Strategy audit and overfitting check
strategy_auditAn independent performance auditor for a trading strategy or backtest. From a trade list and/or periodic returns it computes win rate, expectancy, profit factor, streaks, Sharpe/Sortino/drawdown, and tests whether the edge is real: t-stat, Probabilistic Sharpe Ratio and the Deflated Sharpe Ratio that corrects for how many variants you tried. Returns a verdict and red flags. Price: $0.1.
Input Schema
TableJSON Schema
| Name | Required | Description | Default |
|---|---|---|---|
| trades | No | Closed trades. | |
| returns | No | Periodic strategy returns as decimals. | |
| n_trials | No | How many strategy/parameter variants were tested before picking this one. Default 1. | |
| starting_equity | No | For risk-of-ruin and drawdown in dollars from trades. | |
| periods_per_year | No | ||
| trial_sharpe_variance | No | Variance of per-period Sharpe across trials, if known. |