Deflated Sharpe and PBO checks. A verdict is not admission to anything and is not a forecast.
Maintain this server? Claim it
Call this server's tools from your browser. Nothing to install.
Requests go through mcptry because browsers can't call most MCP servers directly. Header values are sent to the server for that request only and are never stored or logged.
Tool list from our last check. Connect live to refresh it.
One-call audit of a strategy's returns. Headline: one test whose false-positive rate was measured on nine return shapes (White's Reality Check with variants, luck trials with Lo's correction without). Then deflated Sharpe, minimum track record and, with variants, overfitting and out-of-sample decay, each with its receipt, plus fix_next. Send every variant tried (variants_file) so trials are counted; point returns_file at a CSV instead of pasting. A deflated Sharpe or overfitting probability above or below any threshold is not admission to anything and is not a forecast.
Periods per year: 252 daily, 365 crypto, 52 weekly, 12 monthly.
Periodic returns as fractions (0.01 = 1%), oldest first; replaces the Sharpe, observations, skew and kurtosis.
Even number of blocks, at least 2; default 16.
Optional returns of every variant tried (this one included), one row per period, one column per variant; adds the overfitting check.
Between 0 and 1; default 0.95.
Path to a CSV or JSON of the returns on this machine (not on the hosted endpoint), instead of returns.
Path to a CSV or JSON with one numeric column per variant, instead of variants.
Column name or 1-based position, when returns_file has several numeric columns.
Annualized Sharpe to beat; default 0.
Independent variants tried before choosing this one. Optional with variants: counted from them, and the larger number is used.
Standard deviation of annualized Sharpe across those trials. Optional with variants: measured from them, and the larger is used.
This tool isn't marked read-only, so it may change something on the server or in an account you connected.
One-call audit of a strategy's returns. Headline: one test whose false-positive rate was measured on nine return shapes (White's Reality Check with variants, luck trials with Lo's correction without). Then deflated Sharpe, minimum track record and, with variants, overfitting and out-of-sample decay, each with its receipt, plus fix_next. Send every variant tried (variants_file) so trials are counted; point returns_file at a CSV instead of pasting. A deflated Sharpe or overfitting probability above or below any threshold is not admission to anything and is not a forecast.
| Argument | Type | Description |
|---|---|---|
| returns | array | Periodic returns as fractions (0.01 = 1%), oldest first; replaces the Sharpe, observations, skew and kurtosis. |
| n_splits | integer | Even number of blocks, at least 2; default 16. |
| variants | array | Optional returns of every variant tried (this one included), one row per period, one column per variant; adds the overfitting check. |
| confidence | number | Between 0 and 1; default 0.95. |
| returns_file | string | Path to a CSV or JSON of the returns on this machine (not on the hosted endpoint), instead of returns. |
| variants_file | string | Path to a CSV or JSON with one numeric column per variant, instead of variants. |
| returns_column | any | Column name or 1-based position, when returns_file has several numeric columns. |
| periods_per_year* | number | Periods per year: 252 daily, 365 crypto, 52 weekly, 12 monthly. |
| benchmark_sharpe_annualized | number | Annualized Sharpe to beat; default 0. |
| effective_independent_trials | integer | Independent variants tried before choosing this one. Optional with variants: counted from them, and the larger number is used. |
| cross_trial_sharpe_sd_annualized | number | Standard deviation of annualized Sharpe across those trials. Optional with variants: measured from them, and the larger is used. |
{
"type": "object",
"$schema": "https://json-schema.org/draft/2020-12/schema",
"required": [
"periods_per_year"
],
"properties": {
"returns": {
"type": "array",
"items": {
"type": "number"
},
"maxItems": 20000,
"minItems": 2,
"description": "Periodic returns as fractions (0.01 = 1%), oldest first; replaces the Sharpe, observations, skew and kurtosis."
},
"n_splits": {
"type": "integer",
"description": "Even number of blocks, at least 2; default 16.",
"exclusiveMinimum": 0
},
"variants": {
"type": "array",
"items": {
"type": "array",
"items": {
"type": "number"
},
"maxItems": 200
},
"maxItems": 20000,
"minItems": 2,
"description": "Optional returns of every variant tried (this one included), one row per period, one column per variant; adds the overfitting check."
},
"confidence": {
"type": "number",
"description": "Between 0 and 1; default 0.95.",
"exclusiveMaximum": 1,
"exclusiveMinimum": 0
},
"returns_file": {
"type": "string",
"maxLength": 4096,
"minLength": 1,
"description": "Path to a CSV or JSON of the returns on this machine (not on the hosted endpoint), instead of returns."
},
"variants_file": {
"type": "string",
"maxLength": 4096,
"minLength": 1,
"description": "Path to a CSV or JSON with one numeric column per variant, instead of variants."
