How to audit a trading track record: 7 checks

STS ResearchPublished July 3, 2026Data through 2026-06-11

We ran a strict seven-check audit on our own live NQ book, 3,505 trades over 15 years, and it passed all seven. But on the check that matters most, the t-stat, only one of our five strategies clears the bar standing alone. We are telling you that up front, because the point of an audit is to find the thin spot, not to print a row of green checkmarks.

Here are the seven checks. Demand a number for each: a big enough sample, a t-stat over 3, a profit factor above 1 in every era, costs actually subtracted, a drawdown percentage you can trace to a denominator, a forward drawdown from a reshuffle, and the losing years shown. Below is the full scorecard, the threshold for each, and the one line where a strict auditor would push back on us.

Audit scorecard table with seven rows, each a check to demand from any trading track record next to the STS NQ book's own number and grade. Row 1 sample size, bar 200-plus trades multi-year, ours 3,505 trades 2011 to 2026, PASS. Row 2 t-stat edge versus luck, bar t greater than 3, ours 4.9 for the book but only 1 of 5 sub-strategies clears alone, PASS as a book. Row 3 per-era profit factor, bar PF greater than 1 in every era, ours 1.06 rising to 1.21 to 1.46 to 1.92, PASS. Row 4 costs included, bar commissions plus slippage in, ours about 4 dollars 10 cents round-turn on every fill, PASS. Row 5 drawdown honesty, bar the percent must state its denominator, ours 28,994 dollars equal to 2.6 percent of net or 3.1 percent of the peak it fell from or 29 percent of a 100k account, PASS. Row 6 forward drawdown, bar quoted from a reshuffle not the realized best case, ours realized at the 2nd percentile so size for about 42 percent, PASS. Row 7 losing periods shown, bar negative years and months published, ours 2 down years and 59 down months, PASS. Audit scorecard table with seven rows, each a check to demand from any trading track record next to the STS NQ book's own number and grade. Row 1 sample size, bar 200-plus trades multi-year, ours 3,505 trades 2011 to 2026, PASS. Row 2 t-stat edge versus luck, bar t greater than 3, ours 4.9 for the book but only 1 of 5 sub-strategies clears alone, PASS as a book. Row 3 per-era profit factor, bar PF greater than 1 in every era, ours 1.06 rising to 1.21 to 1.46 to 1.92, PASS. Row 4 costs included, bar commissions plus slippage in, ours about 4 dollars 10 cents round-turn on every fill, PASS. Row 5 drawdown honesty, bar the percent must state its denominator, ours 28,994 dollars equal to 2.6 percent of net or 3.1 percent of the peak it fell from or 29 percent of a 100k account, PASS. Row 6 forward drawdown, bar quoted from a reshuffle not the realized best case, ours realized at the 2nd percentile so size for about 42 percent, PASS. Row 7 losing periods shown, bar negative years and months published, ours 2 down years and 59 down months, PASS.
Seven checks, each with a pass bar, run on our own book. The star on check 2 means it passes as a combined book, not sub by sub. That is the one line where a strict auditor would push back.

Whose track record is this (read this first)

The numbers below come from the STS NQ book, our own live record. Five systematic NQ strategies run as one portfolio that holds a single position at a time. TradingView backtests, June 2011 to June 2026, one to three contracts scaled by volatility, commissions and slippage included, $1,120,402 net over 3,505 trades on the NQ mini. The style is momentum and trend continuation, intraday plus one overnight model. Not mean reversion, not scalping.

That matters for how you read this. The seven checks transfer to any record, yours included. The exact numbers do not. When you run these checks on a signal seller, a prop firm demo, or your own backtest, you will get your own answers. We are using our book as the worked example of what each check looks like when someone actually shows their homework.

Check 1: a few hundred trades is the floor, a hot month proves nothing

Ask how many trades the record covers, over how many years.

A handful of trades can look brilliant on luck alone. The more trades a record has, the harder it is for luck to carry the whole thing. The rough floor is a few hundred trades across more than one market condition, so a bull run, a chop year, and at least one drawdown are all in the sample.

Our book is 3,505 trades from June 2011 to June 2026. That count reconciles three independent ways in our export: exit rows, entry rows, and the running cumulative column all land on 3,505. Fifteen years covers two bear markets, a crash, and several flat stretches. This check is the easy one. If a seller can only show you last quarter, stop there.

Check 2: the t-stat, the one number hardest to fake

Ask for the t-stat. It is a single number that says how far a record sits above pure luck.

