Thanks jcl, bfleming, DMB.

jcl, re. 1), it seems you're saying the probability is linear? If DDmax is equally likely to start during any bar in the Test, why wouldn't that be 1 / ((Test period) - (length of DDMax))? Of course, all this changes using the traditional calc and early term focus...

Re. 2), a few things:

From 1) there's an idea of the probability of DDmax. However, I still prefer the traditional calc since the focus here is on Risk and not being blown out of the water by an early margin call.

From the R2 you mentioned there's a better idea of the drawdowns profile. From this we might be able to get a better idea of the strategy's danger zone?

And from that either at least a comfort zone and what to watch for (manually), or (better) some way to automatically monitor the strategy's execution & drawdown.

In reflecting further I think there may be a language issue regarding "safe". The manual says CR is the amount to safely trade the strategy. However, is 100% loss really called "safe"? It seems CR is the amount needed to (hopefully) just barely survive the low-probability worst-case scenario, at least as far as the strategy's Test results show. And it can be worse than all the math and stats, once the real world takes over.

And there are obviously more than 1 of us who think "safe" means maximum loss is quite a bit less than 100%...

Which leads to 3): If it's certain someone(s) will get wiped out, say so clearly; and say how best to protect oneself. Don't use words like "safe"!

And 4): Regardless of how good the phantom flag is, it seems to me there should be an overriding fail-safe circuit breaker, possibly user-configurable via .ini, that will stop the strategy if drawdown exceeds a certain value. If the phantom flag works as advertised (and is used), this would never be hit - but if not, it'd sure be good to have...

Thanks.