Dataset
Deterministic demo series, free public daily closes, or your own CSV.
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More trials means a higher best-in-sample Sharpe even with no real edge.
400
Long when a short moving average sits above a long moving average.
65% in sample
8 chronological folds
Execution assumptions
Costs and position constraints applied to every trial identically.
5 bps per position change
$100,000
Same seed reproduces the identical strategy set.
Long / flat: exits to cash on a bearish signal.
Presets
Three calibrated starting points.
Run
The sweep is deterministic for a given seed and dataset.
Datasetnone
Trials400
Families4
Split65 / 35
Cost5 bps
long / flat
seed 7
8 folds
Benchmark Sharpe target
Threshold used by the Probabilistic Sharpe Ratio.
The out-of-sample PSR is measured against a zero-Sharpe null. The Deflated Sharpe Ratio replaces that null with the expected maximum Sharpe implied by the trial count, which rises automatically as you add trials.