},
"returns_column": {
"anyOf": [
{
"type": "string",
"maxLength": 200,
"minLength": 1
},
{
"type": "integer",
"minimum": 1
}
],
"description": "Column name or 1-based position, when returns_file has several numeric columns."
},
"periods_per_year": {
"type": "number",
"maximum": 10000,
"minimum": 1,
"description": "Periods per year: 252 daily, 365 crypto, 52 weekly, 12 monthly."
},
"benchmark_sharpe_annualized": {
"type": "number",
"maximum": 10,
"minimum": -10,
"description": "Annualized Sharpe to beat; default 0."
},
"effective_independent_trials": {
"type": "integer",
"maximum": 10000000,
"minimum": 2,
"description": "Independent variants tried before choosing this one. Optional with variants: counted from them, and the larger number is used."
},
"cross_trial_sharpe_sd_annualized": {
"type": "number",
"maximum": 10,
"minimum": 0,
"description": "Standard deviation of annualized Sharpe across those trials. Optional with variants: measured from them, and the larger is used."
}
},
"additionalProperties": false
}Backtest a rule on your prices over a whole parameter grid, then validate the best with the count of variants actually run: deflated Sharpe, overfitting probability, minimum track record, vs buy and hold, after costs. A backtest, deflated or not, is not a forecast and not advice.
| Argument | Type | Description |
|---|---|---|
| grid | object | Values per parameter, e.g. {"fast":[10,20],"slow":[50,200]}; every valid combination runs (max 200). |
| dates | array | Optional ISO dates, one per value. |
| family* | string | sma_cross (fast, slow), momentum (lookback, skip), mean_reversion (window, entry_z), breakout (lookback), buy_and_hold. |
| prices | array | Prices, oldest first. |
| cost_bps | number | Cost per unit of turnover, bps; default 5. |
| allow_short | boolean | Short instead of flat; default false. |
| prices_file | string | CSV or JSON of prices on this machine; local server only. |
| prices_column | any | Column name or 1-based position. |
Check a trading plan before it trades: broker order-rate and minimum-order limits, 2026 US day-trading rules, square-root market impact with crowding, and the capital where costs eat the return. Checks the plan as described against published broker limits and a market-impact model; it never contacts a broker or sees an account.
| Argument | Type | Description |
|---|---|---|
| broker | string | Default other. |
| copies | integer | Agents trading the same signal at once; default 1. |
| account | string | |
| adv_usd* | number | Daily dollar volume of a typical holding. |
| asset_class | string | |
| capital_usd* | number | |
| daily_volatility* | number | Of a typical holding, e.g. 0.02. |
| turnover_per_year* | number | Buys plus sells a year / capital. |
Does a signal look ahead? plan gives cuts; rerun your code on the first cut rows for each, then compare. Rows that changed used later rows; the result names the pattern and horizon. No code is sent. A pass covers only these cuts: the columns are the caller's, and survivorship, vendor revisions or a leak no cut reaches leave no trace.
| Argument | Type | Description |
|---|---|---|
| cuts | array | compare: plan's cuts. |
| seed | integer | |
| action* | string | |
| columns | object | compare: {name: {full: [all rows], prefixes: [[first cuts[i] rows], ...]}}, null for missing. |
| prefixes | integer | plan: cuts, default 5. |
| tolerance | number | Default 1e-9. |
| timestamps | array | |
| columns_file | string | compare, on your machine: a JSON file {cuts, columns} instead. |
| observations | integer |
Does your pipeline find edges in noise? plan writes placebo files (your data's returns in random orders, so nothing is predictable); run the whole pipeline on real.csv and on each, then compare for a p-value that counts every choice it makes. Beating the placebos shows the pipeline finds more in the real order of the returns than in random orders of the same returns; it does not show the edge survives costs, capacity or the future.
| Argument | Type | Description |
|---|---|---|
| kind | string | plan: default prices. |
| real | number | compare: the pipeline's result on the real data. |
| seed | integer | |
| action* | string | |
| method | string | |
| columns | object | plan: {asset: [values]} instead of data_file. |
| placebos | integer | plan: default 19, up to 199. |
| data_file | string | plan, on your machine: CSV or JSON, a column per asset, dates optional. |
| lower_is_better | boolean | |
Whether the validation API is up, with its quotas; check after a timeout before resubmitting. No key. This verdict is about the series exactly as submitted. The service never saw the data source, its costs, survivorship, or any lookahead in how the series was built.
No arguments.
