020-04-07   2020-04-09\n",
      "2020-04-08   2020-04-10\n",
      "2020-04-09   2020-04-11\n",
      "dtype: datetime64[ns]\n"
     ]
    }
   ],
   "source": [
    "start = datetime.datetime.strptime(\"01-01-2020\", \"%d-%m-%Y\")\n",
    "start_dates = [start + datetime.timedelta(days=x) for x in range(100)] #sample =100 only\n",
    "end_dates = [start + datetime.timedelta(days=2) for start in start_dates]\n",
    "df = pd.Series(index=start_dates, data=end_dates)\n",
    "\n",
    "# splitter\n",
    "splitter = rs.PurgedKFold(events=df, n_splits=5, pct_embargo = 0.2) #split = 5 only\n",
    "\n",
    "# print off folds\n",
    "for k, (train_ind, test_ind) in enumerate(splitter.split(df)):\n",
    "    print(\"------ %d-th fold ------\" % (k))\n",
    "    print(\">> Training events:\")\n",
    "    print(df.iloc[train_ind])\n",
    "    print(\">> Test events:\")\n",
    "    print(df.iloc[test_ind])\n",
    "    \n",
    "#No leakage"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "------ 0-th fold ------\n",
      ">> Training events:\n",
      "2020-01-11   2020-01-13\n",
      "2020-01-12   2020-01-14\n",
      "2020-01-13   2020-01-15\n",
      "2020-01-14   2020-01-16\n",
      "2020-01-15   2020-01-17\n",
      "2020-01-16   2020-01-18\n",
      "2020-01-17   2020-01-19\n",
      "2020-01-18   2020-01-20\n",
      "2020-01-19   2020-01-21\n",
      "2020-01-20   2020-01-22\n",
      "2020-01-21   2020-01-23\n",
      "2020-01-22   2020-01-24\n",
      "2020-01-23   2020-01-25\n",
      "2020-01-24   2020-01-26\n",
      "2020-01-25   2020-01-27\n",
      "2020-01-26   2020-01-28\n",
      "2020-01-27   2020-01-29\n",
      "2020-01-28   2020-01-30\n",
      "2020-01-29   2020-01-31\n",
      "2020-01-30   2020-02-01\n",
      "2020-01-31   2020-02-02\n",
      "2020-02-01   2020-02-03\n",
      "2020-02-02   2020-02-04\n",
      "2020-02-03   2020-02-05\n",
      "2020-02-04   2020-02-06\n",
      "2020-02-05   2020-02-07\n",
      "2020-02-06   2020-02-08\n",
      "2020-02-07   2020-02-09\n",
      "2020-02-08   2020-02-10\n",
      "2020-02-09   2020-02-11\n",
      "2020-02-10   2020-02-12\n",
      "2020-02-11   2020-02-13\n",
      "2020-02-12   2020-02-14\n",
      "2020-02-13   2020-02-15\n",
      "2020-02-14   2020-02-16\n",
      "2020-02-15   2020-02-17\n",
      "2020-02-16   2020-02-18\n",
      "2020-02-17   2020-02-19\n",
      "2020-02-18   2020-02-20\n",
      "2020-02-19   2020-02-21\n",
      "2020-02-20   2020-02-22\n",
      "2020-02-21   2020-02-23\n",
      "2020-02-22   2020-02-24\n",
      "2020-02-23   2020-02-25\n",
      "2020-02-24   2020-02-26\n",
      "2020-02-25   2020-02-27\n",
      "2020-02-26   2020-02-28\n",
      "2020-02-27   2020-02-29\n",
      "2020-02-28   2020-03-01\n",
      "2020-02-29   2020-03-02\n",
      "2020-03-01   2020-03-03\n",
      "2020-03-02   2020-03-04\n",
      "2020-03-03   2020-03-05\n",
      "2020-03-04   2020-03-06\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "2020-01-06   2020-01-08\n",
      "2020-01-07   2020-01-09\n",
      "2020-01-08   2020-01-10\n",
      "dtype: datetime64[ns]\n",
      "------ 1-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "2020-01-06   2020-01-08\n",
      "2020-01-07   2020-01-09\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-19   2020-01-21\n",
      "2020-01-20   2020-01-22\n",
      "2020-01-21   2020-01-23\n",
      "2020-01-22   2020-01-24\n",
      "2020-01-23   2020-01-25\n",
      "2020-01-24   2020-01-26\n",
      "2020-01-25   2020-01-27\n",
      "2020-01-26   2020-01-28\n",
      "2020-01-27   2020-01-29\n",
      "2020-01-28   2020-01-30\n",
      "2020-01-29   2020-01-31\n",
      "2020-01-30   2020-02-01\n",
      "2020-01-31   2020-02-02\n",
      "2020-02-01   2020-02-03\n",
      "2020-02-02   2020-02-04\n",
      "2020-02-03   2020-02-05\n",
      "2020-02-04   2020-02-06\n",
      "2020-02-05   2020-02-07\n",
      "2020-02-06   2020-02-08\n",
      "2020-02-07   2020-02-09\n",
      "2020-02-08   2020-02-10\n",
      "2020-02-09   2020-02-11\n",
      "2020-02-10   2020-02-12\n",
