What is Backtest Auditor?

A red-team "lint" for trading backtests. You run it on your strategy code, return series or trade log and get a report on the errors that most often make a backtest look better than it is. Version 0.1 is an MCP server and Python library that runs on your own machine; we're testing it before a public release, and a hosted web check is planned.

Details

• It checks for seven problems: lookahead bias, survivorship bias, ticker reuse, unrealistic costs, overfitting, sub-period instability and concentration. See What does it check?
• Your code is never executed: the Auditor reads it with static analysis only.
• It misses things: on code it hadn't seen before, the code check caught roughly half to two thirds of the serious leaks in internal tests.
• You bring your own data. See Do you provide market data?
• The checks come from the process we used on our own models, which found real data errors along the way.

Backtest Auditor reviews a hypothetical backtest that you supply for common statistical and coding errors. It doesn't recommend trading any strategy or security, and a backtest, audited or not, is hypothetical. See If my backtest passes, will it make money?