@insiderfinance/totalfinance 0.1.0

package/modules/risk/dist/research-protocol.d.ts

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+/**
+ * Research-protocol pack (spec §14, roadmap Tier 3, agent-native). One call that renders a
+ * statistically honest verdict on a completed research process: given the selected strategy's returns,
+ * how many configurations were tried (for deflation), and — ideally — its out-of-sample returns, it
+ * deflates the Sharpe for selection, checks out-of-sample survival, and returns `significant` /
+ * `inconclusive` / `likely-overfit` with a prose rationale an agent relays.
+ *
+ * Pure composition of `research.ts`: `sharpeStatistics`, `deflatedSharpeRatio` (Bailey & López de Prado —
+ * the PSR against the expected-max Sharpe of N trials), and `probabilisticSharpeRatio`. The value it
+ * adds is the sequencing + the verdict, so honest research is the path of least resistance. See
+ * `docs/specs/research-protocol.md`.
+ */
+import { type Diagnostics } from '../../core/dist/index.js';
+/** Inputs for {@link researchProtocol}. */
+export interface ResearchProtocolInput {
+    /** The selected strategy's in-sample return series (per period). */
+    returns: ArrayLike<number>;
+    /**
+     * The pool that produced the selection, for deflation. Omit for a single pre-registered hypothesis
+     * (no selection → SR₀ = 0). `trialSharpes` are the per-observation Sharpes of every config tried.
+     */
+    trials?: {
+        trialSharpes: ArrayLike<number>;
+    } | {
+        trialCount: number;
+        varianceSharpe: number;
+    };
+    /** Out-of-sample (e.g. walk-forward) returns of the SAME strategy — confirmatory. */
+    outOfSampleReturns?: ArrayLike<number>;
+    /** Confidence for "significant" in (0, 1); default 0.95. */
+    confidence?: number;
+    /** Periods per year for the annualized read-outs; default 252. */
+    periodsPerYear?: number;
+    riskFreeRate?: number;
+}
+/** The research verdict. */
+export interface ResearchVerdict {
+    verdict: 'significant' | 'inconclusive' | 'likely-overfit';
+    /** Sharpe figures are `null` (C hygiene) when the returns have zero variance; the verdict is then `inconclusive`. */
+    inSample: {
+        sharpe: number | null;
+        annualizedSharpe: number | null;
+        observations: number;
+    };
+    /** Probability the true Sharpe beats the selection-adjusted benchmark SR₀; `null` with `inSample.sharpe`. */
+    deflatedSharpe: number | null;
+    /** Un-deflated PSR (benchmark 0), for comparison; `null` with `inSample.sharpe`. */
+    probabilisticSharpe: number | null;
+    /** SR₀ — the expected-max Sharpe of `trialCount` under the null (0 for a single hypothesis). */
+    expectedMaxSharpe: number;
+    trialCount: number;
+    /** Observations needed for `deflatedSharpe ≥ confidence` (`Infinity` when SR ≤ SR₀). */
+    minTrackRecordLength: number;
+    /** Present when out-of-sample returns are given; `null` figures when either series has zero variance. */
+    outOfSample?: {
+        sharpe: number | null;
+        annualizedSharpe: number | null;
+        degradation: number | null;
+    };
+    /** Prose an agent relays. */
+    rationale: string;
+    assumptions: {
+        conventionsVersion: string;
+        confidence: number;
+        periodsPerYear: number;
+    };
+    diagnostics: Diagnostics;
+}
+/**
+ * Render a statistically honest verdict on a research process — deflate for selection, confirm
+ * out-of-sample, and conclude `significant` / `inconclusive` / `likely-overfit`. See the spec.