{
"type": "object",
"$schema": "https://json-schema.org/draft/2020-12/schema",
"properties": {},
"additionalProperties": false
}Stress a strategy's returns: bootstrap histories (how often the drawdown limit breaks or Sharpe turns negative) and named crash, volatility, repeat and stuck-position scenarios, with a fragility share. Frequencies over resampled histories are not forecasts of the future.
| Argument | Type | Description |
|---|---|---|
| seed | integer | Default 42; reproduces exactly. |
| block | number | Mean block length; default cube root of n. |
| crash | number | Crash size, negative; default min(-0.2, 3x worst period). |
| paths | integer | Default 1000. |
| returns | array | Strategy returns as fractions, oldest first. |
| returns_file | string | CSV or JSON of returns on this machine; local server only. |
| drawdown_limit | number | Fraction; default 0.2. |
| outage_periods | integer | Stuck periods after the worst; default 5. |
| returns_column | any |
A long price or return series in about 100 words plus fields: growth, risk, dated drawdowns, trend, volatility regime, tails, jumps, stale data. Use instead of reading raw bars. Nothing here is a forecast or advice.
| Argument | Type | Description |
|---|---|---|
| name | string | Label for the text. |
| dates | array | Optional ISO dates, one per value. |
| prices | array | Prices, oldest first; or returns, or series_file. |
| returns | array | Returns as fractions, oldest first. |
| series_file | string | CSV or JSON of prices or returns on this machine; local server only. |
| series_kind | string | series_file holds; default prices. |
| series_column | any | Column name or 1-based position. |
| periods_per_year | number | 252 daily (default), 365 crypto, 52 weekly, 12 monthly. |
| benchmark_returns | array |
Minimum backtest length (years) before the best of N independent trials is not expected to reach a target Sharpe by luck; with backtest_years, the most trials those years allow. For planning a search; once it has a result, use validate_deflated_sharpe. A deflated Sharpe or overfitting probability above or below any threshold is not admission to anything and is not a forecast.
| Argument | Type | Description |
|---|---|---|
| backtest_years | number | Backtest length in years, for the most trials it allows. |
| target_sharpe_annualized | number | In-sample annualized Sharpe you would call a discovery; default 1. |
| effective_independent_trials | integer | Independent trials tried (backtests, parameter sets, ideas). |
{
"type": "object",
"$schema": "https://json-schema.org/draft/2020-12/schema",
"properties": {
"backtest_years": {
"type": "number",
"maximum": 1000,
"description": "Backtest length in years, for the most trials it allows.",
"exclusiveMinimum": 0
},
"target_sharpe_annualized": {
"type": "number",
"maximum": 10,
"description": "In-sample annualized Sharpe you would call a discovery; default 1.",
"exclusiveMinimum": 0
},
"effective_independent_trials": {
"type": "integer",
"maximum": 1000000000,
"minimum": 2,
"description": "Independent trials tried (backtests, parameter sets, ideas)."
}
},
"additionalProperties": false
}Book Sharpe ceiling from adding sleeves of this quality and correlation, the Sharpe at a sleeve count, and the sleeves a target needs. For portfolio construction; it validates no single strategy. This verdict is about the series exactly as submitted. The service never saw the data source, its costs, survivorship, or any lookahead in how the series was built.
| Argument | Type | Description |
|---|---|---|
| target | number | Target book Sharpe, for the sleeves it needs. |
| sleeves | integer | Sleeve count, for that book's Sharpe. |
| sleeve_sharpe* | number | Annualized Sharpe of one sleeve. |
| average_pairwise_correlation* | number | Average correlation between sleeves, -1 to 1. |
{
"type": "object",
"$schema": "https://json-schema.org/draft/2020-12/schema",
"required": [
"sleeve_sharpe",
"average_pairwise_correlation"
],
"properties": {
"target": {
"type": "number",
"description": "Target book Sharpe, for the sleeves it needs.",
"exclusiveMinimum": 0
},
"sleeves": {
"type": "integer",
"maximum": 500,
"minimum": 1,
"description": "Sleeve count, for that book's Sharpe."
},
"sleeve_sharpe": {
"type": "number",
"description": "Annualized Sharpe of one sleeve.",
"exclusiveMinimum": 0
},
"average_pairwise_correlation": {
"type": "number",
"maximum": 1,
"minimum": -1,
"description": "Average correlation between sleeves, -1 to 1."
}
},
"additionalProperties": false
}Deflated Sharpe ratio: the probability (0 to 1) that the selected strategy's Sharpe beats the best that luck gives across the variants tried, with the probabilistic Sharpe and that luck benchmark. Send the seven statistics or a return series. With every variant's returns use validate_overfitting; luck as a trial count, validate_luck_trials; a multiple-testing haircut, validate_haircut_sharpe. A deflated Sharpe or overfitting probability above or below any threshold is not admission to anything and is not a forecast.
