Validate deflated Sharpe
validate_deflated_sharpeCheck if a backtest's Sharpe ratio survives the number of variants tried. Compute deflated Sharpe and the probability of luck alone, using either summary statistics or a return series.
Instructions
Whether a Sharpe survives the number of variants tried: probabilistic and deflated Sharpe (0 to 1) and the Sharpe luck alone would reach. Send the seven statistics or a return series, not 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 |
|---|---|---|---|
| skew | No | Skewness of the returns; below -0.5 the reading warns that the counts are too generous. | |
| returns | No | Periodic returns as fractions (0.01 is 1%), oldest first; replaces the Sharpe, observations, skew and kurtosis fields. | |
| observations | No | Number of return observations. | |
| periods_per_year | No | Observations per year: 252 daily, 365 daily crypto, 52 weekly, 12 monthly. | |
| non_excess_kurtosis | No | Kurtosis, not excess kurtosis; 3 if Normal. | |
| observed_sharpe_annualized | No | Annualized Sharpe as observed. | |
| effective_independent_trials | No | Independent variants tried before choosing this one. | |
| cross_trial_sharpe_sd_annualized | No | Standard deviation of the annualized Sharpe across those trials. |