| Performance statistics | perf_stats | The full performance report of one or many price series (returns over every horizon, CAGR, drawdowns, Sharpe, Sortino and Calmar ratios, daily, monthly and yearly statistics, win rates), monthly return tables, drawdown episodes and single ratios, against a benchmark where they compare. | 4 |
| Return transforms | perf_returns | Returns, log and excess returns, price indexes and rebasing, drawdown series, winsorizing and rescaling; resampling on the actual dates; annualising and de-annualising returns; frequency inference and data sufficiency; rolling statistics. | 5 |
| Portfolio weights and clustering | perf_weights | Inverse-volatility, mean-variance and equal-risk-contribution weights from returns, capping weights with the excess redistributed, random weights, and k-means or threshold clustering of assets. | 4 |
| Strategy selection checks | perf_validation | Whether a strategy search’s winner is real: the deflated Sharpe ratio and its hurdle, the probability of backtest overfitting by combinatorially symmetric cross-validation, and bootstrap distributions of any performance statistic. | 3 |
