Trading System Evaluation
(Automated, No Proprietary Information Required)
Fill out the form below to have our servers evaluate your trading system. A report will be returned in pdf format via e-mail (see sample below).
About Automated Trading System EvaluationWe use a combination of statistics and control charts to evaluate our trading systems. Recently, we found a way to evaluate proprietary trading systems w/o the outside designer needing to disclose any information beyond the individual trades of their system. No dates, no descriptions, not even the name of the market being traded. All that is needed is the profit and loss history from the system and our automated servers can anonymously return a full report that designers can use to augment and improve their own system analysis.
The report contains the following:
- z score for evaluating liklihood results occurred by chance alone
- the maximum leverage the system can be traded at w/o risk of ruin
- the mean and standard deviation of the trades
- the largest losing trade
- the rolling Chi^2 distribution of the trade history which shows the overall stablility of the system
- the rolling actual wins versus expected wins for the system which shows overall stability and is helpful in evaluating cycles in Chi^2 and the rolling P&L
- the rolling P&L shows the overall stability and trending of the system's P&L
The charts and statistics in the report look like this: