This thread is in a way a continuation of my previous thread in this forum which has been closed to prevent the reappearance of trolls who posted during the new format. Thanks for the great timing, guys. That thread got me to thinking about what an ATS is really worth, but in nonmonetary terms. Thanks to inputs from both danielc1 and dom993, I was introduced to Van Tharp's SQN (System Quality Number) as well as its fatal flaw. As a result, I've been able to devise a much superior metric called SPS (System Performance Score) which is detailed below. I asked myself what is the single truly best way to evaluate an ATS. After a while, it hit me: how much are you willing to bet on it. The best answer to that question is unambiguous: the Kelly ratio (or Kelly fraction). As detailed in the first post of my Kelly thread (qv), there is an easy way to calculate a very good approximation of the Kelly fraction for a general case. I will hereafter refer to this as the NOBF (near-optimal betting fraction). As detailed in my previous ATS thread, we must establish a minimum acceptable number of trades in order to evaluate an ATS from backtesting data. We were introduced to both the Surf Criterion (1000 trades) and the Eckhardt Criterion (1800 trades). For now we will stick with the Surf Criterion. So calculation of SPS becomes straightforward: SPS = NOBF*min[1, N/1000] , where N is the number of trades in the backtest. So take the N trade returns from your backtest and sum them. If the answer is nonpositive, proceed no further: your system sucks. If the answer is positive, then divide that sum by the sum of the squared trade returns. This quotient is your NOBF. Now multiply the NOBF by the lesser of one and N/1000. This final number is the SPS of your ATS. Enjoy.