adaptive-wfo-epoch

# Adaptive Walk-Forward Epoch Selection (AWFES)

Machine-readable reference for adaptive epoch selection within Walk-Forward Optimization (WFO). Optimizes training epochs per-fold using Walk-Forward Efficiency (WFE) as the objective.

## Quick Start

```python
from adaptive_wfo_epoch import AWFESConfig, compute_efficient_frontier

# Generate epoch candidates from search bounds and granularity
config = AWFESConfig.from_search_space(
    min_epoch=100,
    max_epoch=2000,
    granularity=5,  # Number of frontier points
)
# config.epoch_configs → [100, 211, 447, 945, 2000] (log-spaced)

# Per-fold epoch sweep
for fold in wfo_folds:
    epoch_metrics = []
    for epoch in config.epoch_configs:
        is_sharpe, oos_sharpe = train_and_evaluate(fold, epochs=epoch)
        wfe = config.compute_wfe(is_sharpe, oos_sharpe, n_samples=len(fold.train))
        epoch_metrics.append({"epoch": epoch, "wfe": wfe, "is_sharpe": is_sharpe})

    # Select from efficient frontier
    selected_epoch = compute_efficient_frontier(epoch_metrics)

    # Carry forward to next fold as prior
    prior_epoch = selected_epoch
```

## Methodology Overview

### What This Is

Per-fold adaptive epoch selection where:

1. Train models across a range of epochs (e.g., 400, 800, 1000, 2000)
2. Compute WFE = OOS_Sharpe / IS_Sharpe for each epoch count
3. Find the "efficient frontier" - epochs maximizing WFE vs training cost
4. Select optimal epoch from frontier for OOS evaluation
5. Carry forward as prior for next fold

### What This Is NOT

- **NOT early stopping**: Early stopping monitors validation loss continuously; this evaluates discrete candidates post-hoc
- **NOT Bayesian optimization**: No surrogate model; direct evaluation of all candidates
- **NOT nested cross-validation**: Uses temporal WFO, not shuffled splits

## Academic Foundations

| Concept                     | Citation                       | Key Insight                                       |
| --------------------------- | ----------