      "2020-02-11   2020-02-13\n",
      "2020-02-12   2020-02-14\n",
      "2020-02-13   2020-02-15\n",
      "2020-02-14   2020-02-16\n",
      "2020-02-15   2020-02-17\n",
      "2020-02-16   2020-02-18\n",
      "2020-02-17   2020-02-19\n",
      "2020-02-18   2020-02-20\n",
      "2020-02-19   2020-02-21\n",
      "2020-02-20   2020-02-22\n",
      "2020-02-21   2020-02-23\n",
      "2020-02-22   2020-02-24\n",
      "2020-02-23   2020-02-25\n",
      "2020-02-24   2020-02-26\n",
      "2020-02-25   2020-02-27\n",
      "2020-02-26   2020-02-28\n",
      "2020-02-27   2020-02-29\n",
      "2020-02-28   2020-03-01\n",
      "2020-02-29   2020-03-02\n",
      "2020-03-01   2020-03-03\n",
      "2020-03-02   2020-03-04\n",
      "2020-03-03   2020-03-05\n",
      "2020-03-04   2020-03-06\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-01-09   2020-01-11\n",
      "2020-01-10   2020-01-12\n",
      "2020-01-11   2020-01-13\n",
      "2020-01-12   2020-01-14\n",
      "2020-01-13   2020-01-15\n",
      "2020-01-14   2020-01-16\n",
      "2020-01-15   2020-01-17\n",
      "2020-01-16   2020-01-18\n",
      "dtype: datetime64[ns]\n",
      "------ 2-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "2020-01-06   2020-01-08\n",
      "2020-01-07   2020-01-09\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-09   2020-01-11\n",
      "2020-01-10   2020-01-12\n",
      "2020-01-11   2020-01-13\n",
      "2020-01-12   2020-01-14\n",
      "2020-01-13   2020-01-15\n",
      "2020-01-14   2020-01-16\n",
      "2020-01-15   2020-01-17\n",
      "2020-01-16   2020-01-18\n",
      "2020-01-27   2020-01-29\n",
      "2020-01-28   2020-01-30\n",
      "2020-01-29   2020-01-31\n",
      "2020-01-30   2020-02-01\n",
      "2020-01-31   2020-02-02\n",
      "2020-02-01   2020-02-03\n",
      "2020-02-02   2020-02-04\n",
      "2020-02-03   2020-02-05\n",
      "2020-02-04   2020-02-06\n",
      "2020-02-05   2020-02-07\n",
      "2020-02-06   2020-02-08\n",
      "2020-02-07   2020-02-09\n",
      "2020-02-08   2020-02-10\n",
      "2020-02-09   2020-02-11\n",
      "2020-02-10   2020-02-12\n",
      "2020-02-11   2020-02-13\n",
      "2020-02-12   2020-02-14\n",
      "2020-02-13   2020-02-15\n",
      "2020-02-14   2020-02-16\n",
      "2020-02-15   2020-02-17\n",
      "2020-02-16   2020-02-18\n",
      "2020-02-17   2020-02-19\n",
      "2020-02-18   2020-02-20\n",
      "2020-02-19   2020-02-21\n",
      "2020-02-20   2020-02-22\n",
      "2020-02-21   2020-02-23\n",
      "2020-02-22   2020-02-24\n",
      "2020-02-23   2020-02-25\n",
      "2020-02-24   2020-02-26\n",
      "2020-02-25   2020-02-27\n",
      "2020-02-26   2020-02-28\n",
      "2020-02-27   2020-02-29\n",
      "2020-02-28   2020-03-01\n",
      "2020-02-29   2020-03-02\n",
      "2020-03-01   2020-03-03\n",
      "2020-03-02   2020-03-04\n",
      "2020-03-03   2020-03-05\n",
      "2020-03-04   2020-03-06\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-01-17   2020-01-19\n",
      "2020-01-18   2020-01-20\n",
      "2020-01-19   2020-01-21\n",
      "2020-01-20   2020-01-22\n",
      "2020-01-21   2020-01-23\n",
      "2020-01-22   2020-01-24\n",
      "2020-01-23   2020-01-25\n",
      "2020-01-24   2020-01-26\n",
      "dtype: datetime64[ns]\n",
      "------ 3-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "2020-01-06   2020-01-08\n",
      "2020-01-07   2020-01-09\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-09   2020-01-11\n",
      "2020-01-10   2020-01-12\n",
      "2020-01-11   2020-01-13\n",
      "2020-01-12   2020-01-14\n",
      "2020-01-13   2020-01-15\n",
      "2020-01-14   2020-01-16\n",
      "2020-01-15   2020-01-17\n",
      "2020-01-16   2020-01-18\n",
      "2020-01-17   2020-01-19\n",
      "2020-01-18   2020-01-20\n",
      "2020-01-19   2020-01-21\n",
      "2020-01-20   2020-01-22\n",
      "2020-01-21   2020-01-23\n",
      "2020-01-22   2020-01-24\n",
      "2020-01-23   2020-01-25\n",
      "2020-01-24   2020-01-26\n",
      "2020-02-04   2020-02-06\n",
      "2020-02-05   2020-02-07\n",
      "2020-02-06   2020-02-08\n",
