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quant-harness

An honest backtest framework. Its job is not to "find a profitable strategy" — it is to make sure you cannot fool yourself into believing you found one. It issues a mechanical PASS | KILL verdict that cannot be spun as a success after the fact.

Most backtests lie by default: train and evaluate on the same data, look-ahead on the bar's close, costs "added later", and — the big one — a silent search across hundreds of configurations, with only the best one shown. quant-harness closes every one of those holes structurally.

import numpy as np, pandas as pd
from harness import run_cpcv_returns, Thresholds, CPCVConfig

# 6 configs x 900 bars of pure noise -> the judge MUST return KILL
R = np.random.default_rng(0).normal(0.0, 0.01, (6, 900))
T = np.zeros_like(R); T[:, ::3] = 1                       # turnover every 3 bars
idx = pd.date_range("2024-01-01", periods=900, freq="1D", tz="UTC")
rep = run_cpcv_returns(R, T, idx, [{"c": i} for i in range(6)],
                       CPCVConfig(n_groups=10, k_test=2), Thresholds())
print(rep["verdict"])   # -> "KILL"

Who this is for

Allocators, prop desks, bot marketplaces, and AI-agent builders who need an independent, mechanical verdict before capital is committed to a strategy — whether the strategy comes from a human researcher or is generated by an LLM agent. Point it at a returns series (yours, a vendor's, or a counterparty's) and get a pre-registered PASS/KILL you did not tune after seeing the answer, either as a CLI/library call or as a hosted API an agent can call directly.

What this is not

Not a signal generator, not a source of alpha, not investment advice, and not a promise of returns. It answers one narrow question: is this edge visible on this data, after realistic costs and a correction for how many configurations were tried, at the pre-registered thresholds? A KILL means "not visible here" — not "no profit exists anywhere." A PASS is not a recommendation to deploy capital.

What it guarantees (the guardrails)

The judge is measured, not "seems to work"

A verdict is only worth as much as the calibration behind the judge issuing it. So the judge was run across the whole PASS/KILL response surface on synthetic data with known ground truth (harness/calibration.py, report reports/CALIBRATION.md, 200 seeds/cell):

• False positives on noise (N≥6): 0.0% — the judge does not pass noise.
• Detection threshold: PASS≥50% at true annualised Sharpe ~2.2, ≥90% at ~3.0 — the honest bar a real strategy has to clear.
• Costs cut the passing gross edge exactly like real runs (net-kills-gross).
• DSR deflation: the same true edge, as N grows 1→100 → PASS 82%→16%.
• Fat tails (Student-t, df=3) and autocorrelation (φ up to 0.6) at zero edge do not break the FPR — the non-normality correction holds.
• Regime shift: an edge alive for only part of the sample is not extrapolated.

Full write-up: reports/FINDINGS-CALIBRATION.md. Regression guards: tests/test_calibration.py, tests/test_detection_power.py. Complete methodology (the seven ways a backtest lies, and the defence against each): docs/METHODOLOGY.md.

Install

From PyPI (the project's own PEP 503 index on GitHub Pages, https://imadeptus.github.io/quant-harness/simple/, mirrors the same wheels):

pip install quant-harness

From a clone (development):

pip install -e .                 # core: numpy, scipy, pandas, requests
pip install -e ".[fast]"         # + pyarrow (parquet cache for downloaded klines)
pip install -e ".[exchange]"     # + ccxt (extra venue loaders)
pip install -e ".[api]"          # + fastapi, uvicorn, pydantic (hosted verdict API)
pip install -e ".[dev]"          # + pytest, httpx
pip install -e ".[dev,api]"      # everything the full test suite needs (see Quick start)

Python >= 3.11. Current package version: 0.3.0.

Quick start

python examples/quickstart.py    # two demos, no data download
python -m pytest                 # 198 passed with the dev+api extras (154 passed, 44 API tests skipped with dev only)
qh-dsr returns.csv --trials 20   # DSR/PSR from a returns CSV (console utility)
qh-audit --returns returns.csv --trials 20   # PASS/KILL verdict + report (see below)

examples/quickstart.py shows both entry points: (A) the judge's verdict — KILL on noise / PASS on a real edge; (B) the leakage-safe engine on a single instrument (gross→net, turnover, drawdown).

Real data (free public Binance dumps):

python run.py --symbol BTCUSDT --interval 1h \
  --months 2024-01,2024-02,2024-03,2024-04,2024-05,2024-06
python run.py --synthetic --n-synth 5000            # offline sanity check -> KILL
python run_calibration.py --seeds 200                # rebuild the calibration report

Strategy audit (qh-audit)

A CLI (and Python API) that turns a CSV of per-period returns into a mechanical PASS/KILL verdict — the same judge as the hosted API, run locally, no network call:

qh-audit --returns examples/audit_sample_returns.csv --trials 20 \
  --out audit_report.md --json audit_report.json

qh-audit: VERDICT KILL  (audit_sample_returns)
  data       : 730 periods x 4 configs, 2.00 years, 365 periods/year
  trials     : 20 (effective)
  OOS Sharpe : +1.066 median path, +0.461 worst path
  max DD     : 0.114   trades: 730
  PSR 0.9335   DSR 0.5885 (N=20)   PBO 0.6865
  checks     : trades_ok=yes oos_sharpe_ok=yes drawdown_ok=yes dsr_ok=NO
  ASSUMPTION: trades not provided; turnover assumed at 1 trade(s) per bar for every config
  report     : audit_report.md      json       : audit_report.json
  statistical report, not investment advice

Four pre-registered gates (same calibrated thresholds as the judge above): minimum trades (200), minimum OOS Sharpe (0.7), maximum drawdown (0.20), minimum Deflated Sharpe (0.95). PBO is reported as an informational diagnostic and never changes the verdict. Costs (--costs-bps), a cost-sensitivity table at 0x/0.5x/1x/2x, custom CPCV geometry, and threshold overrides are all supported — run qh-audit --help for the full flag list. Exit codes: 0 PASS, 1 KILL, 2 invalid input or unwritable --out/--json, 3 internal error — a crash never exits 1, so it can never be read as a KILL.

python examples/audit_quickstart.py   # generates examples/audit_sample_returns.csv (~1s, no network)

Python API: from harness import audit_returns, render_markdown, AuditInputError.

