I am late to this party. Certainly not qualified to discuss any high-level math here.

But I do have a (stupid?) question: why has nobody mentioned the MAE%? I prefer to use that as my gauge. As I understand, it is the most pessimistic measure of "what could happen" with regard to drawdown. Is that incorrect to think that way?

My rudimentary trigger, to know when a bot has gone haywire would be either:
1) exceeds or approaches simulated MAE% drawdown, as measured from highest balance peak;
or possibly 2) exceeds the Capital Required figure

There may be other measures that could more proactively "red flag" a problem with a bot, but certainly those 2 above are definite.

What am I missing here?