+ */
+export declare function researchProtocol(input: ResearchProtocolInput): ResearchVerdict;
+//# sourceMappingURL=research-protocol.d.ts.map

package/modules/risk/dist/research-protocol.d.ts.map

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package/modules/risk/dist/research-protocol.js

@@ -0,0 +1,193 @@
+import { ensureFiniteWhenPresent } from './options-internal.js';
+/**
+ * Research-protocol pack (spec §14, roadmap Tier 3, agent-native). One call that renders a
+ * statistically honest verdict on a completed research process: given the selected strategy's returns,
+ * how many configurations were tried (for deflation), and — ideally — its out-of-sample returns, it
+ * deflates the Sharpe for selection, checks out-of-sample survival, and returns `significant` /
+ * `inconclusive` / `likely-overfit` with a prose rationale an agent relays.
+ *
+ * Pure composition of `research.ts`: `sharpeStatistics`, `deflatedSharpeRatio` (Bailey & López de Prado —
+ * the PSR against the expected-max Sharpe of N trials), and `probabilisticSharpeRatio`. The value it
+ * adds is the sequencing + the verdict, so honest research is the path of least resistance. See
+ * `docs/specs/research-protocol.md`.
+ */
+import { CONVENTIONS_VERSION, ErrorCode, InputError, ensureKnownKeys, requireArgumentObject, WarningCode, warning, } from '../../core/dist/index.js';
+import { normalInverseCdf } from '../../math/dist/index.js';
+import { deflatedSharpeRatio, probabilisticSharpeRatio, sharpeStatistics, } from './research.js';
+const f2 = (n) => Number.isFinite(n) ? Number(n.toFixed(2)).toString() : n > 0 ? '∞' : '−∞';
+const pct = (p) => `${(p * 100).toFixed(0)}%`;
+/**
+ * The minimum track-record length for `deflatedSharpe ≥ confidence`, given the in-sample stats and the
+ * deflation benchmark SR₀: `1 + [1 − γ₃·SR + (γ₄−1)/4·SR²]·(Z_c/(SR − SR₀))²`; `∞` when `SR ≤ SR₀`.
+ */
+function minTrackRecordLength(stats, sr0, confidence) {
+    const sr = stats.sharpe;
+    if (sr === null || !(sr > sr0))
+        return Infinity;
+    const denom = 1 - stats.skewness * sr + ((stats.kurtosis - 1) / 4) * sr * sr;
+    const z = normalInverseCdf(confidence);
+    return 1 + denom * (z / (sr - sr0)) ** 2;
+}
+/**
+ * Render a statistically honest verdict on a research process — deflate for selection, confirm
+ * out-of-sample, and conclude `significant` / `inconclusive` / `likely-overfit`. See the spec.
+ */
+export function researchProtocol(input) {
+    const functionName = 'researchProtocol';
+    requireArgumentObject(functionName, 'input', input);
+    // Law 12: a misspelled field (`outOfSampleReturn` silently skipping the OOS check) must throw.
+    ensureKnownKeys(functionName, 'input', input, [
+        'returns',
+        'trials',
+        'outOfSampleReturns',
+        'confidence',
+        'periodsPerYear',
+        'riskFreeRate',
+    ]);
+    ensureFiniteWhenPresent(input.confidence, 'confidence', 'researchProtocol');
+    const confidence = input.confidence ?? 0.95;
+    if (!(confidence > 0 && confidence < 1)) {
+        throw new InputError(`${functionName}: confidence must be in (0, 1); got ${confidence}.`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { confidence },
+        });
+    }
+    ensureFiniteWhenPresent(input.periodsPerYear, 'periodsPerYear', 'researchProtocol');
+    const periodsPerYear = input.periodsPerYear ?? 252;
+    if (!(periodsPerYear > 0) || !Number.isFinite(periodsPerYear)) {
+        throw new InputError(`${functionName}: periodsPerYear must be a positive finite number.`, {
+            code: ErrorCode.InputOutOfRange,
+            context: { periodsPerYear },
+        });
+    }
+    const rfOpt = input.riskFreeRate !== undefined ? { riskFreeRate: input.riskFreeRate } : {};
+    // In-sample stats + deflation.