Hosted verdict API

A thin FastAPI service around the exact same judge (harness.audit.audit_returns) — upload a returns matrix over HTTP, get a calibrated verdict back. Built so an AI agent (or a human) can request an independent PASS/KILL without installing anything.

pip install -e ".[api]"
uvicorn api.app:app --host 0.0.0.0 --port 8000 --no-access-log   # or: make api
# interactive docs at http://localhost:8000/docs

docker build -t qh-api:dev .          # or: make docker
docker run --rm -p 8000:8000 --env-file api/.env.example qh-api:dev

GET /healthz is always open. POST /v1/verdict takes a returns matrix (and optional trades, frequency, thresholds, CPCV geometry, and costs) and returns verdict, per-gate checks, metrics (OOS Sharpe, DSR, PBO, drawdown), a cost-sensitivity table, assumptions/warnings, a short Markdown report, and a disclaimer. Optional API-key auth (X-API-Key) and a payment gate (QH_PAYMENT_GATE: noop free / x402 / nowpayments — the paid gates are stubs that issue the payment challenge but do not verify payment; read api/README.md#payments-what-is-real-and-what-is-a-stub before relying on either in production). Full endpoint reference, error codes, and environment variables: api/README.md.

Public API

from harness import (
    run, run_cpcv, run_cpcv_returns, Thresholds,   # judge / verdict
    run_backtest, Costs, max_drawdown,             # engine
    WalkForwardConfig, CPCVConfig,                 # splitters
    deflated_sharpe_ratio, probabilistic_sharpe_ratio, pbo_cscv,  # statistics
    build_signal, grid_for, all_families,          # signal families
    audit_returns, render_markdown, AuditInputError,  # qh-audit
)

• run(df, grid, wf, costs, thr) — walk-forward judge on a single instrument.
• run_cpcv(df, grid, cpcv, costs, thr) — CPCV variant, verdict on the median path.
• run_cpcv_returns(R, trades, index, grid, cpcv, thr) — judge on a ready-made returns matrix (for portfolio/cross-sectional strategies).
• audit_returns(R, ...) — the same judge behind qh-audit and the hosted API.
• build_signal(df, params) — momentum / mean_reversion / breakout / carry families.

Layout

quant-harness/
├── pyproject.toml            # package + dependencies + console scripts
├── api/                      # hosted verdict API (FastAPI; not part of the wheel)
├── run.py, run_*.py          # research runners (per-spec runs)
├── run_calibration.py        # judge calibration -> reports/CALIBRATION.{json,md}
├── examples/                 # quickstart.py, audit_quickstart.py — data-free demos
├── harness/
│   ├── __init__.py           # public API
│   ├── backtest.py           # engine: anti-look-ahead, costs, funding, max_drawdown
│   ├── walk_forward.py       # leakage-safe WFA + CPCV (purge/embargo)
│   ├── deflated_sharpe.py    # DSR / PSR (Bailey & López de Prado) + qh-dsr CLI
│   ├── pbo.py                # Probability of Backtest Overfitting (CSCV)
│   ├── runner.py              # assembly: WFA/CPCV -> OOS -> DSR -> verdict
│   ├── audit.py               # qh-audit: CSV in, PASS/KILL report out
│   ├── families.py           # parametric signal families (grid = N)
│   ├── calibration.py        # detection-power study
│   ├── data.py                # Binance loader + synthetic fallback (offline)
│   └── {bybit,hyperliquid,basis,listing,cascade,harvest,paper}.py  # venue/strategy modules
├── reports/                  # JSON+MD reports and FINDINGS-*
└── tests/                    # pytest (198 passed)

What has already been tested with this framework

Full registry: ../RESEARCH-CONCLUSION.md. In short: 10 pre-registered specs across 3 venues (Binance/Bybit/Hyperliquid) — all KILL on public data; no tested mechanism shows a tradeable edge net of realistic costs. The one positive cash flow found was funding-harvest on an inefficient venue — a research result, not a live product: a small live paper track (27 ticks over 42 calendar days) currently sits at −1.5% (about −13%/yr annualised), consistent with the strategy being a tail-risk carry trade with real basis risk, not free money. See ../docs/HARVEST-PATH-A.md for the position, ../CASE-STUDY-EN.md for the write-up of the project as a whole, and ../site/index.html for the public landing page. Calibration (above) shows this is a conclusion about the markets tested, not a judge artefact: the best observed net (0.88) sits well below the measured detection threshold (~2.2).

Boundaries of honesty (what this is and is NOT)

• It is an edge detector and an anti-self-deception device. It says "not visible on this data with these costs" — not "no profit exists in the universe."
• It is not an execution engine, a live trader, or a source of alpha.
• Thresholds are pre-registered. Turning the dials after the fact to manufacture a PASS is exactly the overfitting the whole framework exists to prevent — don't do it.
• The calibration study uses synthetic, independent configs (the adversarial, worst case for DSR). Real grids have correlated configs, so real deflation is milder.

Relationship to the skill

deflated_sharpe.py and walk_forward.py are the canonical implementations from the quant-backtest-guardrails skill, vendored here for standalone use. The skill holds the methodology; the harness is the working substrate under it.

MIT License.