| Argument | Type | Description |
|---|---|---|
| skew | number | Skewness of returns; 0 if Normal. |
| returns | array | Periodic returns as fractions (0.01 = 1%), oldest first; replaces the Sharpe, observations, skew and kurtosis. |
| observations | integer | Number of return observations. |
| periods_per_year | number | Periods per year: 252 daily, 365 crypto, 52 weekly, 12 monthly. |
| non_excess_kurtosis | number | Kurtosis, not excess kurtosis; 3 if Normal. |
| observed_sharpe_annualized | number | Annualized Sharpe as observed. |
| effective_independent_trials | integer | Independent variants tried before choosing this one. |
Haircut Sharpe for multiple testing (Harvey and Liu 2015): the Sharpe a single test would have needed, by Bonferroni and independent tests, and with the other tests' Sharpes, Holm and BHY. For the probability the Sharpe is real, use validate_deflated_sharpe. A deflated Sharpe or overfitting probability above or below any threshold is not admission to anything and is not a forecast.
| Argument | Type | Description |
|---|---|---|
| tests | integer | Tests run, this one included; gives the Bonferroni and independent-test haircuts. |
| observations* | integer | Return observations behind the Sharpe. |
| autocorrelation | number | Lag-1 autocorrelation of returns, -1 to 1; default 0. Corrects the annualized Sharpe (Lo 2002). |
| periods_per_year* | number | Periods per year: 252 daily, 365 crypto, 52 weekly, 12 monthly. |
| observed_sharpe_annualized* | number | Annualized Sharpe as observed. |
| other_sharpe_ratios_annualized | array | Annualized Sharpes of the other tests over the same observations; adds Holm and BHY. |
{
"type": "object",
"$schema": "https://json-schema.org/draft/2020-12/schema",
"required": [
"observed_sharpe_annualized",
"periods_per_year",
"observations"
],
"properties": {
"tests": {
"type": "integer",
"maximum": 100000000,
"minimum": 1,
"description": "Tests run, this one included; gives the Bonferroni and independent-test haircuts."
},
"observations": {
"type": "integer",
"maximum": 1000000,
"minimum": 3,
"description": "Return observations behind the Sharpe."
},
"autocorrelation": {
"type": "number",
"description": "Lag-1 autocorrelation of returns, -1 to 1; default 0. Corrects the annualized Sharpe (Lo 2002).",
"exclusiveMaximum": 1,
"exclusiveMinimum": -1
},
"periods_per_year": {
"type": "number",
"maximum": 10000,
"minimum": 1,
"description": "Periods per year: 252 daily, 365 crypto, 52 weekly, 12 monthly."
},
"observed_sharpe_annualized": {
"type": "number",
"maximum": 10,
"description": "Annualized Sharpe as observed.",
"exclusiveMinimum": 0
},
"other_sharpe_ratios_annualized": {
"type": "array",
"items": {
"type": "number",
"maximum": 10,
"minimum": -10
},
"maxItems": 10000,
"minItems": 1,
"description": "Annualized Sharpes of the other tests over the same observations; adds Holm and BHY."
}
},
"additionalProperties": false
}How many skill-less strategies a search would need for its best to reach this Sharpe by luck (Monte Carlo), and with a trial count, the chance it did. States luck as the best of N random tries; for the probability the Sharpe is real, use validate_deflated_sharpe. A deflated Sharpe or overfitting probability above or below any threshold is not admission to anything and is not a forecast.
| Argument | Type | Description |
|---|---|---|
| skew | number | Skewness; below -0.5 the reading warns the counts are too generous. |
| observations* | integer | Return observations behind the Sharpe. |
| autocorrelation | number | Lag-1 autocorrelation of returns, -1 to 1; default 0. Corrects the annualized Sharpe (Lo 2002). |
| periods_per_year* | number | Periods per year: 252 daily, 365 crypto, 52 weekly, 12 monthly. |
| observed_sharpe_annualized* | number | Annualized Sharpe as observed. |
| effective_independent_trials | integer | Independent trials tried; adds the chance the best reached this Sharpe by luck. |
{
"type": "object",
"$schema": "https://json-schema.org/draft/2020-12/schema",
"required": [
"observed_sharpe_annualized",
"periods_per_year",
"observations"
],
"properties": {
"skew": {
"type": "number",
"maximum": 100,
"minimum": -100,
"description": "Skewness; below -0.5 the reading warns the counts are too generous."
},
"observations": {
"type": "integer",
"maximum": 1000000,
"minimum": 3,
"description": "Return observations behind the Sharpe."
},
"autocorrelation": {
"type": "number",
"description": "Lag-1 autocorrelation of returns, -1 to 1; default 0. Corrects the annualized Sharpe (Lo 2002).",
"exclusiveMaximum": 1,
"exclusiveMinimum": -1
},
"periods_per_year": {
"type": "number",
"maximum": 10000,
"minimum": 1,
"description": "Periods per year: 252 daily, 365 crypto, 52 weekly, 12 monthly."
},
"observed_sharpe_annualized": {
"type": "number",
"maximum": 20,
"minimum": -20,
"description": "Annualized Sharpe as observed."
},
"effective_independent_trials": {
"type": "integer",
"maximum": 1000000000,
"minimum": 1,
"description": "Independent trials tried; adds the chance the best reached this Sharpe by luck."
