System Evaluator
Calculates robust statistical performance metrics for a trading system based on a stream of trade profits.
Usage
Use to assess the performance quality of a trading system output using signal processing metrics. Helps distinguish systems with genuine edge from those that merely overfit.
Background
Ehlers applies signal processing metrics to evaluate trading system quality in Cybernetic Analysis. Metrics such as the Signal-to-Noise Ratio of the equity curve quantify whether a system is generating genuine signal above the noise floor of random entry and exit.
Formula
[ AveTrade = \% \cdot (PF + 1) - 1 ] [ PF_{breakeven} = \frac{1 - \%}{\%} ] [ N_{losers} = \frac{\ln(0.0027)}{\ln(1 - \%)} ]