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?