Hi all.

DMB, not sure who's in what time zone when (except maybe jcl ), or who has what native language, but at least we can all try to communicate! I'll look at your post later - for now want to try to stay closer to current Zorro...

jcl, I'd appreciate your help with a few things:

a) The manual describes Capital Required (non-reinvest) as the sum of normalized Drawdown and maximum Margin. It describes Annual Return as annualized profit divided by the sum of normalized Drawdown and average open Margin. Why the difference? In other words, why isn't Annual Return calculated as annualized profit divided by Capital Required - presumably the starting capital that return should be based on?

b) I understand your simple ratio calc above to get the 9.17%. I understand that Drawdown % can't be based on an equity value. I understand that total profit is available for an easy calculation, and I can see the usefulness of this % as a measure of the strategy's performance. However, this % has no relevance to strategy expiration, correct?

c) Assuming a strategy is started with the Capital Required, there is some worst-case, small but non-zero probability that it will go margin call immediately, correct? Therefore, should a strategy be started with the Capital Required (CR), 2*CR, or some other amount?

d) If I understand your explanation of strategy expiration, you're comparing actual drawdown with Tested drawdown (not to be unnecessarily confusing, but possibly via the % the former is of the latter), correct? And expiration is triggered when actual drawdown > Tested drawdown (i.e., (actual drawdown / Tested drawdown) > 100%), correct? And to provide the "headroom" for this w/o getting a margin call, the strategy must be started with an investment >CR by some amount (%)...

e) Lastly, for Risk tolerance, if I'm at 20% and there's some small chance a strategy could go full drawdown right out of the gate, then I need to start it with an investment of 5*CR, correct?

Thanks.