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quantskills

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   Skill Backtest Overfit · quantskills-skill-backtest-overfit bundle

   Detect backtest overfitting and selection bias from multiple testing. Use when a user has a backtest / factor result and asks whether the Sharpe is real, whether a strategy is overfit, or wants to validate results before trusting them. Computes Deflated Sharpe Ratio, Probability of Backtest Overfitting (PBO), multiple-testing haircut, and Minimum Track Record Length.
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