Data-snooping tests (SPA, Reality Check, StepM)
validate_reality_checkRun data-snooping tests (Hansen SPA, White Reality Check, Romano-Wolf StepM) on all variants tried, not just winners, to see if the best beat the benchmark by luck.
Instructions
Data-snooping tests on every variant a search tried: Hansen's SPA p-value that the best beat the benchmark only by luck, White's Reality Check, and the variants Romano-Wolf StepM finds better. Send all variants tried, not only the winners. 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 |
|---|---|---|---|
| reps | No | Bootstrap draws; default 2000. | |
| seed | No | Sampling seed; default 42. | |
| alpha | No | Familywise error for StepM; default 0.05. | |
| matrix | No | Returns of every variant the search tried, one row per period, one column per variant. | |
| benchmark | No | Benchmark return per period; default zero. | |
| matrix_file | No | Path to a CSV or JSON with one numeric column per variant, instead of matrix. | |
| block_length | No | Mean bootstrap block in periods; default round(n^(1/3)). |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| data | No | ||
| note | No | ||
| error | No | ||
| limits | No | ||
| receipt | No | ||
| computed | No |