+    const stats = sharpeStatistics(input.returns, rfOpt);
+    const annualize = Math.sqrt(periodsPerYear);
+    const times = (x, k) => (x === null ? null : x * k);
+    let deflatedSharpe;
+    let probabilisticSharpe;
+    let expectedMaxSharpe;
+    let trialCount;
+    if (input.trials !== undefined) {
+        const d = deflatedSharpeRatio(stats, input.trials);
+        ({ deflatedSharpe, probabilisticSharpe, expectedMaxSharpe, trialCount } = d);
+    }
+    else {
+        // Single pre-registered hypothesis — no selection, so SR₀ = 0 and deflation reduces to the PSR.
+        probabilisticSharpe = probabilisticSharpeRatio(stats, 0);
+        deflatedSharpe = probabilisticSharpe;
+        expectedMaxSharpe = 0;
+        trialCount = 1;
+    }
+    const minTRL = minTrackRecordLength(stats, expectedMaxSharpe, confidence);
+    // Out-of-sample (confirmatory).
+    let outOfSample;
+    if (input.outOfSampleReturns !== undefined) {
+        const oos = sharpeStatistics(input.outOfSampleReturns, rfOpt);
+        const degradation = stats.sharpe === null || oos.sharpe === null
+            ? null
+            : stats.sharpe > 0
+                ? 1 - oos.sharpe / stats.sharpe
+                : oos.sharpe > 0
+                    ? 0
+                    : 1;
+        outOfSample = {
+            sharpe: oos.sharpe,
+            annualizedSharpe: times(oos.sharpe, annualize),
+            degradation,
+        };
+    }
+    // Verdict: deflation is necessary; out-of-sample survival is required for `significant`.
+    // C (hygiene): a series with no Sharpe (zero variance) is evidence of nothing — inconclusive.
+    const undefinedSharpe = deflatedSharpe === null || (outOfSample !== undefined && outOfSample.sharpe === null);
+    const deflationPasses = deflatedSharpe !== null && deflatedSharpe >= confidence;
+    let verdict;
+    if (undefinedSharpe) {
+        verdict = 'inconclusive';
+    }
+    else if (!deflationPasses) {
+        verdict = 'likely-overfit';
+    }
+    else if (outOfSample === undefined) {
+        verdict = 'inconclusive';
+    }
+    else if (outOfSample.sharpe <= 0) {
+        verdict = 'likely-overfit';
+    }
+    else if (outOfSample.degradation > 0.5) {
+        verdict = 'inconclusive';
+    }
+    else {
+        verdict = 'significant';
+    }
+    const rationale = composeRationale({
+        verdict,
+        confidence,
+        deflatedSharpe,
+        probabilisticSharpe,
+        expectedMaxSharpe,
+        trialCount,
+        minTRL,
+        inSampleAnnualized: times(stats.sharpe, annualize),
+        observations: stats.observations,
+        outOfSample,
+    });
+    return {
+        verdict,
+        inSample: {
+            sharpe: stats.sharpe,
+            annualizedSharpe: times(stats.sharpe, annualize),
+            observations: stats.observations,
+        },
+        deflatedSharpe,
+        probabilisticSharpe,
+        expectedMaxSharpe,
+        trialCount,
+        minTrackRecordLength: minTRL,
+        ...(outOfSample !== undefined ? { outOfSample } : {}),
+        rationale,
+        assumptions: { conventionsVersion: CONVENTIONS_VERSION, confidence, periodsPerYear },
+        diagnostics: {
+            engine: 'research-protocol',
+            method: 'deflated-sharpe + oos',
+            converged: true,
+            warnings: undefinedSharpe
+                ? [
+                    warning(WarningCode.RiskSharpeUndefined, `${functionName}: ${deflatedSharpe === null ? 'the in-sample' : 'the out-of-sample'} returns have zero variance, so the Sharpe ratio is undefined; the verdict is inconclusive and its Sharpe figures are null.`, 'warn'),
+                ]
+                : [],
+        },
+    };
+}
