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Backtest Overfitting Audit

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Probability of Backtest Overfitting (CSCV), Deflated Sharpe Ratio, and purged CV splits.

Code source Documentation

Installation

Ajoutez ceci à la configuration MCP de votre client (Claude Desktop : claude_desktop_config.json ; Cursor : .cursor/mcp.json ; VS Code et les autres utilisent la même forme « mcpServers »).

Remote (streamable-http)
Claude Code 
claude mcp add --transport http backtest-overfitting-audit 'https://overfitting-audit-mcp.mcpize.run/mcp'
Configuration JSON (Claude Desktop, Cursor, VS Code) 
{
    "mcpServers": {
        "backtest-overfitting-audit": {
            "type": "http",
            "url": "https://overfitting-audit-mcp.mcpize.run/mcp"
        }
    }
}

Documentation

Tirée du README du projet sur GitHub, actualisée chaque semaine. Les liens ouvrent GitHub.

Sommaire
  1. overfitting-audit-mcp
  2. The problem this solves
  3. Tools
  4. Use it
  5. Part of the AlgoForge suite
  6. License

overfitting-audit-mcp

An MCP server that answers "is this edge real, or a testing-hundreds-of-variants artifact?" — implementing the Probability of Backtest Overfitting (CSCV method), Deflated Sharpe Ratio, Minimum Backtest Length, and purged/embargoed cross-validation splits.

The problem this solves

Testing enough parameter combinations against the same historical data will eventually produce a great-looking backtest by chance alone. Standard backtest metrics (Sharpe, win rate, profit factor) don't distinguish a genuine edge from the best-looking result out of hundreds of near-identical variants. This audits for that specific failure mode directly, rather than trusting a single strong-looking curve.

Tools

probability_of_backtest_overfitting

Combinatorially Symmetric Cross-Validation (CSCV) method — estimates the probability that a strategy's in-sample performance rank won't hold out-of-sample.

deflated_sharpe_ratio

Adjusts a Sharpe ratio for the number of trials run and the non-normality of returns, so it can't be inflated just by testing more variants.

minimum_backtest_length

The minimum number of independent trials/observations needed before a given Sharpe ratio is statistically meaningful at all.

purged_cv_split

Generates purged and embargoed cross-validation splits for time-series backtests, preventing the lookahead leakage that ordinary k-fold CV introduces on financial data.

Use it

Hosted (recommended): MCPize — free tier, paid Pro tier for higher limits.

Self-host:

npm install
node server.js

Part of the AlgoForge suite

Prop-firm and quant-validation tools for algo traders: prop-rules-mcp, trade-journal-mcp, payout-calc-mcp, econ-calendar-mcp, montecarlo-validator-mcp, walkforward-validator-mcp, pinescript-audit-mcp, backtest-cost-sensitivity-mcp, pinescript-mcp.

License

MIT

Questions fréquentes

Qu'est-ce que Backtest Overfitting Audit ?

Probability of Backtest Overfitting (CSCV), Deflated Sharpe Ratio, and purged CV splits.

Comment installer Backtest Overfitting Audit ?

Il fonctionne comme serveur distant. Dans Claude Code : claude mcp add --transport http backtest-overfitting-audit 'https://overfitting-audit-mcp.mcpize.run/mcp'. Pour les autres clients, collez la configuration JSON de cette page dans leurs réglages MCP.

Faut-il une clé API pour Backtest Overfitting Audit ?

Son entrée au registre n'indique aucune clé ni secret obligatoire. Certaines fonctions peuvent tout de même demander un compte auprès du service auquel il se connecte.

Backtest Overfitting Audit est-il open source ?

Oui. Son code est sur GitHub sous licence MIT.

Qui maintient Backtest Overfitting Audit ?

Il est publié par tylerscomic-lab. AI.tn le référence sans le maintenir ni le recommander.

Issu du registre MCP officiel. Être listé n'est pas une recommandation : vérifiez le code et les permissions d'un serveur avant de lui donner accès à vos données.