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# System Achievement Score

Discussion in 'Automated Trading' started by kut2k2, May 31, 2013.

Not open for further replies.
1. ### 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It has been replaced by the System Achievement Score (SAS).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

2. ### dom993

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

3. ### kut2k2

Sure, have at it.

4. ### 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

5. ### kut2k2

I have a feeling that the formula is still incomplete.

Any ideas? TIA.

P&L

8. ### kut2k2

Isn't that already covered by the expectation?

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

10. ### vicirek

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.

#10     Jun 2, 2013