May 11, 2023
Note: All the credit goes to the original author, Detlev Matthes, if you are interested in reading his original paper then click here. This article contains large excerpts from his original paper.
A key performance indicator with high explanatory value
for the quality of trading systems is introduced. Quality is
expressed as an indicator and comprises the individual values of
qualitative aspects. The work developing the KPI was submitted
for the 2017 VTAD Award and won first prize.
Imagine that you have a variety of stock trading systems from
which to select. During backtesting, each trading system will
deliver different results with regard to its indicators (depending
on, inter alia, its parameters and the stock used). You will also
get different forms of progression for profit development. It
requires great experience to select the “best” trading system
from this variety of information (provided by several indicators)
and significantly varying equity progression forms.
In this paper, an indicator will be introduced that expresses
the quality of a trading system in just one figure. With such an
indicator, you can view the results of one backtest at a glance
and also more easily compare a variety of backtesting results
with one another.
How to Use the KPI
The team at TradingDelta is dedicated to providing useful content
and education regarding technical analysis, systems building, and
portfolio management. This is why we have programmed the KPI
indicator to be available on the TradingView platform, FREE OF CHARGE!
If you are interested in using the KPI Indicator to test your strategies then click here!
The KPI developed has high explanatory value for the quality
of a trading system. Individual aspect values (from different
areas of focus) provide further information useful for improving
the quality of a trading system. Users can use the KPI value and
its aspect values during the development of trading systems.
Further, application during parameter optimization and as a
monitoring measure during practical trading is possible. The
KPI introduced was implemented in the programming language
Equilla and can be used in the trading environment Tradesignal.
The original paper (in German), containing many examples
and the programming code, is available on the VTAD website: