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overfitting-audit-mcp

by Tyler FrancisUpdated Oct 1, 2026

Rigorous backtest-overfitting detection: Probability of Backtest Overfitting (CSCV), Deflated Sharpe Ratio, Minimum Backtest Length, and purged/embargoed cross-validation splits for algo/quant traders

overfitting
backtesting
deflated-sharpe
+3
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Statistical tests for backtest overfitting

The tests from the quant literature, ready to call.

Tools

  • probability_of_backtest_overfitting: CSCV-based PBO.
  • deflated_sharpe_ratio: Sharpe corrected for multiple trials.
  • minimum_backtest_length: how much history a Sharpe claim needs.
  • purged_cv_split: purged and embargoed cross-validation splits.

Pricing

Free: 10 calls a day. Pro: unlimited. Static, deterministic checks, no LLM calls, no data stored. Your input is analysed in memory and discarded.