OPEN-SOURCE SCRIPT
PBO / Selection Bias Calculator
A calculator for selection bias in strategy backtests, based on the False Strategy Theorem. Enter the number of strategy variants you searched, the variance of their Sharpe ratios, and your single best variant's Sharpe; it returns the expected maximum Sharpe a no-edge search of that size would produce, and flags whether your best clears that screen.
How to read it
If your best Sharpe does not beat the expected maximum under the null, it is plausibly just the luckiest of many trials. Important: clearing the expected maximum is a screening threshold, not a statistical significance test.
Honest by design
- No buy/sell signals. It reads no price data; it is a pure analytics table computed from your inputs.
- Non-repainting by construction.
Open-source and MIT licensed. The underlying statistics (PSR, Deflated Sharpe, PBO via CSCV, Harvey-Liu haircut) follow the published papers cited in the code.
Disclaimer: impersonal educational and analytics tool. This is not investment advice, not a personalised recommendation, and carries no performance guarantee. Past results do not predict future results. You are solely responsible for your own trading decisions.
How to read it
If your best Sharpe does not beat the expected maximum under the null, it is plausibly just the luckiest of many trials. Important: clearing the expected maximum is a screening threshold, not a statistical significance test.
Honest by design
- No buy/sell signals. It reads no price data; it is a pure analytics table computed from your inputs.
- Non-repainting by construction.
Open-source and MIT licensed. The underlying statistics (PSR, Deflated Sharpe, PBO via CSCV, Harvey-Liu haircut) follow the published papers cited in the code.
Disclaimer: impersonal educational and analytics tool. This is not investment advice, not a personalised recommendation, and carries no performance guarantee. Past results do not predict future results. You are solely responsible for your own trading decisions.
Skrip sumber terbuka
Dalam semangat TradingView sebenar, pencipta skrip ini telah menjadikannya sumber terbuka, jadi pedagang boleh menilai dan mengesahkan kefungsiannya. Terima kasih kepada penulis! Walaupuan anda boleh menggunakan secara percuma, ingat bahawa penerbitan semula kod ini tertakluk kepada Peraturan Dalaman.
Penafian
Maklumat dan penerbitan adalah tidak bertujuan, dan tidak membentuk, nasihat atau cadangan kewangan, pelaburan, dagangan atau jenis lain yang diberikan atau disahkan oleh TradingView. Baca lebih dalam Terma Penggunaan.
Skrip sumber terbuka
Dalam semangat TradingView sebenar, pencipta skrip ini telah menjadikannya sumber terbuka, jadi pedagang boleh menilai dan mengesahkan kefungsiannya. Terima kasih kepada penulis! Walaupuan anda boleh menggunakan secara percuma, ingat bahawa penerbitan semula kod ini tertakluk kepada Peraturan Dalaman.
Penafian
Maklumat dan penerbitan adalah tidak bertujuan, dan tidak membentuk, nasihat atau cadangan kewangan, pelaburan, dagangan atau jenis lain yang diberikan atau disahkan oleh TradingView. Baca lebih dalam Terma Penggunaan.