+/** Compose the prose rationale from the verdict and its supporting numbers. */
+function composeRationale(p) {
+    if (p.deflatedSharpe === null || p.inSampleAnnualized === null) {
+        return `Inconclusive: the in-sample returns have zero variance over ${p.observations} observations, so there is no Sharpe ratio to deflate or confirm. Nothing can be concluded from a series that never moved.`;
+    }
+    if (p.outOfSample !== undefined &&
+        (p.outOfSample.sharpe === null || p.outOfSample.degradation === null)) {
+        return `Inconclusive: the out-of-sample returns have zero variance, so the edge cannot be confirmed or refuted out of sample (in-sample annualized Sharpe ${f2(p.inSampleAnnualized)}).`;
+    }
+    const trialsPhrase = p.trialCount > 1
+        ? `after ${p.trialCount} trials (expected best-by-chance Sharpe ${f2(p.expectedMaxSharpe)})`
+        : 'as a single hypothesis';
+    const deflated = `deflated Sharpe ${pct(p.deflatedSharpe)} vs the ${pct(p.confidence)} bar`;
+    if (p.verdict === 'likely-overfit') {
+        if (p.deflatedSharpe < p.confidence) {
+            const need = Number.isFinite(p.minTRL)
+                ? ` It would need ~${Math.ceil(p.minTRL)} observations (has ${p.observations}) to clear the bar.`
+                : ' Its Sharpe does not exceed the selection benchmark, so no track record length would suffice.';
+            return `Likely overfit: the in-sample Sharpe (annualized ${f2(p.inSampleAnnualized)}) does not survive deflation ${trialsPhrase} — ${deflated}. The result reads as selection bias, not skill.${need}`;
+        }
+        return `Likely overfit: it clears deflation (${deflated}) but the edge vanishes out-of-sample (OOS annualized Sharpe ${f2(p.outOfSample.annualizedSharpe)} ≤ 0). Overfit to the in-sample period.`;
+    }
+    if (p.verdict === 'inconclusive') {
+        if (p.outOfSample === undefined) {
+            return `Inconclusive: it clears deflation (${deflated}, ${trialsPhrase}), but that is necessary, not sufficient. Provide out-of-sample (walk-forward) returns to confirm the edge holds.`;
+        }
+        return `Inconclusive: it clears deflation (${deflated}) and stays positive out-of-sample, but the edge degrades ${pct(p.outOfSample.degradation)} (OOS annualized Sharpe ${f2(p.outOfSample.annualizedSharpe)} vs in-sample ${f2(p.inSampleAnnualized)}). Treat with caution.`;
+    }
+    return `Significant: clears deflation (${deflated}, ${trialsPhrase}) and survives out-of-sample (OOS annualized Sharpe ${f2(p.outOfSample.annualizedSharpe)}, only ${pct(p.outOfSample.degradation)} degradation). This reads as a genuine edge, not overfitting.`;
+}
+//# sourceMappingURL=research-protocol.js.map

package/modules/risk/dist/research-protocol.js.map

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package/modules/risk/dist/research.d.ts

@@ -0,0 +1,255 @@
+/**
+ * Research hygiene (spec §15.5) — the statistics that keep a backtest honest.
+ *
+ * Selecting the best of many strategy configurations inflates the in-sample Sharpe; reusing data
+ * across train/test boundaries leaks the future into the past. This module provides the standard
+ * defences:
+ *
+ *   • **Probabilistic / deflated Sharpe** (Bailey & López de Prado) — the probability that the true
+ *     Sharpe exceeds a benchmark, adjusted for sample length, skew/kurtosis, and the number of trials.
+ *   • **Multiple-testing correction** — Bonferroni, Šidák, Holm (FWER) and Benjamini–Hochberg (FDR).
+ *   • **Walk-forward** and **purged & embargoed K-fold** splitters for leakage-free evaluation.
+ *   • **Parameter-sweep diagnostics**, **train/test leakage** checks, and a **survivorship-bias** flag.
+ *
+ * Depends only on `@insiderfinance/totalfinance/core` and `@insiderfinance/totalfinance/math`.
