The probability of backtest overfitting (PBO) of a selection procedure is the probability that the strategy it selects as the best in sample performs below the median of the candidates out of sample. Combinatorially symmetric cross-validation (CSCV) estimates it by cutting the history into blocks and, for each choice of blocks as the in-sample set, ranking the in-sample winner among all candidates on the other half; the PBO is the share of splits where its rank is below the median (Bailey, Borwein, López de Prado and Zhu).
rs_overfit on synthetic returns.rs_overfit.systems.