The curve is the easy part.
A sample run. Anyone can show you a rising equity line. The verdict beneath it is what tells you whether it is a real edge or just a story the data told itself.
Hypothetical, hindsight-fitted sample data. Read the verdict and the disclaimer below.
- Deflated Sharpe
- 0.31
- Sharpe (naive)
- 1.74
- Prob. of overfit
- 78%
- Trials run
- 240
- CAGR
- +12.4%
- Max drawdown
- -18.6%
Deflated Sharpe and probability-of-overfit penalize the 240 variations tried — the math that turns a pretty curve into an honest verdict. A high naive Sharpe next to a low deflated Sharpe means the edge is most likely noise.
Hypothetical performance disclaimer (CFTC 4.41)
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. … Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.
SAMPLE data shown for illustration — no live engine is connected on this preview.