Validation method

Purging and embargo

Two ways to stop neighboring samples from sharing a label

Purging drops training rows whose labels overlap the test. An embargo is a short gap so later prices do not leak backward.

What purging is

On a time series, a label is often the outcome of a trade or a forward return. That outcome can start in one block and finish in the next. If those rows stay in the training set while the next block is the test, the fit has already seen part of the test. Purging removes the training observations whose labels stretch into the test interval.

What an embargo is

An embargo is a short blank after the boundary. Even after overlapping labels are removed, prices just after the split can still inform the fit if the model is allowed to sit against them. The embargo leaves that gap empty. Purging removes an overlap. An embargo adds a blank. Both are about leakage between neighbors. Neither one is a trading rule.

How Alphavo reads T6

T6 is in-sample calendar-quarter stability, read after the specification is locked. That letter does not use purging, and it does not use an embargo. Robust Walk-Forward is a different check: it rolls the exit check. T6 is not walk-forward. Purging and embargo do not decide the star. A shown strategy is 0 stars, 1 star, 2 stars, or 3 stars. A Candidate Strategy is not Alpha.

Common questions

What is purging in a backtest?

Purging removes training observations whose outcome label stretches into the test interval. Without it, the fit can learn from rows that already touch the period being scored.

What is an embargo?

An embargo is a short gap after a split. It keeps prices from just after the boundary from leaking back into the fit. Purging removes an overlap. An embargo adds a blank.

Does Alphavo's T6 letter use purging or an embargo?

No. T6 is in-sample calendar-quarter stability. That letter does not use purging or an embargo. Robust Walk-Forward is a different check, and it is not T6. Neither name sets the star.