While trying to see if my Z12 demo is also within it's statistical boundaries, I think I uncovered why that was near impossible to calculate so far. The important piece of information seems to be missing in the performance report!

Taking the Z12 (M/R 50/10) as an example, the performance report says: Max drawdown -2355$ 9% (MAE -3281$ 12%). I suspect that first max drawdown is calculated (in dollar value!), and 9% is just attached, leading to thinking that 9% is the max drawdown. But it is not! Just by looking at the drawdown curve, there could've been a slightly smaller drawdown (say -2000$) but at the time where equity was much smaller leading to a much bigger drawdown percentage-wise (maybe 20% or 30%), yet I don't see that number anywhere in the report. Could this number be added in the future version, please?

I was also thinking along the lines, maybe I could take the biggest dollar amount (-2355$ in the example) and divide it with the required capital (3762$)? This would be a situation where right at the start of trading, the strategy goes in a deep drawdown. But numbers I get that way, ~63% drawdown in the example, are just way too big to be usable or trusted.

To explain from a different angle, to say that my Z12 is still within statistical boundaries, I would need to compare it's current drawdown of about 40% (after taking into account much bigger starting capital) to the max drawdown as calculated by the backtest. If I compare with 9% (or 12% MAE) numbers from the performance report, I could conclude that it should've been stopped ages ago. But if I compare it with 63% calculated above, then it's supposedly OK that it's 40% in drawdown, although it's really not.

I suspect Z12 had about 20-30% max drawdown in the backtest, but there's no number in the performance report reporting that vital information!