      "2020-02-07   2020-02-09\n",
      "2020-02-08   2020-02-10\n",
      "2020-02-09   2020-02-11\n",
      "2020-02-10   2020-02-12\n",
      "2020-02-11   2020-02-13\n",
      "2020-02-12   2020-02-14\n",
      "2020-02-13   2020-02-15\n",
      "2020-02-14   2020-02-16\n",
      "2020-02-15   2020-02-17\n",
      "2020-02-16   2020-02-18\n",
      "2020-02-17   2020-02-19\n",
      "2020-02-18   2020-02-20\n",
      "2020-02-19   2020-02-21\n",
      "2020-02-20   2020-02-22\n",
      "2020-02-21   2020-02-23\n",
      "2020-02-22   2020-02-24\n",
      "2020-02-23   2020-02-25\n",
      "2020-02-24   2020-02-26\n",
      "2020-02-25   2020-02-27\n",
      "2020-02-26   2020-02-28\n",
      "2020-02-27   2020-02-29\n",
      "2020-02-28   2020-03-01\n",
      "2020-02-29   2020-03-02\n",
      "2020-03-01   2020-03-03\n",
      "2020-03-02   2020-03-04\n",
      "2020-03-03   2020-03-05\n",
      "2020-03-04   2020-03-06\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-01-25   2020-01-27\n",
      "2020-01-26   2020-01-28\n",
      "2020-01-27   2020-01-29\n",
      "2020-01-28   2020-01-30\n",
      "2020-01-29   2020-01-31\n",
      "2020-01-30   2020-02-01\n",
      "2020-01-31   2020-02-02\n",
      "2020-02-01   2020-02-03\n",
      "dtype: datetime64[ns]\n",
      "------ 4-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "2020-01-06   2020-01-08\n",
      "2020-01-07   2020-01-09\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-09   2020-01-11\n",
      "2020-01-10   2020-01-12\n",
      "2020-01-11   2020-01-13\n",
      "2020-01-12   2020-01-14\n",
      "2020-01-13   2020-01-15\n",
      "2020-01-14   2020-01-16\n",
      "2020-01-15   2020-01-17\n",
      "2020-01-16   2020-01-18\n",
      "2020-01-17   2020-01-19\n",
      "2020-01-18   2020-01-20\n",
      "2020-01-19   2020-01-21\n",
      "2020-01-20   2020-01-22\n",
      "2020-01-21   2020-01-23\n",
      "2020-01-22   2020-01-24\n",
      "2020-01-23   2020-01-25\n",
      "2020-01-24   2020-01-26\n",
      "2020-01-25   2020-01-27\n",
      "2020-01-26   2020-01-28\n",
      "2020-01-27   2020-01-29\n",
      "2020-01-28   2020-01-30\n",
      "2020-01-29   2020-01-31\n",
      "2020-01-30   2020-02-01\n",
      "2020-01-31   2020-02-02\n",
      "2020-02-01   2020-02-03\n",
      "2020-02-12   2020-02-14\n",
      "2020-02-13   2020-02-15\n",
      "2020-02-14   2020-02-16\n",
      "2020-02-15   2020-02-17\n",
      "2020-02-16   2020-02-18\n",
      "2020-02-17   2020-02-19\n",
      "2020-02-18   2020-02-20\n",
      "2020-02-19   2020-02-21\n",
      "2020-02-20   2020-02-22\n",
      "2020-02-21   2020-02-23\n",
      "2020-02-22   2020-02-24\n",
      "2020-02-23   2020-02-25\n",
      "2020-02-24   2020-02-26\n",
      "2020-02-25   2020-02-27\n",
      "2020-02-26   2020-02-28\n",
      "2020-02-27   2020-02-29\n",
      "2020-02-28   2020-03-01\n",
      "2020-02-29   2020-03-02\n",
      "2020-03-01   2020-03-03\n",
      "2020-03-02   2020-03-04\n",
      "2020-03-03   2020-03-05\n",
      "2020-03-04   2020-03-06\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-02-02   2020-02-04\n",
      "2020-02-03   2020-02-05\n",
      "2020-02-04   2020-02-06\n",
      "2020-02-05   2020-02-07\n",
      "2020-02-06   2020-02-08\n",
      "2020-02-07   2020-02-09\n",
      "2020-02-08   2020-02-10\n",
      "2020-02-09   2020-02-11\n",
      "dtype: datetime64[ns]\n",
      "------ 5-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "2020-01-06   2020-01-08\n",
      "2020-01-07   2020-01-09\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-09   2020-01-11\n",
      "2020-01-10   2020-01-12\n",
      "2020-01-11   2020-01-13\n",
      "2020-01-12   2020-01-14\n",
      "2020-01-13   2020-01-15\n",
      "2020-01-14   2020-01-16\n",
      "2020-01-15   2020-01-17\n",
      "2020-01-16   2020-01-18\n",
      "2020-01-17   2020-01-19\n",
      "2020-01-18   2020-01-20\n",
      "2020-01-19   2020-01-21\n",
      "2020-01-20   2020-01-22\n",
      "2020-01-21   2020-01-23\n",
      "2020-01-22   2020-01-24\n",
      "2020-01-23   2020-01-25\n",
