Probability of backtest overfitting (PBO)

An empirical measure, via combinatorially symmetric cross-validation, of how often the configuration that ranked best in-sample underperforms the median configuration out-of-sample across many in-sample/out-of-sample splits. A high PBO means your selection process is systematically picking overfit configurations.

First used in Lesson 2.8 · Overfitting statistics and pre-registration — the lesson that makes this term real.