System Achievement Score

[kut2k2]

The System Performance Score is now obsolete.

It has been replaced by the System Achievement Score (SAS).

The System Achievement Score is

SAS = 8*k*E*sgn[ E ]*min[ 1, N/1000 ] ,
where
k is the Kelly fraction aka the solution to the Kelly equation (below),
E is the expectation (%/100),
sgn[ E ] is -1 when E is negative, is +1 when E is positive,
N is the number of trades in the performance evaluation.

The Kelly equation for trading is
0 = sum[ Ri/(1+ k*Ri) ]_i=1toN ,
where
Ri is the return (%/100) of the i'th trade.

For the classic coin-flip example of positive expectation :

k = .5/|-1| - .5/2 = .25 ,
E = .5*2 + .5*(-1) = .5 ,
sgn[ E ] = +1 ,

SAS[ +2, -1 ] = 8*.25*.5*1 = +1.0000

 

[dom993]

How about posting an Excel spreadsheet with automated calculation for a trade-list ?

 

[kut2k2]

Quote from dom993:

How about posting an Excel spreadsheet with automated calculation for a trade-list ?

Sure, have at it.

 

[kut2k2]

I've decided to get rid of the coefficient (8) in the original SAS formula.

SAS == k*E*sgn[ E ]*min[ 1, N/1000 ]

SAS[ +2, -1 ] = 0.125

 

[kut2k2]

I have a feeling that the formula is still incomplete.

Any ideas? TIA.

 

[vicirek]

P&L

 

[OddTrader]

Quote from kut2k2:

I have a feeling that the formula is still incomplete.

Any ideas? TIA.

Scorecard: http://en.wikipedia.org/wiki/Balanced_scorecard

 

[kut2k2]

Quote from vicirek:

P&L

Isn't that already covered by the expectation?

If not, how would you incorporate P&L into the formula? Thanks.

 

[kut2k2]

Quote from OddTrader:

Scorecard: http://en.wikipedia.org/wiki/Balanced_scorecard

I think they're talking about corporate strategies, not trading strategies. Thanks all the same.

 

[vicirek]

Quote from kut2k2:

Isn't that already covered by the expectation?

If not, how would you incorporate P&L into the formula? Thanks.

I would get rid of the formula and replace it with 0 when your P&L is negative and 1 when P&L is positive. System works if the result is 1.