Audit a backtest
audit_backtestAudit a strategy's backtest in one call: compute deflated Sharpe, minimum track record length, and overfitting probability directly from a CSV or JSON returns file.
Instructions
Audit one strategy's return series in one call: deflated Sharpe, the minimum track record length for its Sharpe to beat the benchmark, and, with every variant's returns, the probability of backtest overfitting. Point returns_file at the backtest's CSV or JSON rather than copying long series into the call. Each check is the matching validate_ tool's result with its own receipt, side by side; the audit does not grade the strategy. Uses one validation per check. A deflated Sharpe or overfitting probability above or below any threshold is not admission to anything and is not a forecast.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| returns | No | Periodic returns as fractions (0.01 is 1%), oldest first; replaces the Sharpe, observations, skew and kurtosis fields. | |
| n_splits | No | Even number of blocks, at least 2; default 16. | |
| variants | No | Optional returns of every variant tried, this one included, as fractions: one row per period, one column per variant. Adds the overfitting check. | |
| confidence | No | Between 0 and 1; default 0.95. | |
| returns_file | No | Path to a CSV or JSON file of the returns on the machine running this server, instead of returns. Not available on the hosted endpoint. | |
| variants_file | No | Path to a CSV or JSON file of every variant's returns (one numeric column per variant), instead of variants. | |
| returns_column | No | Header name or 1-based position of the returns column when returns_file has several numeric columns. | |
| periods_per_year | Yes | Observations per year: 252 daily, 365 daily crypto, 52 weekly, 12 monthly. | |
| benchmark_sharpe_annualized | No | Annualized Sharpe to beat; default 0. | |
| effective_independent_trials | Yes | Independent variants tried before choosing this one. | |
| cross_trial_sharpe_sd_annualized | Yes | Standard deviation of the annualized Sharpe across those trials. |