This of course relates to "gaming" the CME ES and NQ futures markets which are the most liquid in the world. Crazy as this sounds, but I actually had a dream about this. How best to track performance ? There are so many metrics ......and it gets somewhat crazy... 1) Net ticks over time...average ticks per day, per week, etc., etc. 2) MFE/MAE (Maximum favorable Excursion, Max adverse excursion) What else should be tracked ? The goal here is to optimize the algo based on performance.