How does Zorro calculate capital requirements?

jcl,

I am curious to know exactly how Zorro is calculating its recommendations for capital requirements.

Take, for example, the attached image of a stock portfolio system I am working on.

* Initial capital is set to $100k.
* At the end of an OOS test, log says capital of $84k.
* Meanwhile, the monte carlo capital recommendations are at ~$220k.

Is there a reason for the large discrepancy between the last two?

Thanks,
Andrew

Required capital = max margin + max drawdown.

Do you mean:
* Max margin used at any point in the Test?
* Max drawdown at any point in the Test?

Also, are the formulas different between Monte Carlo (left) and in the log (right)?

Yes, maximum means the maximum of the test. The drawdown is normalized to 3 years. But when you reinvest profits, most performance parameters become meaningless. Monte Carlo, drawdown, and required capital make only sense when you do not set the Capital variable. Otherwise they will depend on your investment.

The details of parameter calculation can be found under "performance report" in the manual.

Thank you for the clarifications.

Andrew