- Win rate
- Average winner / Average loser
- Profit factor (gross winnings / gross losses)
- Number of consecutive losers (needs to match with your psychological ability to handle)
- Expectancy (i.e. P/L of an average trade)
- Maximum drawdown
- Annual return
- t-statistic > 2
- Markets: The system should be tested across all market environments, e.g. bull, bear, choppy, etc. Performance should preferably be consistent across all environments.
- Outliers: Is a significant chunk of the performance attributable to a just few trades or a particular market? or is the P/L across trades fairly consistent?
- Costs: Slippage and commission deducted?
- Logic: Are all signals immediately executable? e.g. limit moves might not allow execution
- How many rules and variables are there in the system? Beware of over-optimization.