}
},
"additionalProperties": false
}Probability of backtest overfitting (0 to 1) by CSCV: how often the in-sample best variant falls below the out-of-sample median. Needs every variant's returns (periods by variants); with summary statistics only, use validate_deflated_sharpe. A deflated Sharpe or overfitting probability above or below any threshold is not admission to anything and is not a forecast.
| Argument | Type | Description |
|---|---|---|
| seed | number | Sampling seed; default 42. |
| matrix* | array | Returns as fractions, one row per period, one column per variant. |
| n_splits | integer | Even number of blocks, at least 2; default 16. |
| max_combinations | integer | Most splits evaluated, up to 2000 (default). |
{
"type": "object",
"$schema": "https://json-schema.org/draft/2020-12/schema",
"required": [
"matrix"
],
"properties": {
"seed": {
"type": "number",
"description": "Sampling seed; default 42."
},
"matrix": {
"type": "array",
"items": {
"type": "array",
"items": {
"type": "number"
},
"maxItems": 200
},
"maxItems": 20000,
"minItems": 2,
"description": "Returns as fractions, one row per period, one column per variant."
},
"n_splits": {
"type": "integer",
"description": "Even number of blocks, at least 2; default 16.",
"exclusiveMinimum": 0
},
"max_combinations": {
"type": "integer",
"maximum": 2000,
"description": "Most splits evaluated, up to 2000 (default).",
"exclusiveMinimum": 0
}
},
"additionalProperties": false
}Checks paper-evidence.v0 structure and disclosures. With CANLI_LOCAL=1, record_file reads an export bundle and journal_file verifies signatures, source hashes and recomputed claims. Without a journal, source facts and signatures are unchecked. Local files are never uploaded. This verdict is about the series exactly as submitted. The service never saw the data source, its costs, survivorship, or any lookahead in how the series was built.
| Argument | Type | Description |
|---|---|---|
| record | object | A canli.paper-evidence.v0 record. |
| signature | object | Detached record signature for a signed inline record; requires journal_file. |
| record_file | string | Local record or export-bundle JSON path; requires CANLI_LOCAL=1. |
| journal_file | string | Local signed journal to recompute and bind; requires CANLI_LOCAL=1. |
{
"type": "object",
"$schema": "https://json-schema.org/draft/2020-12/schema",
"properties": {
"record": {
"type": "object",
"description": "A canli.paper-evidence.v0 record."
},
"signature": {
"type": "object",
"required": [
"scheme",
"public_key",
"signature"
],
"properties": {
"scheme": {
"type": "string",
"const": "Ed25519"
},
"signature": {
"type": "string",
"maxLength": 128
},
"public_key": {
"type": "string",
"maxLength": 64
}
},
"description": "Detached record signature for a signed inline record; requires journal_file.",
"additionalProperties": false
},
"record_file": {
"type": "string",
"maxLength": 1000,
"minLength": 1,
"description": "Local record or export-bundle JSON path; requires CANLI_LOCAL=1."
},
"journal_file": {
"type": "string",
"maxLength": 1000,
"minLength": 1,
"description": "Local signed journal to recompute and bind; requires CANLI_LOCAL=1."
}
},
"additionalProperties": false
}Data-snooping tests on every variant a search tried: Hansen's SPA p-value that the best beat the benchmark only by luck, White's Reality Check, and the variants Romano-Wolf StepM finds better. Send all variants tried, not only the winners. A deflated Sharpe or overfitting probability above or below any threshold is not admission to anything and is not a forecast.
| Argument | Type | Description |
|---|---|---|
| reps | integer | Bootstrap draws; default 2000. |
| seed | integer | Sampling seed; default 42. |
| alpha | number | Familywise error for StepM; default 0.05. |
| matrix | array | Returns of every variant the search tried, one row per period, one column per variant. |
| benchmark | array | Benchmark return per period; default zero. |
| matrix_file | string | Path to a CSV or JSON with one numeric column per variant, instead of matrix. |
| block_length | integer | Mean bootstrap block in periods; default round(n^(1/3)). |
{
"type": "object",
"$schema": "https://json-schema.org/draft/2020-12/schema",
"properties": {
"reps": {
"type": "integer",
"maximum": 400000,
"minimum": 500,
"description": "Bootstrap draws; default 2000."
},
"seed": {
"type": "integer",
"description": "Sampling seed; default 42."
},
"alpha": {
"type": "number",
"maximum": 0.5,
"description": "Familywise error for StepM; default 0.05.",
"exclusiveMinimum": 0
},
"matrix": {
"type": "array",
"items": {
"type": "array",
"items": {
"type": "number"
},
"maxItems": 200
},
"maxItems": 20000,
"minItems": 30,
"description": "Returns of every variant the search tried, one row per period, one column per variant."