+ */
+import { type Computed, type QuantWarning } from '../../core/dist/index.js';
+/** Sample statistics of a return series needed for Sharpe inference. All in per-observation units. */
+export interface SharpeStatistics {
+    /**
+     * Per-observation Sharpe ratio `mean(excess)/std` (NOT annualized). `null` (C hygiene) when the
+     * returns have zero variance: there is no dispersion to scale by, and the report says so.
+     */
+    sharpe: number | null;
+    /** Number of observations. */
+    observations: number;
+    /** Skewness `γ₃` of the returns. */
+    skewness: number;
+    /** Non-excess kurtosis `γ₄` of the returns (3 for a normal distribution). */
+    kurtosis: number;
+}
+/** {@link sharpeStatistics}'s report: the stats plus the applied conventions (Law 2 report grammar). */
+export interface SharpeStatisticsReport extends SharpeStatistics {
+    /** Applied conventions, echoed (Law 2 report grammar). */
+    assumptions: {
+        conventionsVersion: string;
+        [k: string]: unknown;
+    };
+    /** Structured warnings; always present (possibly empty). */
+    diagnostics: {
+        warnings: QuantWarning[];
+    };
+}
+/**
+ * Sample Sharpe statistics of a return series: the per-observation (non-annualized) Sharpe plus the
+ * skewness and (non-excess) kurtosis that the probabilistic-Sharpe adjustment needs.
+ */
+export declare function sharpeStatistics(returns: ArrayLike<number>, options?: {
+    riskFreeRate?: number;
+}): SharpeStatisticsReport;
+/** {@link probabilisticSharpeRatio}'s envelope: the probability plus the applied benchmark. */
+export type ProbabilisticSharpeResult = Computed<number | null, {
+    benchmarkSharpe: number;
+    observations: number;
+}>;
+/** Plain probability; use `.explain()` for the benchmark and observation count. */
+export declare const probabilisticSharpeRatio: import("../../core/dist/index.js").SeriesFacade<[stats: SharpeStatistics, benchmarkSharpe?: number | undefined], number | null, {
+    benchmarkSharpe: number;
+    observations: number;
+}>;
+export interface DeflatedSharpeResult {
+    /** Applied conventions, echoed (Law 2 report grammar). */
+    assumptions: {
+        conventionsVersion: string;
+        [k: string]: unknown;
+    };
+    /** Structured warnings; always present (possibly empty). */
+    diagnostics: {
+        warnings: QuantWarning[];
+    };
+    /** Probability the true Sharpe beats the multiple-testing-adjusted benchmark `SR₀`. */
+    /** `null` when the statistics carry no Sharpe (a zero-variance series). */
+    deflatedSharpe: number | null;
+    /** The un-deflated PSR (benchmark 0), for comparison. */
+    probabilisticSharpe: number | null;
+    /** Expected maximum Sharpe across `trialCount` under the null — the deflation benchmark `SR₀`. */
+    expectedMaxSharpe: number;
+    trialCount: number;
+}
+/**
+ * Deflated Sharpe Ratio (Bailey & López de Prado 2014): the PSR evaluated against the *expected
+ * maximum* Sharpe that `N` independent trials would produce by chance, so selecting the best of a
+ * parameter sweep is penalised. Pass the trial Sharpes (variance computed for you) or `trialCount` plus
+ * their variance directly.
+ */
+export declare function deflatedSharpeRatio(statistics: SharpeStatistics, trials: {
+    trialSharpes: ArrayLike<number>;
+} | {
+    trialCount: number;
+    varianceSharpe: number;
+}): DeflatedSharpeResult;
+export type MultipleTestMethod = 'bonferroni' | 'sidak' | 'holm' | 'benjaminiHochberg';
+export interface MultipleTestResult {
+    method: MultipleTestMethod;
+    alpha: number;
+    /** Adjusted p-values aligned with the input order. */
+    adjusted: number[];
+    /** Whether each hypothesis is rejected at `alpha` (`adjusted ≤ alpha`). */
+    rejected: boolean[];
+}
+export interface MultipleTestOptions {
+    /** Correction method (default `'holm'`). */
+    method?: MultipleTestMethod;
+    /** Significance level (default 0.05). */
+    alpha?: number;
+}
+/**
+ * Adjust a set of p-values for multiple testing. Bonferroni/Šidák/Holm control the family-wise error
+ * rate; Benjamini–Hochberg controls the false-discovery rate. Returns adjusted p-values (input order)
+ * and the rejection decisions at `alpha`.
