@bfleming - For question (2) above, it was suggested that if the CR is an expected future drawdown event, than that amount should represent the portion of your account you are willing to lose. E.g. CR is $10k and you are willing to lose 20% of your account in drawdown. Then your account balance should be $10k / 20% = $50k. Of course this 'dilutes' the expected return to 1/5th as well. So your 200% return on CR is really 40% of $50k. And that is the backtest prediction, not real life. Sobering!