Wow, lots of comments since I went to bed last night!
And since I see so many opposing opinions, I'll do the following: rather than address each particular topic, and post my take on it, I'll give more details about what I'm looking for. I think most of you are correct from a certain point of view, and now I'll give my point of view, since that's what I'm using to judge whether is a system is a match or not.
First of all, the 2 metrics I talked about the most (Pips Expectancy and Expectancy Ratio) are not the only things I'm looking for. I hope that was obvious, but just to make sure: I'm not simply sort the systems by one or both of those metrics, and pick the ones with the highest values.
The true measure of a system's success, when talking about its place in my portfolio, is the answer to this question:
<b>Given the ability to trade up to 1 minilot (i.e. open positions are limited to that), in 1 microlot increments, how quickly can you make $100 without going into a drawdown deeper than $100?</b>.
It's up to you if you have just one trade open at a time, and use the maximum allowed size for that (1 minilot), or if you use a system that sometimes needs additional positions, in which case you limit your trades to 0.04 lots, let's say. You can even do a Martingale like this: 0.01, 0.02, 0.03 and 0.04. The final goal is to produce $100 of profit. If you can achieve that in 1 month, great! If you can do it in 2 weeks, even better! However, if it takes you 3+ months to do it, we'll probably talk about ways to reduce the time-to-target.
There are also a couple of conditions you need to be aware of, and I'll list them below:
1) hedging is permitted, FIFO is ignored
2) only Forex trading is currently allowed
3) floating DD is also subject to $100 limit
4) account must be flat over the weekend
#1 is not a restriction, but quite the opposite, and I wanted to tell you about that, since for some systems it matters
#2 will filter out some systems, some quite good, which is unfortunate, but that's what the situation is at the moment
#3 will eliminate all the systems that either use to much leverage, or let the positions build up against them; this condition and further research on my side is what triggered me to ask traders to calculate those 2 metrics; like I said, they are not the ultimate filter, they just allow me to get a good initial feeling about how well a strategy would fit my needs
#4 will further eliminate a bunch of systems, some again being quite profitable; but that condition is part of the strict risk management criteria I'm following right now, so it must be respected; systems that hold on to positions for weeks, hoping for a reversal, will be the first to suffer from this restriction. If your system is really good, I might consider it for an alternate portfolio in the future
There are many more details to be discussed, but I'll end this post now, since it is already loaded with information.
By the way, the actual lot size that you'll be allowed to trade can be much higher than in the example above, but I really want to use the 1 minilot / $100 example since it focuses on profitability, and not on the huge dollar gains. I can assure you there is great dollar gain potential in what I'm offering, but for everyone reading this thread, and for me as well, I want to first discover matching systems and only afterwards dream about how many dollars will flow into our accounts each month.