I'll write a few articles on a few of the things I look at for my systems. These are what I feel are important things but feel free to disagree.

Maximum Drawdown
This is the maximum units your system loses between the highest peaks in your system. For example if you had a profit of 100 units, lost 40 units, made 20 units, lost 40 units, made 70 units, your max drawdown was 60 total units which was -40+20-40 = -60 drawdown.

This helps identify how big a bank you need in order to be betting at a certain time. Alternatively it helps identify the bet size based on your bank size. Personally I think your drawdown should not exceed 5% of your bank. So in this case if you have a bank of $100 and your maximum drawdown is 20 units then your bet size should be 5/20 = 0.40c

For those who don't like risk you should probably even make the maximum drawdown only go to 2% of your total bank. In the example above this would be 2/20 = 0.10c

The effects of this are both positive and negative. It is positive in that you will mentally be able to stand the losing runs which could happen. But the negative is of course the winnings are less as you are betting less.

Personally I think the psychological impact of a small maximum drawdown when compared to the bank size makes it easier to follow a system through the bad times rather then throw it on the shelf.

But I also think this would be more important as your bank size grows. Losing $5 on $100 is no big deal, losing $500 on $10000 is a bigger deal. So size of bank can also dictate the amount you are willing to risk.

Anyway I'll try to write up one measure/system analysis tool every few days.