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 It has been replaced by the System Achievement Score (SAS).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

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

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.