Hi all,

I think we might be confusing different things, trading for income and trading for capital appreciation. The z strategies appear to be trading for income. In that context, it would be unwise to invest 100% of your capital in any z strategy considering the risk of full drawdown of CR on bar 1.

The decision is more like:
In backtests of this strategy $Y bought a cashflow of $x per month over z years. Can I tolerate risking $Y to buy the Net Present Value of the cash flow of $x per month over z years. Considering the z strategies do not reinvest and are designed for income, I would withdraw the monthly income while maintaining the CR (+ possibly a buffer built up out of profits).

I'm not convinced analyzing drawdown as if using a traditional capital appreciation model looking at % risk per trade, and return and drawdowns as a % of overall capital works in this context.