Thanks jcl.

a) I don't see how this definition is accurate since a Test doesn't compute all possible returns. But rather than beating this further how about instead adding "Annual Return on Capital Required" to the performance report, since that's directly meaningful to me - the Tested return I can expect on the capital I need to invest.

e/c) A few issues here (with thanks to bfleming! ):

1) From the manual (and rephrasing), Zorro calculates UI as the mean drawdown's % of the maximum equity. This is more optimistic than the manual's noted traditional calculation of the mean of each drawdown's % of previous equity. I actually think I'd prefer the more pessimistic, front-of-the-equity-curve-weighted, traditional calculation... In any case, can drawdown stats (mean, etc.) be added to the report?

2) There is posting above re. not calculating a DD% from the equity / balance peak. Yet, this information is available and could be easily computed, understanding the limit of accuracy due to randomness. Perhaps we could not mix apples and oranges, and keep the existing % as a measure of performance, while adding a maximum (and other stats) % of previous balance as a further, random-qualified measure of risk/ulcer/whatever?

3) Why not incorporate CR in this? Your 200% example above would change dramatically if CR were included...

4) The above relates to "average drawdown", but doesn't really define "an average drawdown"; and doesn't address likelihood of large or maximum drawdown early in strategy execution when equity hasn't built to sustain it. I understand your not trivial comment, but you evidently have either calculations of some kind or gut feel, as you've made statements about what is unlikely. Could you please share what you have in some kind of useful form(s)? For example, "it's <10% probable that drawdown will occur such that 80% of CR is consumed". And, "for those with 25% of CR Risk tolerance, it's >90% probable that drawdowns will not occur that exceed this".

Thanks.