+ */
+export declare function adjustPValues(pValues: ArrayLike<number>, options?: MultipleTestOptions): MultipleTestResult;
+/** A train/test split as sorted index arrays into a length-`n` sample. */
+export interface Split {
+    train: number[];
+    test: number[];
+}
+export interface WalkForwardOptions {
+    /** Training window length (in observations). */
+    trainSize: number;
+    /** Test window length. */
+    testSize: number;
+    /** Step between successive folds (default `testSize`). */
+    step?: number;
+    /** `rolling` (sliding train window) or `anchored` (train always starts at 0). Default `rolling`. */
+    mode?: 'rolling' | 'anchored';
+}
+/** Generate walk-forward (rolling or anchored) train/test splits over `n` ordered observations. */
+export declare function walkForwardSplits(observationCount: number, options: WalkForwardOptions): Split[];
+export interface PurgedKFoldOptions {
+    /** Number of folds (≥ 2). */
+    folds: number;
+    /** Fraction of `n` to embargo after each test fold (default 0). */
+    embargo?: number;
+    /** Observations to purge on each side of a test fold (label-overlap buffer; default 0). */
+    purgeGap?: number;
+}
+/**
+ * Purged & embargoed K-fold cross-validation (López de Prado, *Advances in Financial ML* ch. 7).
+ * Each fold's test set is a contiguous block; training drops any observation within `purgeGap` of the
+ * test block (label-overlap purge) and within the trailing `embargo·n` window after it.
+ *
+ * Throws a typed `input.out_of_range` naming the largest viable `purgeGap` when the requested purge
+ * (with the embargo) would leave a fold with an empty training set — an unusable split is an error,
+ * not an empty array to be discovered downstream.
+ */
+export declare function purgedKFold(observationCount: number, options: PurgedKFoldOptions): Split[];
+export interface ParameterSweepResult {
+    trialCount: number;
+    bestSharpe: number;
+    meanSharpe: number;
+    varianceSharpe: number;
+    /** Expected maximum Sharpe under the null (the deflation benchmark `SR₀`). */
+    expectedMaxSharpe: number;
+    /** Deflated Sharpe of the selected (best) configuration. */
+    /** `null` when the selected statistics carry no Sharpe (a zero-variance series). */
+    deflatedSharpe: number | null;
+    /** Un-deflated PSR of the selected configuration; `null` with `deflatedSharpe`. */
+    probabilisticSharpe: number | null;
+}
+/**
+ * Summarize a parameter sweep: given the per-trial Sharpes and the sample statistics of the *selected*
+ * (best) configuration's return series, report the dispersion of the trials and the deflated Sharpe —
+ * the honest probability the winner is real rather than the luckiest of many.
+ */
+export declare function parameterSweepDiagnostics(trialSharpes: ArrayLike<number>, selected: SharpeStatistics): ParameterSweepResult;
+/** One leaking split found by {@link checkLeakage}. */
+export interface LeakageIssue {
+    /** Index of the leaking split. */
+    split: number;
+    /** How many indices appear in both train and test. */
+    overlapCount: number;
+    /** Up to 10 of the overlapping indices, as a sample. */
+    sample: number[];
+}
+/** {@link checkLeakage}'s report: the leak findings plus the Law 2 report grammar. */
+export interface LeakageReport {
+    /** Applied conventions, echoed (Law 2 report grammar). */
+    assumptions: {
+        conventionsVersion: string;
+        [k: string]: unknown;
+    };
+    /** The leakage warnings themselves (one `research.train_test_leakage` per leaking split). */
+    diagnostics: {
+        warnings: QuantWarning[];
+    };
+    /** `true` when no split leaks. */
+    clean: boolean;
+    /** Per-split leak details, aligned with `diagnostics.warnings`. */
+    leaks: LeakageIssue[];
+}
+/**
+ * Flag any split whose train and test index sets overlap (look-ahead leakage). The findings are
+ * `research.train_test_leakage` warnings on `diagnostics.warnings` (one per leaking split), with the
+ * structured per-split detail mirrored on `leaks` and a `clean` verdict.
