Ok, but it would be good to have a metric like "average" CAGR or something like that. I mean, if I use an algo that compounds for 5 years what matters at year 5 is how much I made so far, although I understand that drawdowns are random since they follow the diffusion equation and thus can happen any time, particularly at the end of year 5

Concerning the second question, how much more capital would it be needed to restart a strategy?

In the manual it refers to

reinvesting--> an amount proportional to the square root of 2, for instance: Margin = OptimalF * Capital * sqrt(1 + (WinTotal-LossTotal)/Capital);

withdrawing profits--> Remaining Balance = Capital * sqrt((Capital+TotalProfit)/Capital)

Is there a mathematical equation for the relationship between required capital and time (or number of trades)?

Thanks again for your valuable input.

Last edited by Mithrandir77; 07/24/14 06:36.