check_overfitting
Compute the Deflated Sharpe Ratio (Bailey & Lopez de Prado 2014) for YOUR OWN backtest: given its annualised Sharpe, length, and how many strategy variants you tried before selecting it, returns the probability the result is real skill rather than selection luck, the luck bar it must clear, and a plain verdict. Works on any backtest, not just ours.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| skew | No | Skewness of the return series (default 0). | |
| sharpe | Yes | Annualised Sharpe ratio of the selected backtest. | |
| kurtosis | No | Non-excess kurtosis of returns (Gaussian = 3, the default). | |
| n_trials | Yes | How many strategy/parameter variants were tried before picking this one. | |
| timeframe | No | Bar timeframe of the returns (default 1d). | |
| length_days | Yes | Length of the backtest in calendar days. |