+ */
+export declare function checkLeakage(splits: Split[]): LeakageReport;
+export interface SurvivorshipContext {
+    /** Whether delisted / inactive instruments are included in the backtest universe. */
+    includesDelisted?: boolean;
+    /** Whether the universe is point-in-time (members as they were on each date). */
+    pointInTimeUniverse?: boolean;
+}
+/**
+ * Return a survivorship-bias warning when the backtest universe excludes delisted names or is not
+ * point-in-time — both bias results upward — or `null` when neither concern applies.
+ */
+export declare function survivorshipWarning(context: SurvivorshipContext): QuantWarning | null;
+/** Options for {@link probabilityOfBacktestOverfitting}. */
+export interface BacktestOverfittingProbabilityOptions {
+    /**
+     * Number of disjoint contiguous row-blocks `S` (even, `4 ≤ S ≤ 16`). Default `16` (Bailey & López de
+     * Prado). The `C(S, S/2)` train/test splits grow fast in `S`; the observation count is trimmed to a
+     * multiple of `S` (the oldest rows dropped).
+     */
+    splits?: number;
+}
+/** The result of a CSCV probability-of-backtest-overfitting analysis. */
+export interface BacktestOverfittingProbabilityResult {
+    /**
+     * Probability of backtest overfitting: the fraction of the `C(S, S/2)` symmetric train/test splits on
+     * which the in-sample-best configuration ranks **below the out-of-sample median** (logit `λ < 0`). Near
+     * `0.5` for noise (selection is worthless out of sample), near `0` for a genuinely persistent edge.
+     */
+    backtestOverfittingProbability: number;
+    /** Number of symmetric train/test splits evaluated: `C(S, S/2)`. */
+    combinations: number;
+    /** Blocks `S` actually used. */
+    splits: number;
+    /** Observations (rows) used after trimming to a multiple of `S`. */
+    observations: number;
+    /** Number of strategy configurations (columns) `N`. */
+    trials: number;
+    /** Median logit `λ = ln(r̄/(1−r̄))` across the splits (`r̄` = OOS relative rank of the IS-best); `< 0` ⇒ overfit-leaning. */
+    medianLogit: number;
+    /** Applied conventions, echoed (Law 2 report grammar). */
+    assumptions: {
+        conventionsVersion: string;
+        [k: string]: unknown;
+    };
+    /** Structured warnings; always present (possibly empty). */
+    diagnostics: {
+        warnings: QuantWarning[];
+    };
+}
+/**
+ * **Probability of backtest overfitting** (Bailey & López de Prado's CSCV). Given a `T × N` matrix of
+ * per-period returns — `T` time observations (rows) × `N` strategy configurations you selected among
+ * (columns) — split the rows into `S` blocks, and over **every** `C(S, S/2)` symmetric partition into an
+ * in-sample and an out-of-sample half: pick the IS-best configuration, then measure its OOS rank. PBO is
+ * the fraction of splits where the IS winner lands **below the OOS median** — the probability that
+ * picking the best backtest buys you a below-average live result. `≈ 0.5` means the selection is worthless
+ * out of sample; `≈ 0` means a genuinely persistent edge. Depends only on `@insiderfinance/totalfinance/core`/`math`.
+ */
+export declare function probabilityOfBacktestOverfitting(returns: number[][], options?: BacktestOverfittingProbabilityOptions): BacktestOverfittingProbabilityResult;
+//# sourceMappingURL=research.d.ts.map

package/modules/risk/dist/research.d.ts.map

@@ -0,0 +1 @@
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