DSR PBO Backtest Overfitting Diagnostic
Deflated Sharpe Ratio and Probability of Backtest Overfitting calculator. Based on Bailey & López de Prado (2014) and Bailey et al. (2017).
1 subscribers
4 endpoints
The in-depth APIMemo review for this API hasn't been published yet —
the data below comes straight from the public marketplace listing.
DSR PBO Backtest Overfitting Diagnostic endpoints
| Method | Endpoint | Description |
|---|---|---|
| Health | ||
| GET |
root__get / |
|
| GET |
health_health_get /health |
|
| DSR | ||
| POST |
compute_dsr_dsr_post /dsr |
Compute the **Deflated Sharpe Ratio (DSR)**. DSR corrects the observed Sharpe ratio for: - Multiple testing inflation (number of parameter combinations tried) - Non-normality of… |
| PBO | ||
| POST |
compute_pbo_pbo_post /pbo |
Compute the **Probability of Backtest Overfitting (PBO)** via CSCV. PBO = fraction of cross-validation folds where the in-sample best strategy underperforms the median… |
DSR PBO Backtest Overfitting Diagnostic pricing
| Plan | Price | Rate limit | Quotas |
|---|---|---|---|
| BASIC | Free | — |
|
| PRO | $9.99 / month | — |
|
