The score takes into account all the strategies by a strategy provider and is calculated by averaging the safety scores and VaR scores for each account and totaling daily.

• Safety score: This score represents how well a strategy provider avoided losing capital in a strategy (when equity drops to zero or below during trading). The lower the score, the more often a stop-out has occurred within a strategy.
• VaR score: Value at risk (VaR) score shows how well a strategy provider has managed drawdown, a single measurement of loss from peak to trough. The higher the VaR score, the less share of capital could be lost by the investor in worst-case scenarios.

Example:

A trader has 3 accounts:

The max equity for each account is noted in the 90-day period.

• Account 1: 6000
• Account 2: 150
• Account 3: 500
• Total max equity = (6000+150+500) = 6650

The max equity ratio of each account is calculated.

• Account 1: 6000/6650 = 0.9022
• Account 2: 150/6650 =0.022
• Account 3: 500/6650 = 0.075

The daily VaR score for each account for each day is calculated and totaled for each day with this formula: 

Daily account VaR score = Drawdown x Max Equity Ratio

The same is done for stop-outs to get the safety score with this formula:

Daily account safety score = Stop Out x Max Equity Ratio

The 2.5th percentile is calculated for the total column for both the VaR score and the safety score.

• VaR score = -0.3156
• Safety score = -0.097

The scores are then normalized with the respective formulas:

• VaR score = 1 / 0.5 + e^3*VaR score = 0.4875
• Safety score = 1 / 2 + e^3*Safety score = 0.8988

Finally, the formula below is used to calculate TRL: 

TRL = 0.6 x VaR score + 0.4 x Safety score 
= 0.6 * 0.4875 + 0.4 * 0.8988
                
The first two values after the decimal point are 65, which represents the TRL as 65/100. 

About the trading reliability level significance

When a strategy provider has a significant trading reliability level (TRL), it becomes visible to investors. TRL significance is based on two factors: the extent score (explained below) and trading days. 

When the strategy provider reaches an extent score of 10 out of 10 trading days, their TRL becomes significant.

Extent score

This score reflects trading experience based on the margin-to-equity ratio of open orders. A higher ratio and longer duration increase the score and associated risk. It is calculated by: 

Total equity utilization x Duration

Here’s an example:

1. The equity and margin are recorded after every trade.
2. Next, equity and margin from all accounts are totaled, respectively.
3. Exposure is calculated by margin sum/equity sum.
4. The time difference is defined as the seconds passed from the previous trade.
5. Extent raw is calculated by exposure x time difference.
6. The extent score is calculated by the extent cumulative sum normalized by 12000*.

The extent score is rounded to the first value after the decimal point of 1 and taken into account. Therefore, it is displayed as 1/10.