The t-stat measures the average trade against how noisy the trades are. A high number means the profit is unlikely to be a fluke. Harvey, Liu and Zhu studied thousands of published strategies and argued the old bar of 2.0 was far too soft once you count how many things people test before they publish a winner. Their tougher line is t over 3.

Our book reads 4.9, well clear. On a dollar-PnL basis it is even higher. But here is the honest part almost no vendor shows you: run the same test on each of the five strategies alone and only one clears the bar.

The per-strategy t-stats are 3.28, 2.92, 2.61, 2.93, and 2.54. Only the first, our trend sleeve at 3.28, passes 3 standing alone. The other four are soft on their own. We keep them because they run together, one position at a time, and the diversification lifts the combined book to 4.9. Two of them, the short at 2.61 and the intraday sleeve at 2.54, would be flagged by a strict auditor applying this check sub by sub. We would rather you see that now than find it later.

Bar chart of t-statistic per strategy against a t equals 3 threshold line. Trend sleeve 3.28, a green bar above the line, the only sub that clears alone. Four red bars below the line: Sub 2 at 2.92, Short at 2.61, Sub 4 at 2.93, Intraday at 2.54. A tall blue bar on the right shows the combined book at 4.90, well above the line, labeled all five combined. An amber dashed line marks the t equals 3 Harvey-Liu-Zhu bar. Bar chart of t-statistic per strategy against a t equals 3 threshold line. Trend sleeve 3.28, a green bar above the line, the only sub that clears alone. Four red bars below the line: Sub 2 at 2.92, Short at 2.61, Sub 4 at 2.93, Intraday at 2.54. A tall blue bar on the right shows the combined book at 4.90, well above the line, labeled all five combined. An amber dashed line marks the t equals 3 Harvey-Liu-Zhu bar.
Only the trend sleeve (3.28) clears t > 3 alone; four subs sit below the bar. Run one position at a time, the five combine to 4.90 for the book. This is the one place a strict auditor would push back, and we show it rather than hide it.

Here is why the t-stat is the check that matters, not the friendlier ones. Every one of our five sleeves makes money standing alone, with profit factors from 1.32 to 2.12. Judge them on profit factor and you would call all five winners. Judge them on the t-stat and four of the five fail. Profit factor tells you a strategy made money in the past. The t-stat tells you whether that money is likely to be edge instead of luck. A record that leads with profit factor while staying quiet about the t-stat is showing you the softer number.

Two side-by-side bar lanes, one row per NQ sub-strategy, read across. Left lane is profit factor, every bar green and past the PF equals 1 line: Trend 1.53, L-ORB 1.32, Short 2.12, Overnight 1.57, Universal 1.73. Right lane is t-statistic against an amber t equals 3 gate: only Trend clears it at 3.28 as a green bar; L-ORB 2.92, Short 2.61, Overnight 2.93 and Universal 2.54 fall short as red bars. Same five sleeves, graded winner by profit factor and luck by the t-stat, so profit factor calls all five winners while the t-stat clears only one. Two side-by-side bar lanes, one row per NQ sub-strategy, read across. Left lane is profit factor, every bar green and past the PF equals 1 line: Trend 1.53, L-ORB 1.32, Short 2.12, Overnight 1.57, Universal 1.73. Right lane is t-statistic against an amber t equals 3 gate: only Trend clears it at 3.28 as a green bar; L-ORB 2.92, Short 2.61, Overnight 2.93 and Universal 2.54 fall short as red bars. Same five sleeves, graded winner by profit factor and luck by the t-stat, so profit factor calls all five winners while the t-stat clears only one.
Every sleeve clears PF > 1 (blue dots, 1.32 to 2.12), so profit factor calls all five winners. Only Trend clears t > 3. That gap is the whole reason to demand the t-stat and not stop at profit factor.

So why keep the soft-t sleeves at all? Because they cover ground the trend sleeve cannot. The book is net-positive in all five market regimes we cut it into. The short sleeve, the one that reads a soft 2.61 alone, is what carries the crashes: in the crash and high-volatility-down months it produced the large majority of the book's profit while the long sleeves lost money there. That is why a soft solo t-stat can still earn its seat. The full breakdown is in is my backtest overfit. (That regime split runs on the 3,270 trades our map covers, through May 2025. The direction holds; the exact dollars we hold back until the map is extended.)

So this check has a subtle rule. Demand the t-stat for whatever you are actually going to trade. If someone sells a single strategy, its solo t-stat is the one that counts. If they sell a book, the book number is fair, but a good one will still show you the parts underneath.