      "2020-01-24   2020-01-26\n",
      "2020-01-25   2020-01-27\n",
      "2020-01-26   2020-01-28\n",
      "2020-01-27   2020-01-29\n",
      "2020-01-28   2020-01-30\n",
      "2020-01-29   2020-01-31\n",
      "2020-01-30   2020-02-01\n",
      "2020-01-31   2020-02-02\n",
      "2020-02-01   2020-02-03\n",
      "2020-02-02   2020-02-04\n",
      "2020-02-03   2020-02-05\n",
      "2020-02-04   2020-02-06\n",
      "2020-02-05   2020-02-07\n",
      "2020-02-06   2020-02-08\n",
      "2020-02-07   2020-02-09\n",
      "2020-02-08   2020-02-10\n",
      "2020-02-09   2020-02-11\n",
      "2020-02-20   2020-02-22\n",
      "2020-02-21   2020-02-23\n",
      "2020-02-22   2020-02-24\n",
      "2020-02-23   2020-02-25\n",
      "2020-02-24   2020-02-26\n",
      "2020-02-25   2020-02-27\n",
      "2020-02-26   2020-02-28\n",
      "2020-02-27   2020-02-29\n",
      "2020-02-28   2020-03-01\n",
      "2020-02-29   2020-03-02\n",
      "2020-03-01   2020-03-03\n",
      "2020-03-02   2020-03-04\n",
      "2020-03-03   2020-03-05\n",
      "2020-03-04   2020-03-06\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-02-10   2020-02-12\n",
      "2020-02-11   2020-02-13\n",
      "2020-02-12   2020-02-14\n",
      "2020-02-13   2020-02-15\n",
      "2020-02-14   2020-02-16\n",
      "2020-02-15   2020-02-17\n",
      "2020-02-16   2020-02-18\n",
      "2020-02-17   2020-02-19\n",
      "dtype: datetime64[ns]\n",
      "------ 6-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "2020-01-06   2020-01-08\n",
      "2020-01-07   2020-01-09\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-09   2020-01-11\n",
      "2020-01-10   2020-01-12\n",
      "2020-01-11   2020-01-13\n",
      "2020-01-12   2020-01-14\n",
      "2020-01-13   2020-01-15\n",
      "2020-01-14   2020-01-16\n",
      "2020-01-15   2020-01-17\n",
      "2020-01-16   2020-01-18\n",
      "2020-01-17   2020-01-19\n",
      "2020-01-18   2020-01-20\n",
      "2020-01-19   2020-01-21\n",
      "2020-01-20   2020-01-22\n",
      "2020-01-21   2020-01-23\n",
      "2020-01-22   2020-01-24\n",
      "2020-01-23   2020-01-25\n",
      "2020-01-24   2020-01-26\n",
      "2020-01-25   2020-01-27\n",
      "2020-01-26   2020-01-28\n",
      "2020-01-27   2020-01-29\n",
      "2020-01-28   2020-01-30\n",
      "2020-01-29   2020-01-31\n",
      "2020-01-30   2020-02-01\n",
      "2020-01-31   2020-02-02\n",
      "2020-02-01   2020-02-03\n",
      "2020-02-02   2020-02-04\n",
      "2020-02-03   2020-02-05\n",
      "2020-02-04   2020-02-06\n",
      "2020-02-05   2020-02-07\n",
      "2020-02-06   2020-02-08\n",
      "2020-02-07   2020-02-09\n",
      "2020-02-08   2020-02-10\n",
      "2020-02-09   2020-02-11\n",
      "2020-02-10   2020-02-12\n",
      "2020-02-11   2020-02-13\n",
      "2020-02-12   2020-02-14\n",
      "2020-02-13   2020-02-15\n",
      "2020-02-14   2020-02-16\n",
      "2020-02-15   2020-02-17\n",
      "2020-02-16   2020-02-18\n",
      "2020-02-17   2020-02-19\n",
      "2020-02-28   2020-03-01\n",
      "2020-02-29   2020-03-02\n",
      "2020-03-01   2020-03-03\n",
      "2020-03-02   2020-03-04\n",
      "2020-03-03   2020-03-05\n",
      "2020-03-04   2020-03-06\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-02-18   2020-02-20\n",
      "2020-02-19   2020-02-21\n",
      "2020-02-20   2020-02-22\n",
      "2020-02-21   2020-02-23\n",
      "2020-02-22   2020-02-24\n",
      "2020-02-23   2020-02-25\n",
      "2020-02-24   2020-02-26\n",
      "2020-02-25   2020-02-27\n",
      "dtype: datetime64[ns]\n",
      "------ 7-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "2020-01-06   2020-01-08\n",
      "2020-01-07   2020-01-09\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-09   2020-01-11\n",
      "2020-01-10   2020-01-12\n",
      "2020-01-11   2020-01-13\n",
      "2020-01-12   2020-01-14\n",
      "2020-01-13   2020-01-15\n",
      "2020-01-14   2020-01-16\n",
      "2020-01-15   2020-01-17\n",
      "2020-01-16   2020-01-18\n",
      "2020-01-17   2020-01-19\n",
      "2020-01-18   2020-01-20\n",
      "2020-01-19   2020-01-21\n",
