add CombinatorialGapKFold

[aldder]

From "Advances in Financial Machine Learning" book by Marcos López de Prado the implemented version of Combinatorial Cross Validation with Purging and Embargoing

explaining video: https://www.youtube.com/watch?v=hDQssGntmFA

[pep8speaks]

Hello @aldder! Thanks for updating this PR. We checked the lines you've touched for PEP 8 issues, and found:

• In the file tscv/_split.py:

Line 451:9: F841 local variable 'gap_before' is assigned to but never used Line 451:21: F841 local variable 'gap_after' is assigned to but never used

• In the file tscv/tests/test_split.py:

Line 672:80: E501 line too long (102 > 79 characters) Line 678:80: E501 line too long (103 > 79 characters) Line 684:80: E501 line too long (115 > 79 characters) Line 690:80: E501 line too long (119 > 79 characters) Line 698:80: E501 line too long (106 > 79 characters)

Comment last updated at 2022-02-11 12:19:56 UTC

[WenjieZ]

Hi @aldder , please try to add some test cases in the test_split.py file.

[codecov[bot]]

Codecov Report

Merging #41 (c7b2bed) into master (c05265a) will increase coverage by 0.37%. The diff coverage is 100.00%.

@@            Coverage Diff             @@
##           master      #41      +/-   ##
==========================================
+ Coverage   97.51%   97.88%   +0.37%     
==========================================
  Files           3        3              
  Lines         643      756     +113     
==========================================
+ Hits          627      740     +113     
  Misses         16       16              

Impacted Files	Coverage Δ
tscv/__init__.py	100.00% <100.00%> (ø)
tscv/_split.py	94.50% <100.00%> (+0.72%)	:arrow_up:
tscv/tests/test_split.py	99.78% <100.00%> (+0.04%)	:arrow_up:

---

Continue to review full report at Codecov.

Legend - Click here to learn more Δ = absolute <relative> (impact), ø = not affected, ? = missing data Powered by Codecov. Last update c05265a...c7b2bed. Read the comment docs.