Check 3: profit factor in every era, not just the total

Ask whether the edge held up in each stretch of history, or whether one lucky run carries the whole record.

Profit factor is gross wins divided by gross losses. Above 1.0 means the period made money. A single aggregate profit factor can hide a record that made everything in one wild year and bled the rest of the time. The fix is to cut history into equal blocks and check every one.

Bar chart of profit factor by non-overlapping four-year era for the NQ book, with a red dashed break-even line at 1.0. Four green bars rising left to right: 2011 to 2014 profit factor 1.06 on 890 trades, 2015 to 2018 profit factor 1.21 on 1,002 trades, 2019 to 2022 profit factor 1.46 on 863 trades, 2023 to 2026 profit factor 1.92 on 750 trades. An amber trend line connects the bar tops to show the monotonic rise. Every era sits above the 1.0 break-even bar. Bar chart of profit factor by non-overlapping four-year era for the NQ book, with a red dashed break-even line at 1.0. Four green bars rising left to right: 2011 to 2014 profit factor 1.06 on 890 trades, 2015 to 2018 profit factor 1.21 on 1,002 trades, 2019 to 2022 profit factor 1.46 on 863 trades, 2023 to 2026 profit factor 1.92 on 750 trades. An amber trend line connects the bar tops to show the monotonic rise. Every era sits above the 1.0 break-even bar.
Profit factor by four-year block: 1.06, 1.21, 1.46, 1.92. Every era cleared break-even, and the edge got stronger over time, which is the opposite of what a curve fit does as it ages.

Split into four equal four-year eras, our book reads 1.06, 1.21, 1.46, and 1.92. Every block made money. The earliest is thin, barely above break-even on 890 trades, and we will say that plainly rather than round it up. But the trend runs the right way. A curve-fit strategy usually looks best on the data it was built on and decays as it ages. Ours strengthens. That is the pattern this check is built to find, and the thin early era is the honest cost of showing it.

Check 4: a record that will not name its cost per contract is hiding one

Ask whether commissions and slippage were subtracted, and get the per-contract figure.

This is where a lot of records quietly cheat. A backtest with zero costs can turn a losing strategy into a winning one, especially a high-frequency one. The tell is a record that will not name its cost assumption. A real one gives you a number.

Ours is about $4.10 round-turn, applied to every fill. That is the configured, observed cost from our execution calibration, and our net P&L is post-cost by construction, so the $1,120,402 you see already has it taken out. One honest limit: a post-cost export cannot regenerate the exact gross-to-net figure by itself, so we cite $4.10 as the observed assumption, not something re-derived from the trade list. The point of the check is not the exact number. It is that a serious record can tell you the number at all, and a scalping strategy that skips it is selling you a fantasy.

Check 5: a drawdown percentage means nothing without its denominator

Ask what the drawdown percentage is divided by. The same dollar loss can be three very different percentages.

This is the check most people skip, and it is where a lot of marketing hides. A drawdown is the worst peak-to-trough drop in equity. The dollar figure is objective. The percentage is a choice, and the choice can flatter or scare depending on what sits in the denominator.

Horizontal bar chart showing the identical 28,994 dollar worst-dollar drawdown expressed as three different percentages against three different denominators. Green bar, 2.6 percent of final net profit of 1,120,402 dollars, labeled flattering. Blue bar, 3.1 percent of the 928,543 dollar equity peak it fell from. Red bar, 29.0 percent of a 100,000 dollar starting account, the harshest read. A note warns that a track record quoting a drawdown percent without its denominator is hiding the ball. Horizontal bar chart showing the identical 28,994 dollar worst-dollar drawdown expressed as three different percentages against three different denominators. Green bar, 2.6 percent of final net profit of 1,120,402 dollars, labeled flattering. Blue bar, 3.1 percent of the 928,543 dollar equity peak it fell from. Red bar, 29.0 percent of a 100,000 dollar starting account, the harshest read. A note warns that a track record quoting a drawdown percent without its denominator is hiding the ball.
The same $28,994 worst-dollar dip is 2.6% of net, 3.1% of the $928,543 peak it fell from, or 29% of a $100k account. One dollar figure, three honest percentages. Always ask which one you are being shown.

Our worst dollar drawdown was $28,994. It fell from a peak of $928,543, so against that peak it is 3.1%; against the final $1.12M net it is a tiny 2.6%; against a $100k starting account it is 29%. Same dollar figure, three honest percentages, and a marketer would quote the 2.6%. Keep the denominators straight and do not let a big-account percentage get quoted as a small-account one. Our largest percentage drawdown is a separate, earlier episode: 17.5%, the figure on our tear sheet, which was a ~$18,600 dip on a ~$107k account back in 2013, measured on TradingView's intra-trade equity-report basis. The check is simple: if a record shows a drawdown percentage and will not say the denominator, treat the number as marketing until proven otherwise.

