Beautiful equity that cannot be trusted: the verdict "retraining"

A strategy with a steadily increasing capital curve. It looks like a dream. Running it through my conveyor showed something different: the edge only lives on the history for which the parameters were selected. The deflated Sharpe and CPCV give a 98.5% probability of overfitting. At the top of the report, the verdict is in simple language, below are graphs and a complete table of metrics with explanations. This is a synthetic sample to show what a failed test looks like.
#Python #backtest #validation #trading #algotrading #quant #CPCV #risk #datascience