},
"benchmark": {
"type": "array",
"items": {
"type": "number"
},
"maxItems": 20000,
"minItems": 30,
"description": "Benchmark return per period; default zero."
},
"matrix_file": {
"type": "string",
"maxLength": 4096,
"minLength": 1,
"description": "Path to a CSV or JSON with one numeric column per variant, instead of matrix."
},
"block_length": {
"type": "integer",
"maximum": 10000,
"minimum": 1,
"description": "Mean bootstrap block in periods; default round(n^(1/3))."
}
},
"additionalProperties": false
}Minimum track record length (observations and years) for an observed Sharpe to beat a benchmark at a confidence level; with observations, the record's probabilistic Sharpe so far. For live or paper records; to size a backtest for its trials, use validate_backtest_length. A deflated Sharpe or overfitting probability above or below any threshold is not admission to anything and is not a forecast.
| Argument | Type | Description |
|---|---|---|
| skew* | number | Skewness of returns; 0 if Normal. |
| confidence | number | Between 0 and 1; default 0.95. |
| observations | integer | Record length so far, for its probabilistic Sharpe. |
| periods_per_year* | number | Periods per year: 252 daily, 365 crypto, 52 weekly, 12 monthly. |
| non_excess_kurtosis* | number | Kurtosis, not excess kurtosis; 3 if Normal. |
| observed_sharpe_annualized* | number | Annualized Sharpe as observed. |
| benchmark_sharpe_annualized | number | Annualized Sharpe to beat; default 0. |
Verify a receipt offline: its Ed25519 signature against the bundled canlicapital.com key, its output hash and its id. Send an id to fetch it first, or the receipt itself. The receipt is content-hashed, reproducible from the open-source core it names, and signed with Ed25519 by a key published at https://canlicapital.com/.well-known/canli-receipt-keys.json.
| Argument | Type | Description |
|---|---|---|
| id | string | Receipt id from a validation result. |
| receipt | object | A receipt object, to verify without fetching. |
| include_receipt | boolean | With id: also return the stored receipt. |
{
"type": "object",
"$schema": "https://json-schema.org/draft/2020-12/schema",
"properties": {
"id": {
"type": "string",
"pattern": "^[0-9a-f]{24}$",
"description": "Receipt id from a validation result."
},
"receipt": {
"type": "object",
"description": "A receipt object, to verify without fetching."
},
"include_receipt": {
"type": "boolean",
"description": "With id: also return the stored receipt."
}
},
"additionalProperties": false
}| periods_per_year | number | 252 daily (default), 365 crypto, 52 weekly, 12 monthly. |
{
"type": "object",
"$schema": "https://json-schema.org/draft/2020-12/schema",
"required": [
"family"
],
"properties": {
"grid": {
"type": "object",
"description": "Values per parameter, e.g. {\"fast\":[10,20],\"slow\":[50,200]}; every valid combination runs (max 200).",
"additionalProperties": {
"anyOf": [
{
"type": "number"
},
{
"type": "array",
"items": {
"type": "number"
}
}
]
}
},
"dates": {
"type": "array",
"items": {
"type": "string"
},
"description": "Optional ISO dates, one per value."
},
"family": {
"enum": [
"buy_and_hold",
"sma_cross",
"momentum",
"mean_reversion",
"breakout"
],
"type": "string",
"description": "sma_cross (fast, slow), momentum (lookback, skip), mean_reversion (window, entry_z), breakout (lookback), buy_and_hold."
},
"prices": {
"type": "array",
"items": {
"type": "number"
},
"description": "Prices, oldest first."
},
"cost_bps": {
"type": "number",
"minimum": 0,
"description": "Cost per unit of turnover, bps; default 5."
},
"allow_short": {
"type": "boolean",
"description": "Short instead of flat; default false."
},
"prices_file": {
"type": "string",
"description": "CSV or JSON of prices on this machine; local server only."
},
"prices_column": {
"anyOf": [
{
"type": "string"
},
{
"type": "integer"
}
],
"description": "Column name or 1-based position."
},
"periods_per_year": {
"type": "number",
"description": "252 daily (default), 365 crypto, 52 weekly, 12 monthly."
}
},
"additionalProperties": false
}| impact_coefficient |
| number |
| Square-root law Y; default 1. |
| rebalances_per_year* | number |
| spread_and_fees_bps | number | Per trade; default 0. |
| orders_per_rebalance* | integer |
| expected_gross_return | number | Annual, before costs; adds capacity. |
| minutes_per_rebalance | number | Default 1. |
| orders_per_minute_limit | number | If the broker's is not on file. |
{
"type": "object",
"$schema": "https://json-schema.org/draft/2020-12/schema",
"required": [
"capital_usd",
"orders_per_rebalance",
"rebalances_per_year",
"turnover_per_year",
"adv_usd",
"daily_volatility"
],
"properties": {
"broker": {
"enum": [
"alpaca",
"ibkr",
"other"
],
"type": "string",
"description": "Default other."
