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Edge or luck? Deflated Sharpe calculator

Enter your backtest's Sharpe, how many years it covers and how many configurations you tried: see how much of that Sharpe luck alone could explain. No signup.

Your numbers

The one your platform shows, annualised. For example 1.8.

From the backtest's first to its last day. For example 3 or 0.5.

Every parameter combination you ran, every version you dropped and every optimizer pass. If you don't know, give your best estimate; it is usually more than it seems.

With your file, the figures are measured

The calculator assumes daily data with normal returns. Your file has real skew, tails, costs and data gaps, and the report measures them, along with the number of MT5 optimizer passes when you upload it. Your first full report is free with an account.

Audit my file See a sample report

Why the search matters

  • Try 100 configurations with no real edge and the best of them almost always shows a high Sharpe. That is the one you pick and the one you publish.
  • The deflated Sharpe compares your Sharpe with the one the best of N random tries would show. The more configurations you try, the higher it must be to count.
  • More history helps: the spread of luck shrinks with the years, so a longer backtest needs less Sharpe to beat the same search.

Assumptions and limits

  • Daily returns, 252 a year, no skew and normal tails. Fat tails and negative skew make the real result stricter.
  • Configurations are treated as independent tries with the same spread as your Sharpe.
  • Harvey and Liu haircut with the Bonferroni correction; expected luck from Bailey and López de Prado; minimum length from Bailey, Borwein, López de Prado and Zhu.
  • We do not store what you type. It is the same arithmetic as the report's luck section, without your file.
  • It describes the past you declare; it says nothing about the future.