@Eric, The concept I believe you're going for here is what's called MFE/MAE, and has to do with price excursions for specified durations after a trade. MFE/MAE analytics would be a cool addition I would gather to add to the tearsheet. I recall building edge calculations into various strategies some time ago, and it's not hard. Just maintain a collection of trades (signals actually) and specified durations at which to measure price. One would want to do this inside the strategy so that you can take advantage of the edge measurement as it unfolds and changes.
And when you get done with a back test you can easily print out a custom log like this:
Periods Wins Win% Ave chg% Edge ratio MFE avg MAE avg Signals
------- ---- ---- --------- ---------- ------- ------- -------
10 40 67.80 0.033 2.742 1.94 0.71 59
20 48 81.36 0.126 2.844 4.01 1.41 59
30 45 76.27 0.144 2.791 4.76 1.71 59
40 32 54.24 0.134 1.984 5.11 2.58 59
Translated we have:
• Number of periods after a signal (trade)
• How many times, at X periods, was current price above entry price (long trades only here)
• The percent of the wins
• What was the avg price change % after X periods
• The MFE divided by the MAE
• MFE, the maximum excursion of price, in the favorable direction, as a measure of % price
• MAE, the maximum excursion of price, in the adverse direction, as a measure of % price
• The number of signals (trades)
This is just a sample but you can see it's just a matter of record keeping and reporting.
What is then possible is to keep a queue of signals rather than a total collection, and expire the oldest after some number is reached. This would then allow you to keep a running, changing edge measurement which you can then use as a factor in your trades. If edge is > 2.0 keep trading, BUT, keep recording the signals regardless of whether you traded them or not. That's the important part. Signals are NOT trades.