},
"copies": {
"type": "integer",
"description": "Agents trading the same signal at once; default 1."
},
"account": {
"enum": [
"cash",
"margin"
],
"type": "string"
},
"adv_usd": {
"type": "number",
"description": "Daily dollar volume of a typical holding."
},
"asset_class": {
"enum": [
"us_equity",
"crypto",
"futures",
"fx",
"options"
],
"type": "string"
},
"capital_usd": {
"type": "number"
},
"daily_volatility": {
"type": "number",
"maximum": 1,
"description": "Of a typical holding, e.g. 0.02."
},
"turnover_per_year": {
"type": "number",
"minimum": 0,
"description": "Buys plus sells a year / capital."
},
"impact_coefficient": {
"type": "number",
"description": "Square-root law Y; default 1."
},
"rebalances_per_year": {
"type": "number"
},
"spread_and_fees_bps": {
"type": "number",
"minimum": 0,
"description": "Per trade; default 0."
},
"orders_per_rebalance": {
"type": "integer"
},
"expected_gross_return": {
"type": "number",
"minimum": -1,
"description": "Annual, before costs; adds capacity."
},
"minutes_per_rebalance": {
"type": "number",
"description": "Default 1."
},
"orders_per_minute_limit": {
"type": "number",
"description": "If the broker's is not on file."
}
},
"additionalProperties": false
}| plan: rows in the series. |
{
"type": "object",
"$schema": "https://json-schema.org/draft/2020-12/schema",
"required": [
"action"
],
"properties": {
"cuts": {
"type": "array",
"items": {
"type": "integer"
},
"description": "compare: plan's cuts."
},
"seed": {
"type": "integer"
},
"action": {
"enum": [
"plan",
"compare"
],
"type": "string"
},
"columns": {
"type": "object",
"description": "compare: {name: {full: [all rows], prefixes: [[first cuts[i] rows], ...]}}, null for missing.",
"additionalProperties": {
"type": "object",
"properties": {}
}
},
"prefixes": {
"type": "integer",
"description": "plan: cuts, default 5."
},
"tolerance": {
"type": "number",
"description": "Default 1e-9."
},
"timestamps": {
"type": "array",
"items": {
"type": "string"
}
},
"columns_file": {
"type": "string",
"description": "compare, on your machine: a JSON file {cuts, columns} instead."
},
"observations": {
"type": "integer",
"description": "plan: rows in the series."
}
},
"additionalProperties": false
}| placebo_results |
| array |
| compare: its result on each placebo, in file order. |
{
"type": "object",
"$schema": "https://json-schema.org/draft/2020-12/schema",
"required": [
"action"
],
"properties": {
"kind": {
"enum": [
"prices",
"returns"
],
"type": "string",
"description": "plan: default prices."
},
"real": {
"type": "number",
"description": "compare: the pipeline's result on the real data."
},
"seed": {
"type": "integer"
},
"action": {
"enum": [
"plan",
"compare"
],
"type": "string"
},
"method": {
"enum": [
"permute",
"block_permute",
"stationary_bootstrap"
],
"type": "string"
},
"columns": {
"type": "object",
"description": "plan: {asset: [values]} instead of data_file.",
"additionalProperties": {
"type": "array",
"items": {
"type": "number"
}
}
},
"placebos": {
"type": "integer",
"description": "plan: default 19, up to 199."
},
"data_file": {
"type": "string",
"description": "plan, on your machine: CSV or JSON, a column per asset, dates optional."
},
"lower_is_better": {
"type": "boolean"
},
"placebo_results": {
"type": "array",
"items": {
"type": "number"
},
"description": "compare: its result on each placebo, in file order."
}
},
"additionalProperties": false
}| Column name or 1-based position. |
| periods_per_year | number | 252 daily (default), 365 crypto, 52 weekly, 12 monthly. |
| volatility_multiplier | number | Default 2. |
{
"type": "object",
"$schema": "https://json-schema.org/draft/2020-12/schema",
"properties": {
"seed": {
"type": "integer",
"description": "Default 42; reproduces exactly."
},
"block": {
"type": "number",
"description": "Mean block length; default cube root of n."
},
"crash": {
"type": "number",
"description": "Crash size, negative; default min(-0.2, 3x worst period).",
"exclusiveMaximum": 0,
"exclusiveMinimum": -1
},
"paths": {
"type": "integer",
"description": "Default 1000."
},
"returns": {
"type": "array",
"items": {
"type": "number"
},
"description": "Strategy returns as fractions, oldest first."
},
"returns_file": {
"type": "string",
"description": "CSV or JSON of returns on this machine; local server only."
