Statistics

• Win rate
• Average winner / Average loser
• Profit factor (gross winnings / gross losses)
• Number of consecutive losers (needs to match with your psychological ability to handle)
• Expectancy (i.e. P/L of an average trade)
• Maximum drawdown
• Annual return
• t-statistic > 2

Robustness

• Markets: The system should be tested across all market environments, e.g. bull, bear, choppy, etc. Performance should preferably be consistent across all environments.
• Outliers: Is a significant chunk of the performance attributable to a just few trades or a particular market? or is the P/L across trades fairly consistent?
• Costs: Slippage and commission deducted?
• Logic: Are all signals immediately executable? e.g. limit moves might not allow execution

System Details

• How many rules and variables are there in the system? Beware of over-optimization.