      "2020-01-20   2020-01-22\n",
      "2020-01-21   2020-01-23\n",
      "2020-01-22   2020-01-24\n",
      "2020-01-23   2020-01-25\n",
      "2020-01-24   2020-01-26\n",
      "2020-01-25   2020-01-27\n",
      "2020-01-26   2020-01-28\n",
      "2020-01-27   2020-01-29\n",
      "2020-01-28   2020-01-30\n",
      "2020-01-29   2020-01-31\n",
      "2020-01-30   2020-02-01\n",
      "2020-01-31   2020-02-02\n",
      "2020-02-01   2020-02-03\n",
      "2020-02-02   2020-02-04\n",
      "2020-02-03   2020-02-05\n",
      "2020-02-04   2020-02-06\n",
      "2020-02-05   2020-02-07\n",
      "2020-02-06   2020-02-08\n",
      "2020-02-07   2020-02-09\n",
      "2020-02-08   2020-02-10\n",
      "2020-02-09   2020-02-11\n",
      "2020-02-10   2020-02-12\n",
      "2020-02-11   2020-02-13\n",
      "2020-02-12   2020-02-14\n",
      "2020-02-13   2020-02-15\n",
      "2020-02-14   2020-02-16\n",
      "2020-02-15   2020-02-17\n",
      "2020-02-16   2020-02-18\n",
      "2020-02-17   2020-02-19\n",
      "2020-02-18   2020-02-20\n",
      "2020-02-19   2020-02-21\n",
      "2020-02-20   2020-02-22\n",
      "2020-02-21   2020-02-23\n",
      "2020-02-22   2020-02-24\n",
      "2020-02-23   2020-02-25\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-02-26   2020-02-28\n",
      "2020-02-27   2020-02-29\n",
      "2020-02-28   2020-03-01\n",
      "2020-02-29   2020-03-02\n",
      "2020-03-01   2020-03-03\n",
      "2020-03-02   2020-03-04\n",
      "2020-03-03   2020-03-05\n",
      "2020-03-04   2020-03-06\n",
      "dtype: datetime64[ns]\n",
      "------ 8-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "2020-01-06   2020-01-08\n",
      "2020-01-07   2020-01-09\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-09   2020-01-11\n",
      "2020-01-10   2020-01-12\n",
      "2020-01-11   2020-01-13\n",
      "2020-01-12   2020-01-14\n",
      "2020-01-13   2020-01-15\n",
      "2020-01-14   2020-01-16\n",
      "2020-01-15   2020-01-17\n",
      "2020-01-16   2020-01-18\n",
      "2020-01-17   2020-01-19\n",
      "2020-01-18   2020-01-20\n",
      "2020-01-19   2020-01-21\n",
      "2020-01-20   2020-01-22\n",
      "2020-01-21   2020-01-23\n",
      "2020-01-22   2020-01-24\n",
      "2020-01-23   2020-01-25\n",
      "2020-01-24   2020-01-26\n",
      "2020-01-25   2020-01-27\n",
      "2020-01-26   2020-01-28\n",
      "2020-01-27   2020-01-29\n",
      "2020-01-28   2020-01-30\n",
      "2020-01-29   2020-01-31\n",
      "2020-01-30   2020-02-01\n",
      "2020-01-31   2020-02-02\n",
      "2020-02-01   2020-02-03\n",
      "2020-02-02   2020-02-04\n",
      "2020-02-03   2020-02-05\n",
      "2020-02-04   2020-02-06\n",
      "2020-02-05   2020-02-07\n",
      "2020-02-06   2020-02-08\n",
      "2020-02-07   2020-02-09\n",
      "2020-02-08   2020-02-10\n",
      "2020-02-09   2020-02-11\n",
      "2020-02-10   2020-02-12\n",
      "2020-02-11   2020-02-13\n",
      "2020-02-12   2020-02-14\n",
      "2020-02-13   2020-02-15\n",
      "2020-02-14   2020-02-16\n",
      "2020-02-15   2020-02-17\n",
      "2020-02-16   2020-02-18\n",
      "2020-02-17   2020-02-19\n",
      "2020-02-18   2020-02-20\n",
      "2020-02-19   2020-02-21\n",
      "2020-02-20   2020-02-22\n",
      "2020-02-21   2020-02-23\n",
      "2020-02-22   2020-02-24\n",
      "2020-02-23   2020-02-25\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-03-05   2020-03-07\n",
      "2020-03-06   2020-03-08\n",
      "2020-03-07   2020-03-09\n",
      "2020-03-08   2020-03-10\n",
      "2020-03-09   2020-03-11\n",
      "2020-03-10   2020-03-12\n",
      "2020-03-11   2020-03-13\n",
      "2020-03-12   2020-03-14\n",
      "dtype: datetime64[ns]\n"
     ]
    },
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "------ 9-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "2020-01-06   2020-01-08\n",
      "2020-01-07   2020-01-09\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-09   2020-01-11\n",
      "2020-01-10   2020-01-12\n",
      "2020-01-11   2020-01-13\n",
      "2020-01-12   2020-01-14\n",
      "2020-01-13   2020-01-15\n",