},
"drawdown_limit": {
"type": "number",
"description": "Fraction; default 0.2.",
"exclusiveMaximum": 1,
"exclusiveMinimum": 0
},
"outage_periods": {
"type": "integer",
"description": "Stuck periods after the worst; default 5."
},
"returns_column": {
"anyOf": [
{
"type": "string"
},
{
"type": "integer"
}
],
"description": "Column name or 1-based position."
},
"periods_per_year": {
"type": "number",
"description": "252 daily (default), 365 crypto, 52 weekly, 12 monthly."
},
"volatility_multiplier": {
"type": "number",
"description": "Default 2."
}
},
"additionalProperties": false
}| Same-period benchmark returns; adds beta. |
{
"type": "object",
"$schema": "https://json-schema.org/draft/2020-12/schema",
"properties": {
"name": {
"type": "string",
"description": "Label for the text."
},
"dates": {
"type": "array",
"items": {
"type": "string"
},
"description": "Optional ISO dates, one per value."
},
"prices": {
"type": "array",
"items": {
"type": "number"
},
"description": "Prices, oldest first; or returns, or series_file."
},
"returns": {
"type": "array",
"items": {
"type": "number"
},
"description": "Returns as fractions, oldest first."
},
"series_file": {
"type": "string",
"description": "CSV or JSON of prices or returns on this machine; local server only."
},
"series_kind": {
"enum": [
"prices",
"returns"
],
"type": "string",
"description": "series_file holds; default prices."
},
"series_column": {
"anyOf": [
{
"type": "string"
},
{
"type": "integer"
}
],
"description": "Column name or 1-based position."
},
"periods_per_year": {
"type": "number",
"description": "252 daily (default), 365 crypto, 52 weekly, 12 monthly."
},
"benchmark_returns": {
"type": "array",
"items": {
"type": "number"
},
"description": "Same-period benchmark returns; adds beta."
}
},
"additionalProperties": false
}| cross_trial_sharpe_sd_annualized |
| number |
| Standard deviation of annualized Sharpe across those trials. |
{
"type": "object",
"$schema": "https://json-schema.org/draft/2020-12/schema",
"properties": {
"skew": {
"type": "number",
"maximum": 20,
"minimum": -20,
"description": "Skewness of returns; 0 if Normal."
},
"returns": {
"type": "array",
"items": {
"type": "number"
},
"maxItems": 20000,
"minItems": 2,
"description": "Periodic returns as fractions (0.01 = 1%), oldest first; replaces the Sharpe, observations, skew and kurtosis."
},
"observations": {
"type": "integer",
"maximum": 1000000,
"minimum": 2,
"description": "Number of return observations."
},
"periods_per_year": {
"type": "number",
"maximum": 10000,
"minimum": 1,
"description": "Periods per year: 252 daily, 365 crypto, 52 weekly, 12 monthly."
},
"non_excess_kurtosis": {
"type": "number",
"maximum": 100,
"minimum": 1,
"description": "Kurtosis, not excess kurtosis; 3 if Normal."
},
"observed_sharpe_annualized": {
"type": "number",
"maximum": 10,
"minimum": -10,
"description": "Annualized Sharpe as observed."
},
"effective_independent_trials": {
"type": "integer",
"maximum": 10000000,
"minimum": 2,
"description": "Independent variants tried before choosing this one."
},
"cross_trial_sharpe_sd_annualized": {
"type": "number",
"maximum": 10,
"minimum": 0,
"description": "Standard deviation of annualized Sharpe across those trials."
}
},
"additionalProperties": false
}{
"type": "object",
"$schema": "https://json-schema.org/draft/2020-12/schema",
"required": [
"observed_sharpe_annualized",
"periods_per_year",
"skew",
"non_excess_kurtosis"
],
"properties": {
"skew": {
"type": "number",
"maximum": 20,
"minimum": -20,
"description": "Skewness of returns; 0 if Normal."
},
"confidence": {
"type": "number",
"description": "Between 0 and 1; default 0.95.",
"exclusiveMaximum": 1,
"exclusiveMinimum": 0
},
"observations": {
"type": "integer",
"maximum": 1000000,
"minimum": 2,
"description": "Record length so far, for its probabilistic Sharpe."
},
"periods_per_year": {
"type": "number",
"maximum": 10000,
"minimum": 1,
"description": "Periods per year: 252 daily, 365 crypto, 52 weekly, 12 monthly."
},
"non_excess_kurtosis": {
"type": "number",
"maximum": 100,
"minimum": 1,
"description": "Kurtosis, not excess kurtosis; 3 if Normal."
},
"observed_sharpe_annualized": {
"type": "number",
"maximum": 10,
"minimum": -10,
"description": "Annualized Sharpe as observed."
},
"benchmark_sharpe_annualized": {
"type": "number",
"maximum": 10,
"minimum": -10,
"description": "Annualized Sharpe to beat; default 0."
}
},
"additionalProperties": false
}