EA Strategy Analyzer

When developing or purchasing an Expert Advisor (EA), the MetaTrader backtest report provides the raw data. However, standard metrics like "Total Net Profit" are easily manipulated through curve-fitting and over-optimization. Traders need a more robust metric to grade a strategy.

What is the System Quality Number (SQN)?

Developed by Dr. Van Tharp, the System Quality Number (SQN) evaluates a trading system's expectancy (average profit per trade) relative to its volatility (standard deviation of trades) and the total number of trades taken. A high SQN means the system makes consistent profits with very low variance.

• SQN < 1.6: Poor system. Do not trade.
• SQN 1.6 - 1.9: Average system. Tradable but expect large drawdowns.
• SQN 2.0 - 2.4: Good system. Solid edge in the market.
• SQN 2.5 - 2.9: Excellent system. Very smooth equity curve.
• SQN 3.0+: Holy Grail. (Warning: In algorithmic trading, an SQN this high usually indicates the EA is over-optimized to historical data and will fail in live forward-testing).

Beware of Over-Optimization (Curve Fitting)

Many commercially sold MT4 EAs show perfect, straight-line equity curves in their backtests. If you input their data into this calculator and see an SQN of 5.0 or 6.0, run away. The developer has likely optimized the parameters so tightly to historical data that the EA cannot adapt to future, unseen market conditions.