      "2020-01-14   2020-01-16\n",
      "2020-01-15   2020-01-17\n",
      "2020-01-16   2020-01-18\n",
      "2020-01-17   2020-01-19\n",
      "2020-01-18   2020-01-20\n",
      "2020-01-19   2020-01-21\n",
      "2020-01-20   2020-01-22\n",
      "2020-01-21   2020-01-23\n",
      "2020-01-22   2020-01-24\n",
      "2020-01-23   2020-01-25\n",
      "2020-01-24   2020-01-26\n",
      "2020-01-25   2020-01-27\n",
      "2020-01-26   2020-01-28\n",
      "2020-01-27   2020-01-29\n",
      "2020-01-28   2020-01-30\n",
      "2020-01-29   2020-01-31\n",
      "2020-01-30   2020-02-01\n",
      "2020-01-31   2020-02-02\n",
      "2020-02-01   2020-02-03\n",
      "2020-02-02   2020-02-04\n",
      "2020-02-03   2020-02-05\n",
      "2020-02-04   2020-02-06\n",
      "2020-02-05   2020-02-07\n",
      "2020-02-06   2020-02-08\n",
      "2020-02-07   2020-02-09\n",
      "2020-02-08   2020-02-10\n",
      "2020-02-09   2020-02-11\n",
      "2020-02-10   2020-02-12\n",
      "2020-02-11   2020-02-13\n",
      "2020-02-12   2020-02-14\n",
      "2020-02-13   2020-02-15\n",
      "2020-02-14   2020-02-16\n",
      "2020-02-15   2020-02-17\n",
      "2020-02-16   2020-02-18\n",
      "2020-02-17   2020-02-19\n",
      "2020-02-18   2020-02-20\n",
      "2020-02-19   2020-02-21\n",
      "2020-02-20   2020-02-22\n",
      "2020-02-21   2020-02-23\n",
      "2020-02-22   2020-02-24\n",
      "2020-02-23   2020-02-25\n",
      "2020-02-24   2020-02-26\n",
      "2020-02-25   2020-02-27\n",
      "dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-03-13   2020-03-15\n",
      "2020-03-14   2020-03-16\n",
      "2020-03-15   2020-03-17\n",
      "2020-03-16   2020-03-18\n",
      "2020-03-17   2020-03-19\n",
      "2020-03-18   2020-03-20\n",
      "2020-03-19   2020-03-21\n",
      "2020-03-20   2020-03-22\n",
      "dtype: datetime64[ns]\n"
     ]
    }
   ],
   "source": [
    "start = datetime.datetime.strptime(\"01-01-2020\", \"%d-%m-%Y\")\n",
    "start_dates = [start + datetime.timedelta(days=x) for x in range(80)] #sample = 80 only\n",
    "end_dates = [start + datetime.timedelta(days=2) for start in start_dates]\n",
    "df = pd.Series(index=start_dates, data=end_dates)\n",
    "\n",
    "# splitter\n",
    "splitter = rs.PurgedKFold(events=df, n_splits=10, pct_embargo = 0.2) #split = 10 only\n",
    "\n",
    "# print off folds\n",
    "for k, (train_ind, test_ind) in enumerate(splitter.split(df)):\n",
    "    print(\"------ %d-th fold ------\" % (k))\n",
    "    print(\">> Training events:\")\n",
    "    print(df.iloc[train_ind])\n",
    "    print(\">> Test events:\")\n",
    "    print(df.iloc[test_ind])\n",
    "    \n",
    "# Leakage! 5th fold"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "------ 0-th fold ------\n",
      ">> Training events:\n",
      "2020-01-13   2020-01-15\n",
      "2020-01-14   2020-01-16\n",
      "2020-01-15   2020-01-17\n",
      "2020-01-16   2020-01-18\n",
      "2020-01-17   2020-01-19\n",
      "                ...    \n",
      "2020-03-16   2020-03-18\n",
      "2020-03-17   2020-03-19\n",
      "2020-03-18   2020-03-20\n",
      "2020-03-19   2020-03-21\n",
      "2020-03-20   2020-03-22\n",
      "Length: 68, dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "2020-01-06   2020-01-08\n",
      "2020-01-07   2020-01-09\n",
      "2020-01-08   2020-01-10\n",
      "2020-01-09   2020-01-11\n",
      "2020-01-10   2020-01-12\n",
      "dtype: datetime64[ns]\n",
      "------ 1-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "                ...    \n",
      "2020-03-16   2020-03-18\n",
      "2020-03-17   2020-03-19\n",
      "2020-03-18   2020-03-20\n",
      "2020-03-19   2020-03-21\n",
      "2020-03-20   2020-03-22\n",
      "Length: 68, dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-01-11   2020-01-13\n",
      "2020-01-12   2020-01-14\n",
      "2020-01-13   2020-01-15\n",
      "2020-01-14   2020-01-16\n",
      "2020-01-15   2020-01-17\n",
      "2020-01-16   2020-01-18\n",
      "2020-01-17   2020-01-19\n",
      "2020-01-18   2020-01-20\n",
