the process of trading involves a lot of measuring.

in a trading system, you've made a bunch of assumptions and decisions, added a lot of moving parts.

and you need to isolate and track all those individual bits as best you can.

you've made forecasts about future returns

do those still hold up? is the nature of them changing? is information decaying at the same rate? Are you seeing different behaviour in different places? how confident are you in that?

you've combined those forecasts in some way

there are several ways you could have chosen to do that. are you happy the choices and assumptions you made (about persistence/momentum/whatever) are still valid?

you modelled the risk and co-riskiness of positions somehow

maybe you did this in a simple way or a complicated way but, ultimately. it's a forecast of the future informed by past data. you need to measure how effective you are and how stable your estimates are.

you modelled your trading costs

there are elements of this that are very simple (bro & other fees) and elements of this that are complicated to model (market impact, opportunity cost, adverse selection). you need to track your execution performance against those assumptions.

you modelled all the constraints you're under

what you would like to do and what others will let you do are different things. you should also impose some sensible position and risks limits upon yourself even if this weren't true.

then you created a system to navigate the trade-offs inherent in the above

these trade-offs add a whole bunch of nuance and complexity to the things above:

a lot of work

anyway... my point is that a trading system is like any other system you would like to perform well under uncertainty.

it needs to be measured and tracked and assessed against simple baselines at a variety of levels.

it needs to be iteratively adapted in careful ways.

things quickly get out of hand so i'd recommend you keep things as simple as they can be.