Check 6: forward drawdown, not the lucky realized one

Ask for the expected future drawdown from a reshuffle of the trades, not the best-case number the backtest happened to produce.

The realized drawdown is one roll of the dice. It depends heavily on the order the trades arrived in. Cluster the losers and the dip is deep. Spread them out and it is shallow. The backtest shows exactly one order, the one history dealt. A fair audit asks what a normal order would have produced.

We took our real trades and reshuffled the sequence 10,000 times. Our realized $28,994 drawdown, 29% of a $100k account, landed at roughly the 2nd percentile of that distribution, meaning about 98 of every 100 reshuffles drew down worse than we did. Under the stricter streak-preserving reshuffle below it is less of an outlier, near the 26th percentile, so about 74% of those paths were still worse. Either way the median future drawdown is deeper: closer to $42,000, about 42% of a $100k account on the simple shuffle, and a bad-but-normal one near $62,000, about 62%. So the honest forward expectation is well above the realized figure.

We ran a second, stricter reshuffle to check that number. The simple shuffle treats every trade as independent, which can overstate the tail because it breaks up the losing streaks that actually drive drawdowns. So we also used a block reshuffle that keeps each losing streak intact. It is kinder to us: it puts the median future drawdown near 33% and the floor of its range, even in the shallow 2.5% tail, at about 24%. The two methods disagree by design, and the gap between them is the point. Take the friendlier one and the typical future drawdown is still 33% of a $100k account, above our realized 29%. Our realized draw is the lucky end of both ranges, not the number to plan around.

Confidence-band chart of max drawdown as a percent of a 100,000 dollar account. A blue marker sits at the realized 28,994 dollars, 29 percent of the account, labeled what we lived. A green streak-preserving block-reshuffle band runs from a 24 percent floor through a 33 percent median to a 51 percent upper edge. A red simple i.i.d. reshuffle band runs from a 42 percent median to a 62 percent bad case. The realized 29 percent sits at the shallow left end of the block band, below both medians, showing it was a favorable draw and the typical future drawdown is deeper. Confidence-band chart of max drawdown as a percent of a 100,000 dollar account. A blue marker sits at the realized 28,994 dollars, 29 percent of the account, labeled what we lived. A green streak-preserving block-reshuffle band runs from a 24 percent floor through a 33 percent median to a 51 percent upper edge. A red simple i.i.d. reshuffle band runs from a 42 percent median to a 62 percent bad case. The realized 29 percent sits at the shallow left end of the block band, below both medians, showing it was a favorable draw and the typical future drawdown is deeper.
Realized $28,994 (29% of a $100k account) is the lucky shallow end. The friendlier block reshuffle still centers on 33% with a 24% floor; the simple shuffle centers on 42%. Size for the range, not the realized best case.

A record that quotes only its lucky realized drawdown is showing you the best case dressed as the worst. The full method, and why the edge is still real even though the smooth path was luck, is in expect a worse drawdown than your backtest.

Check 7: the losing periods, shown not hidden

Ask to see the down years and down months. A record with no red in it is either very short or not telling you everything.

Real edges lose regularly. Ours wins 45.5% of trades, so it loses more often than it wins, and the profit comes from wins being bigger than losses. Over 15 years the book had two negative years, 2012 at -$240 and 2013 at -$778, and 59 negative months out of 181. The worst losing streak was 14 trades in a row for -$7,412, from August 26 to September 30, 2015, which is 0.66% of total net. None of that is hidden, because a record that only shows green is hiding the half of the data that tells you whether you can actually sit through it.

Bar chart of net profit by year for the NQ book from 2011 to 2026, with a zero line. Two red bars below zero mark the only losing years: 2012 at minus 240 dollars and 2013 at minus 778 dollars, both labeled. Every other year is a green bar above zero, growing from a few thousand dollars in the early years to 267,453 dollars in 2025. A red callout box notes the worst losing streak of 14 trades in a row for minus 7,412 dollars, August 26 to September 30, 2015, equal to 0.66 percent of net. Bar chart of net profit by year for the NQ book from 2011 to 2026, with a zero line. Two red bars below zero mark the only losing years: 2012 at minus 240 dollars and 2013 at minus 778 dollars, both labeled. Every other year is a green bar above zero, growing from a few thousand dollars in the early years to 267,453 dollars in 2025. A red callout box notes the worst losing streak of 14 trades in a row for minus 7,412 dollars, August 26 to September 30, 2015, equal to 0.66 percent of net.
Net by year, 2011 to 2026. Only 2012 (-$240) and 2013 (-$778) were red, and we show them. The worst run inside any year was 14 straight losers for -$7,412, which is 0.66% of net.

