Deflated Sharpe ratio calculator (PSR and DSR)
Deflated Sharpe calculator
Is your Sharpe ratio still good once you count how many versions you tried? Gives the probabilistic and deflated Sharpe ratios.
Open research instruments7 calculators
Every calculator, in one place.
Free, no account, and everything runs in your browser. Each one uses the same code our own published record is held to.
Probability of backtest overfitting calculator
Paste every version's returns to see how likely the best one is overfit, with the same method the API uses (CSCV).
Backtest selection risk simulator
Selection Risk Lab
Search a series with no edge at all, watch a good-looking result appear by chance, then see it deflated.
Execution assumptions cost calculator
Execution Reality Lab
Price one strategy under six fill, delay and market-impact assumptions, and see which ones cost you on every trade.
Portfolio breadth calculator
Breadth Lab
How much is a portfolio of several strategies worth, and how far can adding more help once they move together?
Trial accounting explorer
Trial accounting
Every idea this project has tested: the count our own deflated Sharpe is corrected for.
Signed evidence chain verifier
Evidence chain
Recheck the signed record behind this site in your browser, so you do not have to trust the site.
How to validate a backtest with these
1. Check the search, not just the result
A single Sharpe ratio says nothing about how many variants produced it. Run the deflated Sharpe calculator against your trial count, then check whether your in-sample winner actually predicts anything out of sample with the overfitting calculator.
2. Watch selection risk happen
The selection risk simulator lets you search a series that provably has no edge, so you can see a good-looking number turn into what it actually is before it happens to your own research.
3. Price execution honestly
The execution cost calculator separates costs, which reduce a result on every series, from re-timings, which only hurt on average.
4. Know the ceiling on diversification
The portfolio breadth calculator shows the correlation ceiling that no amount of added breadth can pass.
The same validation runs through a free keyed API: see the API quickstart for the deflated-Sharpe, overfitting and breadth routes. None of these tools writes to any ledger, artifact or published record; every input stays in your browser.
For the full walk-through with the API route beside each calculator, see how to validate a backtest.