Abstract: The purpose of this chapter is to provide a context for the evaluation of the trading strategy with reference to the competition. With contemporary trading strategy development software and the modern computer, it has never been easier to perform an optimization of a trading strategy. This chapter elaborates on some of the proper ways to test, optimize, and evaluate a trading strategy and strategy performance. It is so difficult to evaluate it correctly and then successfully trade it in real time. The points to be considered while evaluation of the trading strategy are discussed with relevant examples in this chapter. The topics covered therein are the trading strategy as an investment; the dimension of risk; maximum drawdown and trading risk; risk adjusted return; reward to risk ratio; model efficiency; consistency; and patterns of profit and loss.