This book provides the trading system developer with a powerful set of statistical tools for measuring vital aspects of performance that are ignored by most developers.All algorithms include intuitive justification, basic theory, all relevant equations, and highly commented C++ code for complete programs that run in a Windows Command Console.Reprogramming them in other languages should be easy, given the detailed explanations of each algorithm.The following topics are covered: Testing for overfitting at the earliest possible stageEvaluating the luckiness-versus-skill of a fully developed system before deploying itTesting the effectiveness and reliability of a trading system factoryRemoving selection bias when screening a large number of indicatorsProbability bounds for future mean returnsBounding typical and catastrophic future drawdownsIs the best indicator or model in a competition truly the best, or just the luckiest?Which markets provide truly superior profits for your trading system?What holding time for your system provides the best risk/return performance?