Yes, I am also afraid of overcomplicating things but still, there are things that are not clear and I would like to clarify them because when reinvesting I want to avoid undercapitalization risk. Anyway, I think I am progressing towards understanding finally. Just two more questions and thanks again for your patience!

1) You say "Capital required is just max margin plus max drawdown" but both in the test without reinvesting quoted above:

Max drawdown -259$ 12% (MAE -423$ 20%)
...
Max open margin 154$
...
Capital required 342$

259 + 154 == 413 != 342

And with reinvestment:

Max drawdown -4986$ 10% (MAE -9231$ 19%)
...
Max open margin 3934$
...
Capital required 4119$

4986 + 3934 == 8920 != 4119

Or is it Capital required = max(Open margin + Drawdown) in the simulation period? I am not being picky about numbers here, I want to know where the 4119 comes from since it is 4x the amount I invested.

2) Are MonteCarlo figures valid when reinvesting? These are the ones from my test:

Confidence level AR DDMax Capital

10% 164% 1912$ 5325$
20% 159% 2131$ 5484$
30% 157% 2225$ 5552$
40% 153% 2436$ 5707$
50% 150% 2569$ 5803$
60% 148% 2720$ 5913$
70% 144% 2900$ 6044$
80% 141% 3101$ 6190$
90% 135% 3451$ 6445$
95% 130% 3815$ 6710$
100% 113% 5253$ 7756$

ie, cain I say that when reinvesting with 95% confindence I will have 130% AR, 3815 DDMAX, etc?

PS: Here is the equity curve from the test with 1000 invested and reinvesting, I see no negative equity -blue below zero- so I am more assured from that point.