assay_cpcv

com.alphaassay/mcp · Verify this server

Use this when you have a return history and want the full combinatorial purged cross-validation (CPCV) distribution -- not one walk-forward number -- to see how path-dependent the edge really is. The FULL combinatorial purged CV distribution over your return history -- not one number, the whole picture. The gauntlet's cpcv stage answers a single question; this tool hands over everything behind it: the annualized Sharpe of EVERY purged combinatorial half-partition of your history as quantiles (worst, p05..p95, best) and a histogram, the number of recoverable full backtest paths (phi = C(N, N/2) * (N/2) / N, Bailey/Lopez de Prado), purge/embargo accounting, and the documented demote line: fewer than 60% of partitions with a positive Sharpe = cpcv_unstable (Arian/Norouzi/Seco, Knowledge-Based Systems 305, 2024 -- combinatorial purged CV dominates walk-forward at false-discovery prevention). Send a net-return series directly, OR a DSL spec + candles (the series is computed with the same primitives the gauntlet uses). Exhaustive enumeration with no RNG and nothing to seed; fail-closed on every structural shortfall. Demote-only: a pass means this one attack did not bite, never an endorsement. No ledger write. NOT financial advice. Price: per check; see https://api.alphaassay.com/v1/meta/pricing (api_key required -- account setup at https://api.alphaassay.com/account).