      "2020-01-19   2020-01-21\n",
      "2020-01-20   2020-01-22\n",
      "dtype: datetime64[ns]\n",
      "------ 2-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "                ...    \n",
      "2020-03-16   2020-03-18\n",
      "2020-03-17   2020-03-19\n",
      "2020-03-18   2020-03-20\n",
      "2020-03-19   2020-03-21\n",
      "2020-03-20   2020-03-22\n",
      "Length: 68, dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-01-21   2020-01-23\n",
      "2020-01-22   2020-01-24\n",
      "2020-01-23   2020-01-25\n",
      "2020-01-24   2020-01-26\n",
      "2020-01-25   2020-01-27\n",
      "2020-01-26   2020-01-28\n",
      "2020-01-27   2020-01-29\n",
      "2020-01-28   2020-01-30\n",
      "2020-01-29   2020-01-31\n",
      "2020-01-30   2020-02-01\n",
      "dtype: datetime64[ns]\n",
      "------ 3-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "                ...    \n",
      "2020-03-16   2020-03-18\n",
      "2020-03-17   2020-03-19\n",
      "2020-03-18   2020-03-20\n",
      "2020-03-19   2020-03-21\n",
      "2020-03-20   2020-03-22\n",
      "Length: 68, dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-01-31   2020-02-02\n",
      "2020-02-01   2020-02-03\n",
      "2020-02-02   2020-02-04\n",
      "2020-02-03   2020-02-05\n",
      "2020-02-04   2020-02-06\n",
      "2020-02-05   2020-02-07\n",
      "2020-02-06   2020-02-08\n",
      "2020-02-07   2020-02-09\n",
      "2020-02-08   2020-02-10\n",
      "2020-02-09   2020-02-11\n",
      "dtype: datetime64[ns]\n",
      "------ 4-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "                ...    \n",
      "2020-03-16   2020-03-18\n",
      "2020-03-17   2020-03-19\n",
      "2020-03-18   2020-03-20\n",
      "2020-03-19   2020-03-21\n",
      "2020-03-20   2020-03-22\n",
      "Length: 68, dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-02-10   2020-02-12\n",
      "2020-02-11   2020-02-13\n",
      "2020-02-12   2020-02-14\n",
      "2020-02-13   2020-02-15\n",
      "2020-02-14   2020-02-16\n",
      "2020-02-15   2020-02-17\n",
      "2020-02-16   2020-02-18\n",
      "2020-02-17   2020-02-19\n",
      "2020-02-18   2020-02-20\n",
      "2020-02-19   2020-02-21\n",
      "dtype: datetime64[ns]\n",
      "------ 5-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "                ...    \n",
      "2020-03-16   2020-03-18\n",
      "2020-03-17   2020-03-19\n",
      "2020-03-18   2020-03-20\n",
      "2020-03-19   2020-03-21\n",
      "2020-03-20   2020-03-22\n",
      "Length: 68, dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-02-20   2020-02-22\n",
      "2020-02-21   2020-02-23\n",
      "2020-02-22   2020-02-24\n",
      "2020-02-23   2020-02-25\n",
      "2020-02-24   2020-02-26\n",
      "2020-02-25   2020-02-27\n",
      "2020-02-26   2020-02-28\n",
      "2020-02-27   2020-02-29\n",
      "2020-02-28   2020-03-01\n",
      "2020-02-29   2020-03-02\n",
      "dtype: datetime64[ns]\n",
      "------ 6-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "                ...    \n",
      "2020-03-16   2020-03-18\n",
      "2020-03-17   2020-03-19\n",
      "2020-03-18   2020-03-20\n",
      "2020-03-19   2020-03-21\n",
      "2020-03-20   2020-03-22\n",
      "Length: 68, dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-03-01   2020-03-03\n",
      "2020-03-02   2020-03-04\n",
      "2020-03-03   2020-03-05\n",
      "2020-03-04   2020-03-06\n",
      "2020-03-05   2020-03-07\n",
      "2020-03-06   2020-03-08\n",
      "2020-03-07   2020-03-09\n",
      "2020-03-08   2020-03-10\n",
      "2020-03-09   2020-03-11\n",
      "2020-03-10   2020-03-12\n",
      "dtype: datetime64[ns]\n",
      "------ 7-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "                ...    \n",
      "2020-03-04   2020-03-06\n",
      "2020-03-05   2020-03-07\n",
      "2020-03-06   2020-03-08\n",
      "2020-03-07   2020-03-09\n",
      "2020-03-08   2020-03-10\n",
      "Length: 68, dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-03-11   2020-03-13\n",
      "2020-03-12   2020-03-14\n",
      "2020-03-13   2020-03-15\n",