The eighth thing to demand: a disclosure the checks cannot catch

There is one more thing to ask for that no scorecard captures, and it is not a grade. It is a disclosure. Ask whether the numbers can move when the underlying data gets re-based.

Continuous futures contracts get stitched together across rolls, and each roll re-bases the price series a little. So the exact same unchanged strategy prints slightly different totals on different runs. Our published book is $1,120,402 over 3,505 trades. When we re-ran the identical book after the June 2026 roll, on July 2, it printed $1,107,329 over 3,496 trades with a $29,014 drawdown. A separate run differed again. Nothing changed in the strategy. The data underneath moved.

This is why a screenshot of a number is weaker evidence than a live script on a chart. A screenshot cannot show data re-basing; a re-runnable process can. This is the same line that separates a real signal record from a highlight reel, which we lay out in are futures trading signals worth it. A track record that never mentions this, or that treats one screenshot as gospel, has not told you how its own numbers behave.

The one honest limit

Two of our five strategies do not clear the t-over-3 bar standing alone. The short reads 2.61 and the intraday sleeve reads 2.54. We keep both for the jobs they do inside the book, correlation and coverage of conditions the other sleeves sit out, not because either is a bulletproof solo edge. An auditor applying check 2 strictly to each piece would flag two of ours, and they would be right to. We would rather you know that than discover it later.

Copy this checklist and run it on anyone

Paste these seven lines into your notes and point them at the next track record someone shows you, ours included.

  1. 200+ trades over 3+ years?
  2. t-stat over 3 for the thing you will actually trade?
  3. Profit factor above 1 in each 4-year era, not just the total?
  4. Costs subtracted, and can they name the per-contract number?
  5. Drawdown percentage, and what is the denominator?
  6. Forward drawdown quoted from a reshuffle, not the realized best case?
  7. Losing years and months shown, not hidden?

The honest providers answer with numbers. The rest change the subject to testimonials and one good week.

How we measured this

Instrument: CME Nasdaq-100 E-mini (NQ), continuous contract on TradingView, $100,000 starting capital, no compounding, one to three contracts scaled by volatility. Window: June 2011 through June 2026. Fills modeled with TradingView's bar-magnifier; commissions and slippage in every trade at about $4.10 round-turn. The book is five live sub-strategies run as one single-position portfolio; a sixth, earlier sleeve was retired and is excluded.

Every book-level figure reconciles on the raw net-PnL column three independent ways: exit rows, entry rows, and the cumulative column all agree on 3,505 trades and $1,120,402. The per-era profit factors, the negative-year and negative-month counts, the worst streak, and the drawdown come from the same export, recomputed by the scripts in our research folder. The forward-drawdown figures come from two 10,000-iteration reshuffles: a simple trade shuffle (median 42%) and a streak-preserving block bootstrap (median 33%, 24% floor). We report both because they bracket the honest range. The roll-rebase figure is a fresh July 2, 2026 re-run of the identical book.

The limits, plainly. These are hypothetical backtest results, not live fills, so they inherit the engine's assumptions. The two reshuffles in check 6 disagree because the simple shuffle breaks up losing streaks while the block method keeps them, so the honest forward drawdown sits somewhere in the 33% to 42% median range rather than at either single number. The exact $4.10 cost is the configured assumption, not something re-derived from the post-cost export. And the whole record leans on a recent, trend-friendly regime for the Nasdaq. The real risk to a book like ours is not a fake edge; it is a change in market character the past did not contain.

What to do with this

Run the seven checks on us before you trust anything else on this site. The full stat block behind every number here is on the tear sheet, and the five strategies, each with its own equity curve, are on our strategies page. If our book clears your version of these seven checks, the same systems send their entries as real-time signals, and you can start with a free 7-day trial on the pricing page. We would rather you grade the receipts first than take our word for it.

We trade this book live and sell access to the signals, so judge the data accordingly. This article is educational and is not investment advice. Futures trading involves substantial risk of loss and is not suitable for every investor.

Hypothetical performance disclaimer (CFTC Rule 4.41): hypothetical or simulated performance results have certain limitations. Unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not been executed, the results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profit or losses similar to those shown. Past performance does not indicate future results.