The performance of a Trading system is measured by a number of different factors over a reasonable period of time and with a measurable number of trades. The Omega Technical Analysis Platforms; Supercharts 4 or Tradestation 2000i provide a built in Performance program which allows the trader to run the Trading Program against historical data to obtain a comprehensive report- 'The Performance Summary'. In order to calculate the statistics the underlying security is considered to be a 'Future' and the number of points it makes or loses in a trade is multiplied by the Point factor of the Future. For example if the security is the FTSE100 Future (£10 /Point) and the trading program is the 'RH FTSE Future' then a 100point rise obtained in a Long contract would result in a profit of £10x100= £1,000.The Performance program analyses each of the trades and produces the Summary which includes all the main points to review when considering a system; these are discussed in the Summary Explanation.
Clearly this method is ideally suited to 'Futures' but less so for an Options System as it does not take into account the actual option traded. To do this would entail considering a range of strike prices, expiry dates and entry times as well as the premiums at the start and end of every signal which is not practical to achieve. However it does provide a solid basis for comparison as it is the accuracy of the trend indication which is of primary importance.
We suggest you print off the 'Detailed Summary Explanation' for reference before reviewing the following four and ten year summaries.