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.
開源腳本
秉持TradingView一貫精神，這個腳本的創作者將其設為開源，以便交易者檢視並驗證其功能。向作者致敬！您可以免費使用此腳本，但請注意，重新發佈代碼需遵守我們的社群規範。
免責聲明
這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。
開源腳本
秉持TradingView一貫精神，這個腳本的創作者將其設為開源，以便交易者檢視並驗證其功能。向作者致敬！您可以免費使用此腳本，但請注意，重新發佈代碼需遵守我們的社群規範。
免責聲明
這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。