Minimum backtest length
validate_backtest_lengthCalculate the minimum backtest length required to avoid overfitting, or the maximum independent trials your backtest years allow. Prevent relying on lucky results by checking trial count against track record length.
Instructions
Minimum backtest length, in years, before the best of N independent trials is not expected to reach a target Sharpe by luck, and with backtest_years, the most independent trials those years allow. Send effective_independent_trials, backtest_years, or both. 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 |
|---|---|---|---|
| backtest_years | No | Length of the backtest in years, to get the most independent trials it allows. | |
| target_sharpe_annualized | No | In-sample annualized Sharpe you would take as a discovery; default 1. | |
| effective_independent_trials | No | Independent trials (backtests, parameter sets, ideas) tried; gives the minimum backtest length. |