      "2020-03-14   2020-03-16\n",
      "2020-03-15   2020-03-17\n",
      "2020-03-16   2020-03-18\n",
      "2020-03-17   2020-03-19\n",
      "2020-03-18   2020-03-20\n",
      "2020-03-19   2020-03-21\n",
      "2020-03-20   2020-03-22\n",
      "dtype: datetime64[ns]\n",
      "------ 8-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "                ...    \n",
      "2020-03-04   2020-03-06\n",
      "2020-03-05   2020-03-07\n",
      "2020-03-06   2020-03-08\n",
      "2020-03-07   2020-03-09\n",
      "2020-03-08   2020-03-10\n",
      "Length: 68, dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-03-21   2020-03-23\n",
      "2020-03-22   2020-03-24\n",
      "2020-03-23   2020-03-25\n",
      "2020-03-24   2020-03-26\n",
      "2020-03-25   2020-03-27\n",
      "2020-03-26   2020-03-28\n",
      "2020-03-27   2020-03-29\n",
      "2020-03-28   2020-03-30\n",
      "2020-03-29   2020-03-31\n",
      "2020-03-30   2020-04-01\n",
      "dtype: datetime64[ns]\n",
      "------ 9-th fold ------\n",
      ">> Training events:\n",
      "2020-01-01   2020-01-03\n",
      "2020-01-02   2020-01-04\n",
      "2020-01-03   2020-01-05\n",
      "2020-01-04   2020-01-06\n",
      "2020-01-05   2020-01-07\n",
      "                ...    \n",
      "2020-03-06   2020-03-08\n",
      "2020-03-07   2020-03-09\n",
      "2020-03-08   2020-03-10\n",
      "2020-03-09   2020-03-11\n",
      "2020-03-10   2020-03-12\n",
      "Length: 70, dtype: datetime64[ns]\n",
      ">> Test events:\n",
      "2020-03-31   2020-04-02\n",
      "2020-04-01   2020-04-03\n",
      "2020-04-02   2020-04-04\n",
      "2020-04-03   2020-04-05\n",
      "2020-04-04   2020-04-06\n",
      "2020-04-05   2020-04-07\n",
      "2020-04-06   2020-04-08\n",
      "2020-04-07   2020-04-09\n",
      "2020-04-08   2020-04-10\n",
      "2020-04-09   2020-04-11\n",
      "dtype: datetime64[ns]\n"
     ]
    }
   ],
   "source": [
    "start = datetime.datetime.strptime(\"01-01-2020\", \"%d-%m-%Y\")\n",
    "start_dates = [start + datetime.timedelta(days=x) for x in range(100)] #sample =100 only\n",
    "end_dates = [start + datetime.timedelta(days=2) for start in start_dates]\n",
    "df = pd.Series(index=start_dates, data=end_dates)\n",
    "\n",
    "# splitter\n",
    "splitter = rs.PurgedKFold(events=df, n_splits=10, pct_embargo = 0.2) #split = 10 only\n",
    "\n",
    "# print off folds\n",
    "for k, (train_ind, test_ind) in enumerate(splitter.split(df)):\n",
    "    print(\"------ %d-th fold ------\" % (k))\n",
    "    print(\">> Training events:\")\n",
    "    print(df.iloc[train_ind])\n",
    "    print(\">> Test events:\")\n",
    "    print(df.iloc[test_ind])\n",
    "    \n",
    "#Seems like no leakage"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### Conclusion\n",
    "\n",
    "When using PurgedKFold, in order to use either 5 or 10 splits. Embargo percentage has to be around 20%, to be safe.\n",
    "\n",
    "As for the reason for 5/ 10 splits:\n",
    "\n",
    "* [stack overflow: choice-of-k-in-k-fold-cross-validation](https://stats.stackexchange.com/questions/27730/choice-of-k-in-k-fold-cross-validation)\n",
    "* [researchgate.net](https://www.researchgate.net/post/What_does_ten_times_ten-fold_cross_validation_of_data_set_mean_and_its_importance)\n",
    "\n",
    "But when number of split is 2 only, pct_embargo required was only 0.01 for no data leakage.\n",
    "\n",
    "In short, when sample size is large ( >=100 ) with both 5 and 10 splits. A good embargo estimate to start from is 20%, before reducing  this percentage.\n",
    "\n",
    "As such, maybe another function may be required to check for large samples so that we do not \"over-embargo\" the training set.\n",
    "\n",
    "This PurgedKFold algo is commonly used with cv_score, since we are dealing with non-IID series. The implementation of this particular algo is very important.\n",
    "\n",
    "I strongly encourage every quant to built this algo in your own fashion (additional features if desire)."
   ]
  }
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