I am not an expert on this but i would say first figure out if the strategy has positive expectancy. If the expectancy is positive then do a randomness test to see if the performance is due to luck. More info: Expectancy: http://tradermike.net/2004/05/trading_101_expectancy/ Randomness Test: http://129.3.20.41/eps/fin/papers/0205/0205003.pdf Hope this helps
Positive Expectancy is a fancy way of saying that you make more than you lose, with a sufficient rate of success: http://www.tradingpatterns.com/profitability.pdf Ron