Backtest Cost Sensitivity

io.github.tylerscomic-labv1.0.0更新于 Oct 2, 2026

Commission/slippage sensitivity sweep, breakeven cost finder, and lookahead-bias checklist.

已验证Streamable HTTP可网页运行FinanceData & Analytics

概览

AI 生成的概览

通过扫描佣金和滑点假设来分析回测结果，找出策略的盈亏平衡成本并审计前视偏差。

功能
它提供三个用于评估执行成本如何影响交易策略回测的工具。cost_sensitivity_sweep 针对回测结果扫描一系列佣金和滑点假设，并报告各项绩效指标如何随成本变化而下降。breakeven_cost_finder 找出策略优势归零的确切成本水平。lookahead_bias_checklist 针对跨 K 线边界的数据泄漏、重绘指标和读取未来 K 线等前视偏差模式提供结构化审计。
适用场景
适用于在实盘前验证算法交易策略，尤其是当回测只依赖单一固定佣金或滑点假设时。它有助于判断策略优势能否在真实执行成本下存活，以及回测是否包含前视偏差。
运行要求
以远程 streamable HTTP 端点方式运行；未声明任何软件包、环境变量、请求头或身份验证。自托管方式为通过 npm 安装并运行 node server.js，需要 Node.js。托管方式据描述提供免费套餐和付费 Pro 套餐。
安装前请注意
托管方式据描述提供付费 Pro 套餐以获得更高限额，因此超出免费套餐后可能产生费用。这些工具分析回测输入并返回分析结果；未描述写入、发送或删除操作。未声明任何凭据或密钥。

安装

在 SourceWeft 中

  1. 打开 控制台中的 Backtest Cost Sensitivity，将其添加到工作区。
  2. 为需要使用其工具的对话启用该服务。

Web executable，通过 Streamable HTTP。 远程服务在工作区中配置后即可从网页运行时运行。

其他 MCP 客户端

把它添加到你客户端的 mcpServers 配置中。

{
  "mcpServers": {
    "backtest-cost-sensitivity-mcp": {
      "type": "http",
      "url": "https://backtest-cost-sensitivity-mcp.mcpize.run/mcp"
    }
  }
}

README

backtest-cost-sensitivity-mcp

[License: MIT] [Live on MCPize]

An MCP server that sweeps commission and slippage assumptions across a backtest to find the real breakeven cost per trade, plus a structured look-ahead-bias audit.

The problem this solves

Most backtests run with one fixed commission/slippage assumption, which hides how fragile a strategy's edge actually is to real-world execution costs. A strategy that's profitable at 0.5 ticks of slippage and dead at 1.5 ticks needs to know that before going live, not after.

Tools

cost_sensitivity_sweep

Sweeps a range of commission and slippage assumptions against backtest results and reports how performance metrics degrade across the range.

breakeven_cost_finder

Finds the exact commission/slippage level at which a strategy's edge goes to zero — the real cost ceiling, not a guess.

lookahead_bias_checklist

A structured audit for the specific look-ahead-bias patterns that inflate backtest performance (data leakage across bar boundaries, repainting indicators, future-bar reads).

Use it

Hosted (recommended): MCPize — free tier, paid Pro tier for higher limits.

Self-host:

bash
npm installnode server.js

Part of the AlgoForge suite

Prop-firm and quant-validation tools for algo traders: prop-rules-mcp, trade-journal-mcp, payout-calc-mcp, econ-calendar-mcp, montecarlo-validator-mcp, overfitting-audit-mcp, walkforward-validator-mcp, pinescript-audit-mcp, pinescript-mcp.

License

MIT

来源：README.md，提交 e25023c

工具

0
工具元数据尚未被收录。

版本历史

1
  1. v1.0.0最新Oct 2, 2026